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Investor and Market Reaction to COVID-19 Vaccine Announcements

Luke Bausch and Dr. Sris Chatterjee, Department of Finance and Business Economics, Fordham University, 441 E Fordham Road, Bronx New York 10458

There is a large body of research examining the effects of earnings announcements on stock prices. Many of these studies find abnormal returns after earnings reports and related earnings surprises. However, COVID vaccine announcements are a  new development; there is minimal research on this topic. In this study, we examine the impact of vaccine-related announcements on the stock prices of companies that are producing COVID vaccines. The companies selected are Moderna (MRNA), Novavax (NVAX), Pfizer (PFE), and Johnson & Johnson (JNJ). We hypothesize that these stocks will see abnormal returns following an announcement regarding progress on a COVID vaccine. We hypothesize the abnormal returns would be positive when a good announcement, such as the start of a new clinical trial, is made, and negative when the announcement conveys negative news, such as a pause in clinical trials.

We plan to follow the standard event-study methodology by estimating normal returns from a Market Model regression. Abnormal return on a COVID-related event day will be computed as that day's actual return minus the normal return. The Market Model regression is a simple regression of a stock’s daily returns against the corresponding daily returns of a value-weighted Market Index over the previous year. These returns will be collected from the University’s WRDS database.

Thus far, we have identified the key announcement dates and times for each of the selected companies and are currently finalizing the relevant stock price data. After analysis, we expect to see abnormal returns in the relevant stock for each of the selected events. This will help build the case that vaccine announcements are significant market events. Future research on this topic could examine why the abnormal results occur and the degree of impact these announcements have when compared to abnormal returns from earnings surprises of the same companies.




Additional Abstract Information

Presenter: Luke Bausch

Institution: Fordham University

Type: Poster

Subject: Economics

Status: Approved


Time and Location

Session: Poster 5
Date/Time: Tue 12:30pm-1:30pm
Session Number: 4127