Artificial neural networks are used in conjunction with the Sharpe-Linter form of the Capital Asset Pricing Method (CAPM) to predict when the returns on U.S. stocks will be greater than financial risk models would predict. The advantage of using a nonlinear approach is to model the financial system more accurately than linear techniques. The Sharpe-Lintner form is used to control for risk and d...

BACKGROUND For 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. METHODS Our study dataset matched announcements of clinical trial results for investigational compounds from January...

If there are abnormal returns on an eCommerce initiative, and these returns are different during bull and bear markets, then we know that the markets value these investments with consideration of overall market health. This is reasonable, as market health, a proxy for the general economy, will affect cash flow benefits received through such things as the broadening of the customer base. If this...

We examine whether rational investor responses to information uncertainty (IU) explain properties of and returns to several financial anomalies (post-earnings announcement drift, value-glamour, and accruals anomalies). Consistent with a rational learning explanation, we find that: (1) higher IU signals have more muted initial market reactions; (2) extreme anomaly portfolios are characterized by...