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Cotter, John (1997) Irish event studies: Earnings announcements, turn of the year and size effects. Irish Business and Administrative Research, 18 (1): 3. pp. 34-51. ISSN 0332-1118
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Abstract
This paper takes a dynamic approach to traditional event study methodology and provides an event analysis of twenty-two companies listed on the Irish Stock Exchange. Two events are assessed: earnings announcements and the turn-of-the-year effect. This paper begins with a review of the literature on event studies, and the data is then described; this is followed by an outline of the theory and a discussion of the appropriate statistical methods of testing for abnormal returns and volatility. A recursive-sample methodology which accounts for information flows and allows beta to vary is employed.
| Item Type: | Article |
|---|---|
| Keywords: | earnings announcements; turn of the year; size effects; |
| Academic Unit: | Faculty of Social Sciences > School of Business |
| Item ID: | 21781 |
| Depositing User: | IAM School of Business |
| Date Deposited: | 18 Aug 2026 13:24 |
| Journal or Publication Title: | Irish Business and Administrative Research |
| Publisher: | Irish Academy of Management |
| Refereed: | Yes |
| Use Licence: | This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here |
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