How does the Norwegian stock market react to IT investment announcements?

Abstract

This thesis examines how IT investment announcements affect the stock returns of firms listed at the Oslo Stock Exchange. An event study approach, using the Market model, Fama French Three Factor- and Carhart Four Factor-model to estimate normal returns, is applied. Estimated normal returns are compared to the actual historical returns in the market. Previous studies1 suggest that one should expect positive abnormal returns following announcements of IT investments. This study was not able to find any clear evidence supporting the idea that IT investment announcements create abnormal returns significantly different from zero. We did, however, find signs suggesting that small firms do experience some significant positive market reaction following their announcements.