Quarterly Earnings Announcements and Efficiency at the Oslo Stock Exchange: An Event Study

Benedikte Bjerkvik Axelsen & Marie Pedersen

Student thesis: Master thesis


This thesis will study the stock market reaction to quarterly earnings announcements. An event study is conducted to investigate the market efficiency and the information content of quarterly earnings announcements in the Norwegian stock market, specifically the Oslo Stock Exchange. The period investigated is four years, spanning from January 1st, 2013 to 31st of December 2016, and the firms included in this thesis are those listed on the Oslo Stock Exchange Benchmark Index. The deviation of actual earnings per share from forecasted earnings per share is used to group the events into three different groups. The market model is applied to identify abnormal returns in the days and weeks surrounding the quarterly earnings announcements. Five different cases are analyzed, with a different grouping of the events, to be able to observe whether the reactions differ between the groups, and within the full sample. The main finding of this thesis is that the Oslo Stock Exchange seem to be efficient to a large extent, with some deviations from efficiency because significant abnormal returns are found at the announcement day and the day following, for several of the groups. There is information content in the quarterly earnings announcements, and the investors seem to have unrealistic expectations to the announcements. Moreover, there appear to be no large signs of a delayed stock price response to the new valuable information, which is called the post-earnings announcement drift.

EducationsMSc in Applied Economics and Finance, (Graduate Programme) Final Thesis
Publication date2017
Number of pages169