In the past few years, Indian companies have participated in the worldwide trend of consolidation through cross-border mergers and acquisitions. This research study analyses the impact of such cross-border mergers and acquisitions on the financial performance of Indian acquiring companies. It also analyses, by applying a 29-day event window, the impact of the announcement of such decision on the acquiring companies' shareholders' wealth. By evaluating a sample of 15 firms in India that have experienced cross-border mergers and acquisitions from 2005 to 2008, we find that there has been no significant change in the financial position of these companies in the post-merger period as compared with the pre-merger period. Finally, results of the event window reveal that the shareholders of acquirer firms have witnessed a meagre positive cumulative average abnormal return during the post-merger announcement period.

Purpose Asset pricing revolves around the core aspects of risk and expected return. The main objective of the study is to test different asset pricing models for the Indian securities market. This paper aims to analyse whether leverage and liquidity augmented five-factor model performs better than Capital Asset Pricing Model (CAPM), Fama and French three-factor model, leverage augmented four-factor model and liquidity augmented four-factor model. Design/methodology/approach The data for the current study comprises records on prices of securities that are part of the Nifty 500 index for a time frame of 14 years, that is, from October 2004 to September 2017 consisting of 183 companies using time series regression. Findings The results indicate that the five-factor model performs better than CAPM and the three-factor model. The model outperforms leverage augmented and liquidity augmented four-factor models. The empirical evidence shows that the five-factor model has the highest explanatory power among the entire asset pricing models considered. Practical implications The present study bears certain useful implications for various stakeholders including fund managers, investors and academicians. Originality/value This study presents a five-factor model containing two additional factors, that is, leverage and liquidity risk along with the Fama-French three-factor model. These factors are expected to give more value to the model in comparison to the Fama-French three-factor model.

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Default risk is associated with the probability that a leveraged firm is not able to pay its financial obligation on time. Relationship between default risk and stock returns is very important from investor’s point of view because it has important implication for risk and return trade off. Relationship between default risk and returns is debatable issue and contradictory results are found in the literature regarding the relationship between default risk and stock returns. Default risk assessment helps the investors and lenders to accurately assess the risks to which investors or lenders are exposed. There are several models which can be used to assess the probability of default. In the present study, the widely used Altman’s Z-score model is used as a measure of default risk to find out the relationship between default risk and stock returns using simple linear regression analysis. It is found that Altman’s Z-score can be used as a measure of default risk and results indicate the existence of positive relationship between Z-score and stock return and hence a negative relationship between default risk and stock return.