Meanwhile, on Tuesday's show, O'Reilly told viewers that he always take a little R&R around Easter time.
Deadline commented, "This constitutes news because O'Reilly has yet to publicly address a New York Times report that Fox News and its primetime star had, between them, allegedly paid five women almost $13m in settlements going back 15 years".
The New York Times reported earlier this month that O'Reilly and the Fox News network have already paid said women around $13 million, despite staunch denial by O'Reilly and Fox that he's guilty of any wrongdoing.
Fox News parent Twenty-First Century Fox Inc said on Sunday it will investigate a sexual harassment claim against TV anchor Bill O'Reilly, who has seen several companies pull their ads from his top-rated news show in the past week.
Fox News has announced that it is conducting an independent inquiry into allegations that O'Reilly harassed Wendy Walsh, a Los Angeles radio personality and former guest on The O'Reilly Factor. Put it to good use, ' O'Reilly said. "If you've got a friend who's accused of something like that over and over again, I might think twice about defending him. All of us deserve a break, so make sure you take yours".
Oliver and his team produced an ad to air during The O'Reilly Factor in NY and Washington, D.C., which they submitted to stations on Friday.
O'Reilly used his show Tuesday to say that he was going on a planned vacation.
The current plan is for O'Reilly to return April 24.
Walsh said in the video that she declined O'Reilly's invitation and that soon after, he became "hostile" and told her she could forget about any career advice he had given previously, and that she was on her own.
James will hold a rally outside the Fox News headquarters Wednesday evening to protest the "culture of sexual assault and racism that the company has promoted and allowed".
Fox News, which accounts for an estimated quarter of Fox's profit, has stayed on top in cable ratings despite the internal turmoil. O'Reilly announced he is taking a "vacation" amid harassment claims.
Others argue this defense is less than compelling, given the fact that O'Reilly was by no means the only - or the most powerful - figure at the network to be hit with sexual harassment complaints.
O'Reilly's ongoing saga follows Fox News ousting its chairman, Roger Ailes, over charges of serial sexual harassment.