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dc.contributor.advisorSkrepnek, Granten
dc.contributor.authorZucarelli, Michael
dc.contributor.authorShauffert, Maurice
dc.date.accessioned2017-06-05T17:44:32Z
dc.date.available2017-06-05T17:44:32Z
dc.date.issued2010
dc.identifier.urihttp://hdl.handle.net/10150/623904
dc.descriptionClass of 2010 Abstracten
dc.description.abstractOBJECTIVES: (1) To characterize the long-term performance of the biotechnology sector and the overall market using a Sharpe Ratio analysis (excess return/volatility; α/SD). The null hypothesis tested in this paper is the generalized Sharpe ratio characteristic of the biotechnology sector is identical to that of the overall market. METHODS: 337 companies were identified using Standard Industry Classification code 2836 (Biological Products, (No Diagnostic Substances)) lists from the Center for Research and Security Prices (CRSP) and S&P CompuStat databases. Market data on equity and return were derived from securities price data from the CRSP database. Market data were used to characterize the following measures: Mean Excess Return, Mean Excess Return minus 1% of top earners (trimmed), Volatility (SD),Sharpe Ratio and 1% Adjustment RESULTS: The study finds the biotech industry earned excess returns of 13.84% over time when compared to the overall market ( 5.10%). However, these returns are highly concentrated: When the top 1% of sector earners are removed from analysis, excess return declines below the risk free rate (return of -0.05%) suggesting significant barriers to risk diversification. CONCLUSIONS: The results show the biotechnology sector experiences higher volatility compared with the overall market, as well as higher excess returns. The results justify a rejection of the null hypothesis – that the generalized Sharpe ratio of the biotechnology sector is identical to that of the overall market
dc.language.isoen_USen
dc.publisherThe University of Arizona.en
dc.rightsCopyright © is held by the author.en
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectBiotechnology Sectoren
dc.subjectBiotechnology Industryen
dc.subject.meshBiotechnologyen
dc.titleProfitability, Volatility, and Risk in the Biotechnology Sectoren_US
dc.typetexten
dc.typeElectronic Reporten
dc.contributor.departmentCollege of Pharmacy, The University of Arizonaen
dc.description.collectioninformationThis item is part of the Pharmacy Student Research Projects collection, made available by the College of Pharmacy and the University Libraries at the University of Arizona. For more information about items in this collection, please contact Jennifer Martin, Librarian and Clinical Instructor, Pharmacy Practice and Science, jenmartin@email.arizona.edu.en
html.description.abstractOBJECTIVES: (1) To characterize the long-term performance of the biotechnology sector and the overall market using a Sharpe Ratio analysis (excess return/volatility; α/SD). The null hypothesis tested in this paper is the generalized Sharpe ratio characteristic of the biotechnology sector is identical to that of the overall market. METHODS: 337 companies were identified using Standard Industry Classification code 2836 (Biological Products, (No Diagnostic Substances)) lists from the Center for Research and Security Prices (CRSP) and S&P CompuStat databases. Market data on equity and return were derived from securities price data from the CRSP database. Market data were used to characterize the following measures: Mean Excess Return, Mean Excess Return minus 1% of top earners (trimmed), Volatility (SD),Sharpe Ratio and 1% Adjustment RESULTS: The study finds the biotech industry earned excess returns of 13.84% over time when compared to the overall market ( 5.10%). However, these returns are highly concentrated: When the top 1% of sector earners are removed from analysis, excess return declines below the risk free rate (return of -0.05%) suggesting significant barriers to risk diversification. CONCLUSIONS: The results show the biotechnology sector experiences higher volatility compared with the overall market, as well as higher excess returns. The results justify a rejection of the null hypothesis – that the generalized Sharpe ratio of the biotechnology sector is identical to that of the overall market


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