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Dataset on share issuance, abnormal returns and market timing in the Brazilian stock market.

ABSTRACT: This article presents a dataset to investigate the determinants of firms' decision for primary share issuance and the effects of market timing on primary share issues in the Brazilian stock market. The data refer to Brazilian nonfinancial firms that issued primary shares (IPOs and SEOs) in the 2004-2015 period. The data were gathered from the online bases of Economatica^® and the São Paulo Securities, Commodities and Futures Exchange (BM&FBovespa). The final sample was composed of 123 firms and 165 primary share issues: 97 initial public offerings and 68 follow-on offerings. The dataset was developed to support a model that captures market timing behavior through cumulative abnormal returns and shows the effects of this behavior on the amount of proceeds raised. The dataset contains subsamples and different analysis time windows, processed and unprocessed data. Researchers can use the dataset for future research and comparisons with other markets and models. The related research article using part of the current dataset was published under the following title: "Effects of market timing on primary share issues in the Brazilian capital market" (Gomes et al.).

SUBMITTER: Gomes MC

PROVIDER: S-EPMC6661535 | biostudies-literature | 2019 Aug

REPOSITORIES: biostudies-literature

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Dataset on share issuance, abnormal returns and market timing in the Brazilian stock market.

Gomes M C MC Magnani V M VM Albanez T T Valle M R MR

Data in brief 20190714

This article presents a dataset to investigate the determinants of firms' decision for primary share issuance and the effects of market timing on primary share issues in the Brazilian stock market. The data refer to Brazilian nonfinancial firms that issued primary shares (IPOs and SEOs) in the 2004-2015 period. The data were gathered from the online bases of Economatica<sup>®</sup> and the São Paulo Securities, Commodities and Futures Exchange (BM&FBovespa). The final sample was composed of 123 ...[more]

PMID: 31384645

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Project description:BackgroundFor biopharmaceutical companies, investments in research and development are risky, and the results from clinical trials are key inflection points in the process. Few studies have explored how and to what extent the public equity market values clinical trial results.MethodsOur study dataset matched announcements of clinical trial results for investigational compounds from January 2011 to May 2013 with daily stock market returns of large United States-listed pharmaceutical and biotechnology companies. Event study methodology was used to examine the relationship between clinical research events and changes in stock returns.ResultsWe identified public announcements for clinical trials of 24 investigational compounds, including 16 (67%) positive and 8 (33%) negative events. The majority of announcements were for Phase 3 clinical trials (N = 13, 54%), and for oncologic (N = 7, 29%) and neurologic (N = 6, 24%) indications. The median cumulative abnormal returns on the day of the announcement were 0.8% (95% confidence interval [CI]: -2.3, 13.4%; P = 0.02) for positive events and -2.0% (95% CI: -9.1, 0.7%; P = 0.04) for negative events, with statistically significant differences from zero. In the day immediately following the announcement, firms with positive events were associated with stock price corrections, with median cumulative abnormal returns falling to 0.4% (95% CI: -3.8, 12.3%; P = 0.33). For firms with negative announcements, the median cumulative abnormal returns were -1.7% (95% CI: -9.5, 1.0%; P = 0.03), and remained significantly negative over the two day event window. The magnitude of abnormal returns did not differ statistically by indication, by trial phase, or between biotechnology and pharmaceutical firms.ConclusionsThe release of clinical trial results is an economically significant event and has meaningful effects on market value for large biopharmaceutical companies. Stock return underperformance due to negative events is greater in magnitude and persists longer than abnormal returns due to positive events, suggesting asymmetric market reactions.

Dataset Information

Dataset on share issuance, abnormal returns and market timing in the Brazilian stock market.

Publications

Dataset on share issuance, abnormal returns and market timing in the Brazilian stock market.

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