News Impact by Announcement Frequency on the Oslo Stock Exchange

Abstract

This study looks at company-filing return variation with respect to firms’ rate of market communication; the study spans all news-filings for every currently listed company on the Oslo Stock Exchange over the last twenty years. Specifically, it examines the variation of adjusted, abnormal returns by firms’ twelve-month news announcement frequency. Analysis suggests the existence of an inversely related relationship between the frequency of announcements issued and newsevent impact. The same result holds when controlling for choice of return adjustment model, measure of information flow, sample time-span, survivorship bias, and other biases. However, when analyzing a specific category of news – specifically, contract announcements – the relationship is conversely shown to be non-significant. We therefore conclude that a relationship does exist between announcement frequency and abnormal returns, but that the general relationship cannot be extrapolated to specific groupings of news within the aggregate sample.