Market efficiency in announcements of petroleum discoveries : an empirical analysis for the Norwegian continental shelf

Abstract

This is an event study which investigates the stock price behavior of oil and gas companies in the days surrounding announcements of petroleum discoveries. The pre-announcement period is examined in order to test for indications of information leakage. The analysis in the post-announcement period is a test of market efficiency and competing theories of return behavior following firm-specific events. I find no indications of information leakage, and the market seems to adjust efficiently to the announcements. However, there are some weak indications of a positive post-announcement drift. Due to some power issues, I leave this an open question for further research.