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Outperformance of the pharmaceutical sector during the COVID-19 pandemic: Global time-varying screening rule development
This study demonstrates the major role played by the healthcare and pharmaceutical industries during the COVID-19 pandemic. For this purpose, it provides evidence of a better risk–return relationship in these sectors through a multivariate study of monthly frequency. A global and dynamic ratio is de...
Autores principales: | , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Elsevier Inc.
2022
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9330866/ https://www.ncbi.nlm.nih.gov/pubmed/35915847 http://dx.doi.org/10.1016/j.ins.2022.07.146 |
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author | Esparcia, Carlos López, Raquel |
author_facet | Esparcia, Carlos López, Raquel |
author_sort | Esparcia, Carlos |
collection | PubMed |
description | This study demonstrates the major role played by the healthcare and pharmaceutical industries during the COVID-19 pandemic. For this purpose, it provides evidence of a better risk–return relationship in these sectors through a multivariate study of monthly frequency. A global and dynamic ratio is developed to summarize different investor profiles according to their attitude toward risk and to consider the dynamic and changing nature of the economy and financial markets. This global ratio synthesizes the information from different orders of Kappa indices and Farinelli–Tibiletti ratios into a single measure. Additionally, we verify that Principal Component Analysis allows summarizing the information contained in the initial variables from the first new component. Our findings confirm that a filtering asset screening rule strategy is relevant and necessary. In this respect, passive management of midterm equal-weighted pharmaceutical portfolios outperforms both the pure financial and the healthcare investment strategies used during the pandemic. |
format | Online Article Text |
id | pubmed-9330866 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2022 |
publisher | Elsevier Inc. |
record_format | MEDLINE/PubMed |
spelling | pubmed-93308662022-07-28 Outperformance of the pharmaceutical sector during the COVID-19 pandemic: Global time-varying screening rule development Esparcia, Carlos López, Raquel Inf Sci (N Y) Article This study demonstrates the major role played by the healthcare and pharmaceutical industries during the COVID-19 pandemic. For this purpose, it provides evidence of a better risk–return relationship in these sectors through a multivariate study of monthly frequency. A global and dynamic ratio is developed to summarize different investor profiles according to their attitude toward risk and to consider the dynamic and changing nature of the economy and financial markets. This global ratio synthesizes the information from different orders of Kappa indices and Farinelli–Tibiletti ratios into a single measure. Additionally, we verify that Principal Component Analysis allows summarizing the information contained in the initial variables from the first new component. Our findings confirm that a filtering asset screening rule strategy is relevant and necessary. In this respect, passive management of midterm equal-weighted pharmaceutical portfolios outperforms both the pure financial and the healthcare investment strategies used during the pandemic. Elsevier Inc. 2022-09 2022-07-28 /pmc/articles/PMC9330866/ /pubmed/35915847 http://dx.doi.org/10.1016/j.ins.2022.07.146 Text en © 2022 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active. |
spellingShingle | Article Esparcia, Carlos López, Raquel Outperformance of the pharmaceutical sector during the COVID-19 pandemic: Global time-varying screening rule development |
title | Outperformance of the pharmaceutical sector during the COVID-19 pandemic: Global time-varying screening rule development |
title_full | Outperformance of the pharmaceutical sector during the COVID-19 pandemic: Global time-varying screening rule development |
title_fullStr | Outperformance of the pharmaceutical sector during the COVID-19 pandemic: Global time-varying screening rule development |
title_full_unstemmed | Outperformance of the pharmaceutical sector during the COVID-19 pandemic: Global time-varying screening rule development |
title_short | Outperformance of the pharmaceutical sector during the COVID-19 pandemic: Global time-varying screening rule development |
title_sort | outperformance of the pharmaceutical sector during the covid-19 pandemic: global time-varying screening rule development |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9330866/ https://www.ncbi.nlm.nih.gov/pubmed/35915847 http://dx.doi.org/10.1016/j.ins.2022.07.146 |
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