The relationship between accounting information and security returns in the Irish market is examined. The methodological approach adopted, while not commonly used in market-based accounting research studies, appears suited to the unique Irish setting. The foundation for the methodological approach utilized was first conceptualized by Granger (1969), who offered a definition of causality based upon the relations between time series. The results of the analyses suggest that for the Irish Stock Exchange: 1. the annual published accounting reports of quoted companies are a significant information source for market participants, 2. the information conveyed by accounting reports is not immediately impounded in security prices, 3. in accordance with a priori expectations, the financial statements of smaller firms appear to convey more information to the market than those of larger firms, and 4. the sector in which a company operates appears to influence the importance or otherwise of accounting data as an information source.