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. In NI, for example, failure levels increased by 30 percent between end 1989 and end 1990 and again by 30 percent between end 1990 and end 1991. This upsurge in failure levels has lead to a much-published battery of criticisms levied against lending institutions. For the most part these criticisms have been made by small firms in GB against the British clearing banks. The criticisms themselves have tended to focus upon loan risk premiums, collateral requirements, transaction costs and the volume of funds on offer.