R&D Progress, stock price volatility, and post-announcement drift: An empirical investigation into biotech firms

R&D Progress, stock price volatility, and post-announcement drift: An empirical investigation... I investigate the effects of R&D progress on the dynamics of stock price volatility and the post announcement drift to provide insights into whether or not and how capital markets react to corporate R&D progress in the context of the biotech industry. I find both stock price volatility and the post announcement drift decrease in R&D progress. More importantly, the decrease is proportional to the increase in the drug development success rate driven by R&D progress. Findings suggest that R&D progress conveys useful risk-relevant information, and plays an important role in explaining stock price volatility change and market anomalies. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

R&D Progress, stock price volatility, and post-announcement drift: An empirical investigation into biotech firms

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Publisher
Kluwer Academic Publishers
Copyright
Copyright © 2006 by Springer Science + Business Media, LLC
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-006-7439-x
Publisher site
See Article on Publisher Site

References

  • Excess returns to R&D-intensive firms
    Chambers, D; Jennings, R; Thomson, II R
  • Trading volume, information asymmetry, and timing information
    Chae, J
  • Penetrating the book-to-market black box: the R&D effect
    Lev, B; Sougiannis, T

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