Analiza utjecaja priopćenja za javnost o razvoju cjepiva protiv COVID-19 na prinose dionice Pfizer Inc.

master's thesis

• Title (english): Analysis of the impact of press releases on the development of a COVID-19 vaccine on Pfizer Inc. stock returns
• Author: Borna Czeisberger
• Mentor: Nataša Erjavec (mentor)
• Committee member: Nataša Erjavec (predsjednik povjerenstva)
• Committee member: Denis Dolinar (član povjerenstva)
• Committee member: Davor Zoričić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Managerial Economics); Zagreb
• Defense date and country: 2023-06-21, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Business Mathematics and Statistics

Abstract

Tijekom cijelog procesa razvoja cjepiva protiv COVID-19 je Američka komisija za reguliranje i trgovinu vrijednosnim papirima (SEC) zahtijevala od Pfizera i Moderne otkrivanje informacija koje bi mogle utjecati na tržišnu vrijednost njihovih tvrtki. Ovaj rad analizira utjecaj priopćenja za javnost o razvoju cjepiva na prinose dionice farmaceutskog poduzeća Pfizer Inc. Koristi se metodologija studije događaja (engl. event study) koja za cilj ima utvrditi utječe li neki događaj na performanse dionica tvrtke. Za procjenu normalnog kretanja prinosa je korišten dvoindeksni model. U studiju su uključene objave koje je Pfizer, u procesu razvoja cjepiva nazvanom Project Lightspeed, izdvojio kao najbitnije. Analiza je podijeljena u tri koraka. Prvi korak je studija događaja u trenutku samog početka pandemije kada su Pfizer i BioNTech najavili zajedničku suradnju u razvoju cjepiva (13. i 17. ožujka 2020.). U drugom koraku se proučava izdavanje oznake za hitno odobrenje cjepiva (engl. Fast Track), na datum 13. srpnja 2020., od strane Američke Agencije za hranu i lijekove (FDA). Treći korak obuhvaća datum 18. studenog 2020. kada je Pfizer objavio da III. faza testiranja zadovoljava sve kriterije te 02. prosinca 2020. kada Agencija za kontrolu lijekova i zdravstvenih proizvoda u Velikoj Britaniji (MHRA) odobrava Pfizerovo cjepivo. Rezultati pokazuju da su abnormalna kretanja dionica Pfizer Inc. bila statistički značajna u svega 20% - 25% dana u razdoblju očekivanja objava za javnost. Same objave su u 100% slučajeva rezultirale statistički značajnim pozitivnim abnormalnim prinosima. Regresijske analize pokazuju da je jedino dummy varijabla OBJAVA statistički značajna, što upućuje na to da je tržište efikasno. Utjecaj objava o razvoju cjepiva protiv COVID-19 na prinose dionice tvrtke Pfizer Inc. je bio statistički značajan, posebno u prozorima događaja drugog i trećeg koraka kada su kumulativni abnormalni prinosi narasli s 0% na razinu od otprilike 10%.

Abstract (english)

Throughout the development process of the COVID-19 vaccine, the Securities and Exchange Commission (SEC) required Pfizer and Moderna to disclose information that could affect the market value of their companies. This paper analyzes the impact of press releases regarding vaccine development on the stock returns of the pharmaceutical company Pfizer Inc. Research is conducted via Event Study methodology, which aims to determine whether an event affects the performance of the company's shares. A two-index model was used to estimate the normal movement of returns. The study includes publications that Pfizer, in the vaccine development process called Project Lightspeed, singled out as the most important. The analysis is divided into three steps. The First Step is a study of events at the very beginning of the pandemic, when Pfizer and BioNTech announced joint cooperation in vaccine development (March 13 and March 17, 2020). In the Second Step, the issue of the Fast Track approval for the vaccine on July 13, 2020, by the Food and Drug Administration (FDA) is being studied. The Third Step includes the date November 18, 2020. when Pfizer announced that III. the testing phase meets all the criteria and December 02, 2020. when the UK Medicines and Healthcare Products Regulatory Agency (MHRA) approves Pfizer's vaccine. Results show that the abnormal movements of the Pfizer stock were statistically significant in only 20% - 25% of days in the Anticipation Period of public announcements. The announcements themselves resulted in statistically significant positive abnormal returns in 100% of cases. Regression analysis shows that only the dummy variable ANNOUNCEMENT is statistically significant, which indicates that the market is efficient. The impact of public announcements regarding the development of a COVID-19 vaccine on Pfizer Inc. stock returns was statistically significant, especially in the Second and Third Step Event Windows when cumulative abnormal returns rose from 0% to a level of approximately 10%.

• Keywords: studija događaja; Pfizer Inc.; COVID-19; abnormalni prinosi; hipoteza efikasnog tržišta; indeksni modeli; očekivani prinos
• Keywords (english): event study; Pfizer Inc.; COVID-19; abnormal returns; efficient market hypothesis; index models; expected return
• Language: croatian
• URN:NBN: urn:nbn:hr:148:488745
• Study programme: Title: Business Economics; Study programme type: university; Study level: integrated undergraduate and graduate; Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2023-06-28 13:05:28