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.
Description
Masteroppgave(MSc) in Master of Science in Finance/Master of Science in Business, Finance - Handelshøyskolen BI, 2018