Market efficiency is a widely researched topic in finance and one way to approach the
subject is to observe investor attention to firm announcements. Smaller reactions at certain
times have been observed and characterized as underreactions due to investor inattention.
Prior studies point that investors have limited attention and distractions such as macro
events and certain weekdays affect the trading volumes and market reactions to
announcements.
In this thesis we focus on the market reactions to firm announcements and observe if
there are signs of investor inattention to announcements made on Fridays and during
different phases of Covid-19 pandemic. We limit our sample to the Nordic countries of
Finland, Sweden, Denmark, and Norway from 2013-2023. We examine the phenomenon
with five different announcement types: earnings, dividend, merger, share repurchase and
seasoned equity offering. To find out if there is a bias with Friday announcements
producing different market reactions compared to announcements on other days, we also
study if the companies making Friday announcements are inherently different by following
their market reactions caused by announcements and comparing their firm characteristics
to the companies which do not make Friday announcements.
Our results indicate that the market reactions on Fridays for earnings announcements
are larger than on other days which is the opposite to prior literature. Market reactions to
dividend announcements made by companies making announcements on Fridays are
smaller on each day of the week. Otherwise there does not appear to be significant
differences between Friday announcements and non-Friday announcements nor between
Friday announcers and non-Friday announcers. Friday announcers and non-Friday
announcers do not have consistently different firm characteristics across the different
announcement types. We do not find consistent evidence of decreased investor attention
during different phases of the Covid pandemic, and on contrary, the results appear to show
more signs of increased attention during the pandemic.
