The current study attempts to investigate that the depressed wealth effect of liquidity risk is priced in developed and emerging markets or not. Multiple liquidity measures including Amivest liquidity, market efficiency coefficient, Roll estimator and value turnover are used in the study for...

Researchers have observed the political risk, sign paradox whereby a decrease in political risk is associated with an increase in stock market returns. However, the political risk-return relationship may be driven by a few political risk factors or emerging market countries. This paper examines...

Financial market instability has been the focus of attention of both academic and policy circles. Rating agencies have been under particular scrutiny lately as promoters of financial excesses, upgrading countries in good times and downgrading them in bad times. Using a panel of emerging...