Earnings Announcements and Stock Returns – An Event Study of the Norwegian Stock Market
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This master’s thesis is an event study concerning earnings announcements in the Norwegianstock market between 2018 and 2020. The purpose of this study is to test the efficient markethypothesis proposed by Eugene Fama on the Norwegian stock market, and we want to testexactly how firms in the Norwegian market react to earnings announcements. Several studieshave been done regarding how the market in various countries reacts to earningsannouncements, but few studies have been done on the Norwegian market. Previous researchhas used both event studies and difference-in-difference methods to observe the actual impactof the markets reacting to earnings announcements. In our thesis, we conducted an event studyto see if the market reacted efficiently to the earnings announcements, deviating from theexpected values. We also performed a difference-in-difference analysis to observe how muchimpact an earnings announcement had on a company`s return compared to companies thathadn't released any announcement. Our thesis showed that the Norwegian market seeminglyacts efficient to earnings announcements under ordinary market conditions, but that it`s harderto estimate the observed market reactions in periods with high market volatility, such as in2020. We also showed that in periods with high volatility, the market seemingly values otherfactors more highly, which causes less observed effect from the release of earningsannouncements.