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Barry and Brown find that returns are higher for securities that have been listed for shorter periods of time after controlling for firm size and a January effect. The purpose of this paper is to examine the robustness of this period of listing effect and test for a post‐listing effect.

By extending the sample and including additional risk measures using both the Fama and Macbeth approach and the Fama and French approach, the author is able to conduct a stronger test of the period of listing effect and jointly test for a post‐listing effect.

The results indicate that there is a period of listing effect but that the effect is driven not by the higher returns of the newly listed firms but by the lower returns of the longest listed firms. The paper also provides additional support for a post‐listing effect in the sample.

While the results support a period of listing effect, they invite the larger question of why longer listed firms underperform. While the Barry and Brown informational risk explanation for period of listing effect may suffice, the results indicate a greater need to understand why returns vary with firm listing age especially for the newly listed and longest listed firms.

This paper aims to study characteristics of specified purpose acquisition companies (SPACs) and examine the performance of their securities over time.

Previous findings in literature on SPACs' performance around the announcement of merger date are scarce, not uniform, and mostly address the performance of SPACs' common shares. The authors believe that more insights on merger announcements can be obtained if the perf]ormance of all three types of securities that SPACs issue during the IPO, namely units, common stocks, and warrants are analyzed simultaneously. In order to examine the behavior of these securities we form three samples with daily returns for three distinguished SPAC securities. Results are obtained for abnormal returns based on the market model from Brown and Warner.

It is found that SPACs represent a fairly unique way to raise capital. The incentives of their founders, underwriters, and investors are interdependent and successful business combinations generally result in significant returns to founders. The analysis shows that SPACs have a complex corporate structure in which the incentives of the founders, underwriters, and investors are interdependent and where successful mergers result in significant returns to the founders. It also shows that different SPAC securities do not exhibit similar reactions in response to announcements regarding their corporate status. While holders of all three securities realize positive abnormal returns on the merger announcement day, the strongest reaction is observed among the investors holding warrants, while common stock holders react very mildly.

SPACs are recent phenomena in capital markets and very few papers in finance literature describe them. None of the existing papers evaluated performance of all three types of SPAC securities: units, common shares and warrants before this paper.

The purpose of this paper is to focus on one of the major emerging Asian economies – India – to examine the role of human capital in asset prices.

The analysis uses various statistical techniques (e.g. multifactor regression model, 3D graphs, GRS test and residual graphs) to test the role of human capital in asset prices.

A six-factor model designed for capturing the size, value, profitability, investment and human capital patterns in average portfolio returns performs better than both Fama–French’s (1993) three- and Fama–French’s (2015) five-factor model. The main problem of six-factor model is its failure in capturing the average returns on “microcap with low-value stocks that are highly profitable invests aggressively for asset growth but invests much lesser for human growth” and “microcap with unprofitable stocks whose returns behave like those of low-value firms with conservative investment”. The study finds the investment factor (CMA) of Fama–French’s (2015) five-factor model as the redundant factor for describing the portfolio average returns in the study sample.

The paper argues that human capital also plays a role in predicting returns. This has significant public policy content.

The present study is novel for several reasons: first, it includes six-factor model descriptions; second, no comprehensive asset pricing study is done with human capital in Asian emerging markets, especially in India. Perhaps, this is the first study to examine whether portfolio returns are affected by the human capital in the Indian context. Third, the study period and methodology used are completely different from the previous studies.

This paper aims to replicate 148 anomalies and to examine whether the performance of the Korean market anomalies is statistically and economically significant. First, the authors observe that only 37.8% anomalies in the universe of the KOSPI and the KOSDAQ and value-weighted portfolios have t-statistics that exceed 1.96. When the authors impose a higher threshold (an absolute value of t-statistics of 2.78), only 27.7% of the 148 anomalies survive. Second, microcaps have large impacts. The results vary significantly depending on whether the sample included stocks in the KOSDAQ and whether value-weighted or equal-weighted portfolios are used. The results suggest that data mining explains large portion of abnormal returns. Any tactical asset allocation strategies based on market anomalies should be applied very cautiously.

This study examines the five-factor model of Fama and French (2015) on the French stock market by comparing it to the Fama and French (1993)’s base model. The new Fama and French five-factor model directed at capturing two new factors, profitability and investment in addition to the market, size and book to market premiums. The pricing models are tested using a time-series regression and the Fama and Macbeth (1973) methodology. The regularities in the factor’s behavior related to market conditions and to the sovereign debt crisis in Europe are also examined. The findings of Fama and French (2015) for the US market are confirmed on the Paris Bourse. The results show that both models help to explain some of the stock returns. However, the five-factor model is better since it has a marginal improvement over the widely used three-factor model of Fama and French (1993). In addition, the investment risk premium seems to be better priced in the French stock market than the profitability factor. The results are robust to the Fama and Macbeth (1973) methodology. Moreover, profitability and investment premiums are not affected by market conditions and the European sovereign debt crisis.

The purpose of this paper is to examine alternative six- and seven-factor equity pricing models directed at capturing a new factor, aggregate volatility, in addition to market, size, book to market, profitability, investment premiums of the Fama and French (2015) and Fama and French’s (2018) aggregate volatility augmented model.

The models are tested using a time series regression and Fama and Macbeth’s (1973) methodology.

The authors show that both six- and seven-factor models best explain average excess returns on the French stock market. In fact, the authors outperform Fama and French’s (2018) model. The authors use sensitivity of aggregate volatility of a stock VCAC as a proxy to construct the aggregate volatility risk factor. The spanning tests suggest that Fama and French’s (1993, 2015, 2018) and Carhart’s (1997) models do not explain the aggregate volatility risk factor FVCAC. The results show that the FVCAC factor earns significant αs across the different multifactor models and even after controlling for the exposure to all the other in Fama and French’s (2018) model. The asset pricing tests show that it is systematically priced. In fact, the authors find a significant and negative (positive) relation between the aggregate volatility risk factor and the excess returns in the French stock market when it is rising (falling), in addition, periods with downward market movements tend to coincide with high volatility.

The authors contribute to the related literature in several ways. First, the authors test two new empirical six- and seven-factor model and the authors compare them to Fama and French’s (2018) model. Second, the authors give new evidence about the VCAC, using it for the first time to the authors’ knowledge, to construct a volatility risk premium.

The purpose of this paper is to explore the type of accounting scandals reported in Wikipedia which have occurred in different countries on different continents. It also explores the frequency and the dollar amount of the type of accounting scams that have been committed by the companies.

The paper analyses each company‘’s committed accounting scandal(s). It then classifies the companies on a country, type of scandal and industry basis. It further analyses the distribution of accounting scandals and explains the major ones in its category.

The paper concludes that within the confines of the information reported in Wikipedia, the majority of accounting scandals have occurred in USA both in number of scams and in USD amount. The most frequent type of accounting scam is overstatement of assets and understatement of liabilities including roundtrip sales. Another inference from the paper is that the accounting scams can occur anywhere at any amount. It is not a country-specific issue.

Auditors, accounting and auditing instructors and accountants talk about accounting scandals. Auditors, in particular, are required to issue audit reports that are free of material errors either deliberately or innocently made. This paper sheds light onto the issue, as it shows what major type of accounting scandals have been committed in the literature, as they had devastating repercussions on the shareholders.

Resources are scarce. Public’s savings must be sourced to the companies that produce the value added to the society. Misrepresentation of financial statements is an issue which distorts this relationship. The paper, by showing the type and amount of scandals, is opening up the issue to public that people be aware of what type of company they are investing in and what potential risks they are undertaking that may be leading them to be more selective in their investments.

The paper covers the original stories that have occurred throughout the world since 1970s. The names of the companies are original and the amounts of scams have either been collected as USD from the story itself or converted to USD at time of the event. All USD figures have then been restated to the 2011 year-end purchasing power. Thus, the cases are reflecting the approximate USD value as of 2011 year-end derived from its historical original value. The paper reshuffles the data in certain ways so that the reader will have a better view of the cases than that of presented in Wikipedia.