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Comparing the Impact of News: A Tale of Three Health Care Sectors

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  • Bradley T. Ewing
  • Jamie B. Kruse
  • Mark A. Thompson

Abstract

This paper examines the impact of news on the volatility of equity returns in three sectors of the health care industry – health care service providers, producers of drugs and supplies, and third‐party payors. The news impact is found to be asymmetric in that bad news (i.e., a negative shock) has a significantly greater effect on volatility than good news. Intra‐industry differences in health care equity market performance are documented and are consistent with the fundamental attributes of these sectors including the degree of price and cost pressures facing firms, the physical capital requirements of firms, the search behavior of health care customers, and the presence of alternative market opportunities.

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  • Bradley T. Ewing & Jamie B. Kruse & Mark A. Thompson, 2005. "Comparing the Impact of News: A Tale of Three Health Care Sectors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7‐8), pages 1587-1611, September.
    • Handle: RePEc:bla:jbfnac:v:32:y:2005:i:7-8:p:1587-1611
    DOI: 10.1111/j.0306-686X.2005.00641.x
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    3. Sharif Ullah Jan & Hashim Khan, 2018. "Return Volatility and Macroeconomic Factors: A Comparison of US and Pakistani Firms," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 10(2), pages 1-28, June.
    4. Metin Tetik, 2021. "Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 7(2), pages 35-46, December.
    5. Díaz, Antonio & Jareño, Francisco, 2009. "Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case," Research in International Business and Finance, Elsevier, vol. 23(3), pages 349-368, September.
    6. Muhammad Saqib Bashir Butt & Hasniza Mohd Taib, 2019. "Economic Forces and Firm Stock Returns Volatility: Role of Firm Features," Pakistan Journal of Humanities and Social Sciences, International Research Alliance for Sustainable Development (iRASD), vol. 7(3), pages :281-302, September.

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