Firm Characteristics and the Impact of Emerging Market Liberalizations

Posted: 20 Aug 2004

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We provide a firm level analysis of the impact of capital market liberalization in 18 emerging markets. Consistent with models of international asset pricing, we find that firms' stock returns increase during liberalization and that a majority of firms have lower mean returns and lower dividend yields after liberalization. We also find that emerging market firms have increased exposure to the world market and decreased exposure to the home market following liberalization. These changes in returns and exposures support the predictions of theoretical international asset pricing models. We also test and find support for the importance of size, local risk, foreign exchange risk, and cross-listing status in explaining the cross-section of changes in returns.

JEL Classification: F3, G15

Suggested Citation

Patro, Dilip K. and Wald, John K., Firm Characteristics and the Impact of Emerging Market Liberalizations. Available at SSRN:

Dilip K. Patro (Contact Author)

OCC ( email )

400 7th Street SW
Washington, DC 20219
United States
202-649-5548 (Phone)

John K. Wald

University of Texas at San Antonio ( email )

1 UTSA Circle
San Antonio, TX 78249
United States
210-458-6324 (Phone)

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