The impact of product innovation announcements on firm value: evidence from the bio-pharmaceutical industry

New drugs and stock market: a machine learning framework for predicting pharma market reaction to clinical trial announcements

“…The principal distinguishing and novel trait of our study is the construction of the framework for making predictions at the intersection of clinical and financial domains with the ability to reveal precious subject-specific insights. To the best of our knowledge, we are the first who consider the problem related to the announcement-induced price changes in the predictive paradigm, whereas the previous works focus on ex-post assessment 13 , 50 . We believe that the scientific value of our research consists in the feasibility of reusing the proposed approach in other domains due to the easily generalized logic of each framework’s subpart.…”

“…The expected return dynamics prediction, as a time series forecasting problem, is of high importance, as it directly contributes to the target value. In our research, we examine a Linear Regression (LR) as one of the most spread models in classical expected return evaluation 13 , 33 , 34 , Long-Short Term Memory (LSTM) as a frequently exploited model in market time series processing 35 , 36 , and finally Temporal Fusion Transformer (TFT) 37 as the-state-of-the art model that shows high-level metrics on several benchmarks 37 , specifically excelling in stock market forecasting 38 . We compare performance metrics for all models to choose the one with the highest quality.…”

“…Tomovic 12 compared the impact of the FDA and dividend payment announcements on the market prices. In turn, the study 13 identified characteristics analysis, which was indispensable for explaining the bio-pharmaceutical market reaction to announcements on product innovation. A couple of recent papers were focused on market influence during the pandemic.…”