Investor Attention to Earnings Announcements on Fridays : An Empirical Analysis of the Market Reactions to Earnings Announcements on the Oslo Stock Exchange

Abstract

We use quarterly earnings announcements, analyst estimates, and daily equity data from the Oslo Stock Exchange to analyze if investors are less attentive on Fridays. We test this market anomaly with the following hypotheses: (1) Fridays have lower immediate and higher delayed abnormal returns after earnings announcements than other weekdays; and (2) Fridays have lower immediate abnormal turnover after earnings announcements than other weekdays. We do not find that there is a significantly different reaction to Friday announcements, neither for abnormal return nor turnover. Thus, we cannot conclude that investors are less attentive on Fridays. However, this relationship is not constant over time. We find that there was a significantly delayed response to Friday earnings announcements in the period 2005 to 2008.