Department of Pharmacy Practice and Science, The University of Arizona College of Pharmacy, 1295 North Martin Avenue, P.O. Box 210202, Tucson, AZ 85721-0202, USA.
Res Social Adm Pharm. 2013 Nov-Dec;9(6):828-40. doi: 10.1016/j.sapharm.2012.10.001. Epub 2012 Oct 18.
Community pharmacies have been subject to intense and increasing competition in the past several decades.
To determine the security price risk and rate of return of publicly traded pharmacy corporations present on the major U.S. stock exchanges from 1930 to 2009.
The Center of Research in Security Prices (CRSP) database was used to examine monthly security-level stock market prices in this observational retrospective study. The primary outcome of interest was the equity risk premium, with analyses focusing upon financial metrics associated with risk and return based upon modern portfolio theory (MPT) including: abnormal returns (i.e., alpha), volatility (i.e., beta), and percentage of returns explained (i.e., adjusted R(2)). Three equilibrium models were estimated using random-effects generalized least squares (GLS): 1) the Capital Asset Pricing Model (CAPM); 2) Fama-French Three-Factor Model; and 3) Carhart Four-Factor Model.
Seventy-five companies were examined from 1930 to 2009, with overall adjusted R(2) values ranging from 0.13 with the CAPM to 0.16 with the Four-Factor model. Alpha was not significant within any of the equilibrium models across the entire 80-year time period, though was found from 1999 to 2009 in the Three- and Four-Factor models to be associated with a large, significant, and negative risk-adjusted abnormal returns of -33.84%. Volatility varied across specific time periods based upon the financial model employed.
This investigation of risk and return within publicly listed pharmacy corporations from 1930 to 2009 found that substantial losses were incurred particularly from 1999 to 2009, with risk-adjusted security valuations decreasing by one-third.
在过去几十年中，社区药店一直面临着激烈且日益加剧的竞争。
确定在 1930 年至 2009 年期间在美国主要股票交易所上市的制药公司的安全价格风险和回报率。
本观察性回顾性研究使用中心研究证券价格（CRSP）数据库来检查每月的证券市场价格。主要感兴趣的结果是股权风险溢价，分析重点是基于现代投资组合理论（MPT）的与风险和回报相关的财务指标，包括：异常回报（即 alpha）、波动性（即 beta）和回报解释百分比（即调整后的 R（2））。使用随机效应广义最小二乘法（GLS）估计了三个均衡模型：1）资本资产定价模型（CAPM）；2）Fama-French 三因素模型；3）Carhart 四因素模型。
从 1930 年到 2009 年共检查了 75 家公司，总体调整后的 R（2）值从 CAPM 的 0.13 到四因素模型的 0.16。在整个 80 年的时间内，任何均衡模型中的 alpha 都不显著，但在三因素和四因素模型中从 1999 年到 2009 年发现与大幅、显著且负的风险调整异常回报-33.84%相关。波动性根据所使用的财务模型在特定时间段内有所不同。
对 1930 年至 2009 年期间上市的制药公司的风险和回报进行的这项调查发现，从 1999 年至 2009 年期间，尤其是损失惨重，风险调整后的证券估值下降了三分之一。
