Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/47026
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dc.contributor.authorPérez Rodríguez, Jorge Vicenteen_US
dc.contributor.authorGonzález Lopez-Valcarcel, Beatrizen_US
dc.date.accessioned2018-11-23T10:15:35Z-
dc.date.available2018-11-23T10:15:35Z-
dc.date.issued2012en_US
dc.identifier.issn0003-6846en_US
dc.identifier.urihttp://hdl.handle.net/10553/47026-
dc.description.abstractDo extreme price changes of pharmaceutical stocks reflect unexpected scientific information produced during the drug R&D process, especially the approval of new drugs, but also pre- and clinical trial results, recalls and withdrawals? Do stock prices initially overreact to such information? We modelled market-adjusted daily changes in stock prices of the 17 biggest pharmaceutical firms worldwide for the period from 1989 to 2008 to detect large price changes (outliers), using an Autoregressive Moving Average-Generalized Autoregressive Conditional Heteroscedasticity (ARMA-GARCH) dynamic econometric model. Then, we matched those outliers with news produced during the drug R&D process, and tested the hypothesis of no overreaction by examining cumulative abnormal returns. Our results show that there were 261 abnormal market-adjusted daily returns. In 60% of the cases, we were able to assign a plausible cause; i.e. Food and Drug Administration (FDA) approvals in 6% of these cases, news of a scientific nature in another 25%. Only 10 of 1721 FDA approvals of new drugs during the study period were related to abnormally large returns. The impact of negative news items on stock prices is larger than of positive news items. The overreaction hypothesis is rejected; there is no price backlash, therefore, the efficient market hypothesis is not violated.en_US
dc.languageengen_US
dc.publisher0003-6846
dc.relation.ispartofApplied economics (Print)en_US
dc.sourceApplied Economics[ISSN 0003-6846],v. 44, p. 2217-2229en_US
dc.subject531207 Sanidaden_US
dc.subject.otherMedicamentosen_US
dc.subject.otherPreciosen_US
dc.titleDo product innovation and news about the R&D process produce large price changes and overreaction?: the case of pharmaceutical stock pricesen_US
dc.typeinfo:eu-repo/semantics/Articlees
dc.typeArticlees
dc.identifier.doi10.1080/00036846.2011.562172
dc.identifier.scopus80051714171-
dc.identifier.isi000301538700007
dc.contributor.authorscopusid56216749800-
dc.contributor.authorscopusid49962605100-
dc.description.lastpage2229-
dc.description.firstpage2217-
dc.relation.volume44-
dc.investigacionCiencias Sociales y Jurídicasen_US
dc.type2Artículoen_US
dc.contributor.daisngid1615612
dc.contributor.daisngid2728619
dc.utils.revisionen_US
dc.contributor.wosstandardWOS:Perez-Rodriguez, JV
dc.contributor.wosstandardWOS:Valcarcel, BGL
dc.date.coverdateJunio 2012
dc.identifier.ulpgces
dc.description.sjr0,658
dc.description.jcr0,437
dc.description.sjrqQ3
dc.description.jcrqQ3
dc.description.ssciSSCI
item.fulltextSin texto completo-
item.grantfulltextnone-
crisitem.author.deptFinanzas Cuantitativas y Computacionales-
crisitem.author.deptMétodos Cuantitativos en Economía y Gestión-
crisitem.author.deptEconomía de la salud y políticas públicas-
crisitem.author.deptMétodos Cuantitativos en Economía y Gestión-
crisitem.author.orcid0000-0002-6738-9191-
crisitem.author.orcid0000-0002-5571-3257-
crisitem.author.parentorgMétodos Cuantitativos en Economía y Gestión-
crisitem.author.parentorgMétodos Cuantitativos en Economía y Gestión-
crisitem.author.fullNamePérez Rodríguez, Jorge Vicente-
crisitem.author.fullNameGonzález Lopez-Valcarcel, Beatriz-
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