ABSTRACT
We perform an event study analysis that quantifies the market reaction to clinical trial result announcements for 13,807 trials from 2000 to 2020, one of the largest event studies of clinical trials to date. We first determine the specific dates in the clinical trial process on which the greatest impact on the stock prices of their sponsor companies occur. We then analyze the relationship between the abnormal returns observed on these dates due to the clinical trial outcome and the properties of the trial, such as its phase, target accrual, design category, and disease and sponsor company type (biotechnology or pharmaceutical). We find that the classification of a company as "early biotechnology" or "big pharmaceutical" had the most impact on abnormal returns, followed by properties such as disease, outcome, the phase of the clinical trial, and target accrual. We also find that these properties and classifications by themselves were insufficient to explain the variation in excess returns observed due to clinical trial outcomes.