PMC:7589389 / 22719-23975 JSONTXT

{"project":"LitCovid-PD-CLO","denotations":[{"id":"T84","span":{"begin":300,"end":303},"obj":"http://purl.obolibrary.org/obo/CLO_0002199"},{"id":"T85","span":{"begin":310,"end":311},"obj":"http://purl.obolibrary.org/obo/CLO_0001020"},{"id":"T86","span":{"begin":324,"end":328},"obj":"http://purl.obolibrary.org/obo/CLO_0053733"},{"id":"T87","span":{"begin":341,"end":342},"obj":"http://purl.obolibrary.org/obo/CLO_0001020"},{"id":"T88","span":{"begin":354,"end":358},"obj":"http://purl.obolibrary.org/obo/CLO_0050507"},{"id":"T89","span":{"begin":1075,"end":1082},"obj":"http://purl.obolibrary.org/obo/CLO_0009955"},{"id":"T90","span":{"begin":1091,"end":1094},"obj":"http://purl.obolibrary.org/obo/CLO_0002199"},{"id":"T91","span":{"begin":1097,"end":1101},"obj":"http://purl.obolibrary.org/obo/CLO_0050507"}],"text":"3.3. The Measure of Market Reaction\nWe apply the cumulative abnormal return to represent the short-window market reaction to the continued increase of public health threats. Particularly, following the prior studies [38,50,51,52,53], we compute two measures of the firm’s cumulative abnormal return (CAR) with a three-day [−1, 1] window and a five-day [−2, 2] window based on the market model as follows:Firm Return = β0 + β1Market Return + ε(1) where Firm Return is the firm’s daily stock return, and Market Return is the daily stock market return. Similar to the prior studies [51,54], we estimate the value of the constant term (β0) and the systematic risk of the stock (β1) based on model (1) over the period from current day 200 to current day 60 ([−200, −60]) and day 0 is the date of the current day. Then we get the abnormal returns by calculating the residuals of model (1) with the estimated value of the constant term and systematic risk of the stock. Finally, we generate two types of cumulative abnormal returns around the three-day and five-day short windows (CAR [−1, 1] and CAR [−2, 2]). These two short-window abnormal return measures capture investors’ risk assessment of expected costs of the continued increasing public health threats."}

{"project":"LitCovid-sentences","denotations":[{"id":"T167","span":{"begin":0,"end":4},"obj":"Sentence"},{"id":"T168","span":{"begin":5,"end":35},"obj":"Sentence"},{"id":"T169","span":{"begin":36,"end":173},"obj":"Sentence"},{"id":"T170","span":{"begin":174,"end":550},"obj":"Sentence"},{"id":"T171","span":{"begin":551,"end":808},"obj":"Sentence"},{"id":"T172","span":{"begin":809,"end":963},"obj":"Sentence"},{"id":"T173","span":{"begin":964,"end":1104},"obj":"Sentence"},{"id":"T174","span":{"begin":1105,"end":1256},"obj":"Sentence"}],"namespaces":[{"prefix":"_base","uri":"http://pubannotation.org/ontology/tao.owl#"}],"text":"3.3. The Measure of Market Reaction\nWe apply the cumulative abnormal return to represent the short-window market reaction to the continued increase of public health threats. Particularly, following the prior studies [38,50,51,52,53], we compute two measures of the firm’s cumulative abnormal return (CAR) with a three-day [−1, 1] window and a five-day [−2, 2] window based on the market model as follows:Firm Return = β0 + β1Market Return + ε(1) where Firm Return is the firm’s daily stock return, and Market Return is the daily stock market return. Similar to the prior studies [51,54], we estimate the value of the constant term (β0) and the systematic risk of the stock (β1) based on model (1) over the period from current day 200 to current day 60 ([−200, −60]) and day 0 is the date of the current day. Then we get the abnormal returns by calculating the residuals of model (1) with the estimated value of the constant term and systematic risk of the stock. Finally, we generate two types of cumulative abnormal returns around the three-day and five-day short windows (CAR [−1, 1] and CAR [−2, 2]). These two short-window abnormal return measures capture investors’ risk assessment of expected costs of the continued increasing public health threats."}

{"project":"LitCovid-PubTator","denotations":[{"id":"163","span":{"begin":675,"end":677},"obj":"Gene"}],"attributes":[{"id":"A163","pred":"tao:has_database_id","subj":"163","obj":"Gene:597"}],"namespaces":[{"prefix":"Tax","uri":"https://www.ncbi.nlm.nih.gov/taxonomy/"},{"prefix":"MESH","uri":"https://id.nlm.nih.gov/mesh/"},{"prefix":"Gene","uri":"https://www.ncbi.nlm.nih.gov/gene/"},{"prefix":"CVCL","uri":"https://web.expasy.org/cellosaurus/CVCL_"}],"text":"3.3. The Measure of Market Reaction\nWe apply the cumulative abnormal return to represent the short-window market reaction to the continued increase of public health threats. Particularly, following the prior studies [38,50,51,52,53], we compute two measures of the firm’s cumulative abnormal return (CAR) with a three-day [−1, 1] window and a five-day [−2, 2] window based on the market model as follows:Firm Return = β0 + β1Market Return + ε(1) where Firm Return is the firm’s daily stock return, and Market Return is the daily stock market return. Similar to the prior studies [51,54], we estimate the value of the constant term (β0) and the systematic risk of the stock (β1) based on model (1) over the period from current day 200 to current day 60 ([−200, −60]) and day 0 is the date of the current day. Then we get the abnormal returns by calculating the residuals of model (1) with the estimated value of the constant term and systematic risk of the stock. Finally, we generate two types of cumulative abnormal returns around the three-day and five-day short windows (CAR [−1, 1] and CAR [−2, 2]). These two short-window abnormal return measures capture investors’ risk assessment of expected costs of the continued increasing public health threats."}