Table 3.
Regression results (DRNs and fear effects).
| Portf. | Const. | Rt−1 | Rt−2 | Rt−3 | Rt−4 | Rt−5 | Mon. | Tues. | Wed. | Thurs. | DTAX | Et | FIt | Logl. |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Panel A: All DRNs + fear effects | ||||||||||||||
| EW | 0.1304⁎⁎⁎ | 0.0650⁎⁎ | 0.0222 | 0.0243 | 0.0194 | −0.0129 | −0.1093 | 0.0098 | −0.0544 | −0.0354 | 0.4168⁎⁎⁎ | 0.3861⁎⁎⁎ | −0.1819⁎⁎⁎ | −4977.15 |
| (0.0032) | (0.0151) | (0.4916) | (0.3863) | (0.4605) | (0.6770) | (0.1037) | (0.8746) | (0.3915) | (0.5939) | (0.0009) | (0.0004) | (0.0000) | ||
| VW | 0.1134⁎⁎ | −0.0346 | −0.0487 | 0.0049 | −0.0047 | −0.0022 | 0.0386 | 0.1777⁎⁎⁎ | 0.0433 | 0.0359 | 0.2843⁎⁎ | 0.1781⁎ | −0.2056⁎⁎⁎ | −4774.72 |
| (0.0165) | (0.1894) | (0.1313) | (0.8509) | (0.8568) | (0.9387) | (0.5338) | (0.0040) | (0.4748) | (0.5798) | (0.0284) | (0.0742) | (0.0000) | ||
| TOP | 0.0361 | −0.0393 | −0.0777⁎ | 0.0248 | 0.0061 | −0.0110 | 0.0531 | 0.1437⁎⁎⁎ | 0.0373 | 0.0249 | 0.1972⁎ | 0.2274⁎⁎⁎ | −0.1378⁎⁎⁎ | −4448.79 |
| (0.3625) | (0.2301) | (0.0633) | (0.4355) | (0.8453) | (0.7664) | (0.3433) | (0.0090) | (0.4877) | (0.6678) | (0.0893) | (0.0063) | (0.0000) | ||
| BOTTOM | 0.2192⁎⁎⁎ | −0.0309 | 0.0181 | −0.0096 | 0.0465⁎⁎ | 0.0105 | −0.3420⁎⁎⁎ | −0.2324⁎⁎⁎ | −0.0475 | −0.1129 | 0.5659⁎⁎⁎ | 0.3877⁎⁎ | −0.1842⁎⁎⁎ | −5872.04 |
| (0.0011) | (0.1472) | (0.3684) | (0.6147) | (0.0218) | (0.5691) | (0.0001) | (0.0088) | (0.5946) | (0.2241) | (0.0025) | (0.0235) | (0.0012) | ||
| S&P 500 IT | 0.0203 | −0.0837⁎⁎⁎ | −0.0350 | 0.0105 | −0.0056 | −0.0175 | 0.1016 | 0.2086⁎⁎⁎ | 0.1201 | 0.1027 | 0.3400⁎ | 0.3883⁎⁎⁎ | −0.1792⁎⁎⁎ | −5342.82 |
| (0.6953) | (0.0027) | (0.2696) | (0.7092) | (0.8526) | (0.6115) | (0.1827) | (0.0057) | (0.1057) | (0.1695) | (0.0976) | (0.0007) | (0.0000) | ||
| Panel B: WHO Disease Outbreak News + WHO Statements + fear effects | ||||||||||||||
| EW | 0.1426⁎⁎⁎ | 0.0650⁎⁎ | 0.0224 | 0.0252 | 0.0187 | −0.0132 | −0.1289⁎ | 0.0013 | −0.0631 | −0.0396 | 0.4184⁎⁎⁎ | 0.3968⁎⁎⁎ | −0.1811⁎⁎⁎ | −4978.71 |
| (0.0013) | (0.0151) | (0.4868) | (0.3676) | (0.4796) | (0.6712) | (0.0552) | (0.9834) | (0.3212) | (0.5514) | (0.0009) | (0.0012) | (0.0000) | ||
| VW | 0.1184⁎⁎ | −0.0350 | −0.0494 | 0.0048 | −0.0062 | −0.0022 | 0.0263 | 0.1754⁎⁎⁎ | 0.0393 | 0.0349 | 0.2884⁎⁎ | 0.2720⁎⁎ | −0.2089⁎⁎⁎ | −4773.51 |
| (0.0124) | (0.1841) | (0.1254) | (0.8535) | (0.8141) | (0.9400) | (0.6724) | (0.0045) | (0.5167) | (0.5897) | (0.0260) | (0.0111) | (0.0000) | ||
| TOP | 0.0431 | −0.0399 | −0.0781⁎ | 0.0247 | 0.0048 | −0.0106 | 0.0400 | 0.1393⁎⁎ | 0.0322 | 0.0228 | 0.1998⁎ | 0.2723⁎⁎⁎ | −0.1390⁎⁎⁎ | −4448.62 |
| (0.2764) | (0.2236) | (0.0618) | (0.4371) | (0.8786) | (0.7744) | (0.4748) | (0.0113) | (0.5499) | (0.6946) | (0.0844) | (0.0068) | (0.0000) | ||
| BOTTOM | 0.2335⁎⁎⁎ | −0.0314 | 0.0191 | −0.0087 | 0.0472⁎⁎ | 0.0112 | −0.3544⁎⁎⁎ | −0.2450⁎⁎⁎ | −0.0564 | −0.1190 | 0.5605⁎⁎⁎ | 0.2043 | −0.1760⁎⁎⁎ | −5875.19 |
| (0.0005) | (0.1414) | (0.3422) | (0.6487) | (0.0198) | (0.5440) | (0.0001) | (0.0057) | (0.5263) | (0.1999) | (0.0026) | (0.2936) | (0.0020) | ||
| S&P 500 IT | 0.0328 | −0.0828⁎⁎⁎ | −0.0346 | 0.0110 | −0.0071 | −0.0169 | 0.0830 | 0.1994⁎⁎⁎ | 0.1112 | 0.0979 | 0.3406⁎ | 0.3716⁎⁎ | −0.1773⁎⁎⁎ | −5344.64 |
| (0.5269) | (0.0030) | (0.2753) | (0.6966) | (0.8142) | (0.6244) | (0.2769) | (0.0083) | (0.1348) | (0.1906) | (0.0962) | (0.0110) | (0.0000) | ||
Notes: This table reports the results of Eq. (1). Results of regressions of continuously compounded day-to-day percentage returns on an equally weighted portfolio of pharmaceutical stocks (EW), value-weighted portfolio (VW), constant-value-weighted portfolio of 10 largest pharmaceutical stocks (TOP), a constant-value-weighted portfolio of 10 smallest pharmaceutical stocks (BOTTOM), and S&P 500 Information Technology Index (S&P 500 IT) are reported. VW is computed using time-varying weights, whereas TOP and BOTTOM are computed using constant weights, based on the initial market capitalization. Et represents the DRNs effect variable. DRNs (i.e., event days) are reported in Table A1. In Panel A, Et is composed of all DRNs. In Panel B, Et is composed of WHO Disease Outbreak News and WHO Statements only. The log-likelihood value of the estimated model is shown in the last column. The p-values are in parentheses. The Eicker–White standard error estimates are robust to heteroscedasticity. We use daily data for the period 01/01/2003–11/13/2014 (a total of 3097 observations).
Significance at the 10% level.
Significance at the 5% level.
Significance at the 1% level.