生技製藥公司臨床試驗宣告之市場報酬率差異分析研究

Abstract

本研究旨在探討台灣生技製藥股之各期臨床試驗的重大訊息宣告對生技製藥公司股票是否產生顯著異常報酬率。De Bondt and Thaler (1985)提出過度反應理論，主張在財務或行為應用上，投資者均存在過度自信的心理現象，投資者會較重視市場上的新資訊，接受自己所認為合理的訊息，剔除自己不想接受的部分訊息，導致忽略長期之基本訊息，這樣的情況通常會導致股價出現漲過頭或是跌過頭之現象。Daniel and Andrew (2010)研究顯示，臨床試驗越接近上市時投資人感興趣; Engelberg, Sasseville and Williams (2012)研究顯示新聞媒體會影響投資人的認知，進而影響公司股票的價格; Zweig (1973)曾提出投資人心理假說（investor sentiment hypothesis），說明投資人對前景較樂觀的公司，股票需求較大; Anurag and Nelson (2010)研究指出藥品開發的成敗與市場價值有強烈的相關性。 本研究透過台灣上市(櫃)生技製藥股公司進行實證研究，收集2002年到2015年台灣上市(櫃)生技製藥股份公司，共228個臨床試驗之重大訊息宣告日，實證探究臨床試驗之重大訊息宣告對台灣生技製藥股的交易行為，是否產生顯著的異常報酬率，以及各階段臨床試驗之重大訊息宣告是否有產生顯著的異常報酬，以及台灣股市投資者對臨床試驗之重大訊息宣告存是否存在過度反應，從而形成潛在獲利空間。研究結果發現，台灣生技製藥公司臨床試驗之重大訊息宣告日存在正的超額報酬出現，異常報酬率為1.1728%。這暗示著投資人會於各期臨床試驗宣告日時買進其生技製藥公司股票; 各階段之臨床試驗之重大訊息宣告不一定存在顯著的異常報酬; 臨床試驗宣告具有資訊內涵，股票在事件期間存在過度反應。

This study was designed to investigate the phases of clinical trials of Taiwanese biotech drugmakers announcement on whether biotech pharmaceutical companies generate significant abnormal stock return. The sample period ranges from 2002 to 2015 in Taiwan listed Biotech Pharmaceuticals Corporations. The 228 announcement date in clinical trials are collected. This study shows that during clinical trial announcement date, there is a positive abnormal return rate of 1.1728%, and study also found that the first phase of clinical trials (Phase I ) have higher abnormal returns than other stages of clinical trials. Investors will be more emphasis on new information on the market, reasonably accept their message believed, excluding part of the message he does not want to accept. This situation usually results in too far up or too far down the phenomenon of share prices. Our results are consistent with the viewpoints in De Bondt and Thaler (1985) that proposed overreaction theory, Daniel and Andrew (2010) that showed that people are interested in clinical trials which approach the time of the listing and Anurag and Nelson (2010) that indicated that the market value of drug development success.