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Market Anomalies for the Irish Equity Market

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Author Info
John Cotter

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Abstract

This paper applies an event study methodology to 22 Irish equities between 1990-1995. A recursive-sample methodology is used to account for informational flows. The research design allows risk to vary in event time testing hypotheses on the turn of the year event, the earnings announcements event and the influence of firm size. The results are robust in terms of model specification and measurement problems. The evidence tentatively supports a turn of the year effect. Abnormal returns are present around earnings announcements but positively related to risk. Firm size affects the turn of the year findings but not earnings announcements.

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Paper provided by Financial Services Research Forum in its series Financial Market Papers with number 3.

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Handle: RePEc:fsr:fsrewp:3

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Web page: http://www.business.ulster.ac.uk/retailfinancial/
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This page was last updated on 2009-12-2.

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