Influence of News on Pharmaceutical Companies Stocks Dynamics. Opportunities for Russian Investors

This paper is devoted to the impact of news shocks on the stock price dynamics of the largest US pharmaceutical companies. In the course of the study, for 11 enterprises of the industry two aggregated samples of 590 positive and 308 negative informational messages were analyzed. One of the novelties of the work is the inclusion of the various news types in the data array, from the financial situation and strategic changes in the structure of the companies to research activities and the launch of new products. As a result of using the market model, the cumulative excessive returns of the pharmaceutical companies’ shares were analyzed as well as the cumulative excessive volumes, which made it possible to make an assumption about several cases of insider trading. CAR values, as it was expected, proved to be lower than in similar studies, which was explained by the sample structure. Also, the hypothesis of a stronger market reaction on the appearance of negative news was confirmed. An alternative model allowed to establish the sensitivity of shares’ returns and trading volumes to the appearance of “good” and “bad” information. For the Russian investors who wish to trade on the American stock market, several options were offered, based on the significance of the obtained excessive returns.