MIT Laboratory for Financial Engineering, Cambridge, Massachusetts, United States of America.
Department of Electrical Engineering and Computer Science, Massachusetts Institute of Technology, Cambridge, Massachusetts, United States of America.
PLoS One. 2022 Sep 2;17(9):e0272851. doi: 10.1371/journal.pone.0272851. eCollection 2022.
We perform an event study analysis that quantifies the market reaction to clinical trial result announcements for 13,807 trials from 2000 to 2020, one of the largest event studies of clinical trials to date. We first determine the specific dates in the clinical trial process on which the greatest impact on the stock prices of their sponsor companies occur. We then analyze the relationship between the abnormal returns observed on these dates due to the clinical trial outcome and the properties of the trial, such as its phase, target accrual, design category, and disease and sponsor company type (biotechnology or pharmaceutical). We find that the classification of a company as "early biotechnology" or "big pharmaceutical" had the most impact on abnormal returns, followed by properties such as disease, outcome, the phase of the clinical trial, and target accrual. We also find that these properties and classifications by themselves were insufficient to explain the variation in excess returns observed due to clinical trial outcomes.
我们进行了一项事件研究分析，量化了 2000 年至 2020 年期间 13807 项试验的临床试验结果公告对市场的反应，这是迄今为止最大规模的临床试验事件研究之一。我们首先确定临床试验过程中对其赞助商公司股价影响最大的具体日期。然后，我们分析了这些日期因临床试验结果而观察到的异常回报与试验的特性之间的关系，例如其阶段、目标入组、设计类别以及疾病和赞助商公司类型（生物技术或制药）。我们发现，公司被归类为“早期生物技术”或“大型制药”对异常回报的影响最大，其次是疾病、结果、临床试验阶段和目标入组等属性。我们还发现，这些属性和分类本身不足以解释由于临床试验结果而观察到的超额回报的变化。
