This paper studies the cross-sectional properties of market liberalizations by decomposing the channels through which financial market liberalization affects firms from segmented markets. Using data on 27 emerging markets and 1000 firms, we show that the first ADR issuance in a country produces...

Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We...

We document that firms in the gold mining industry have consistently realized economically significant cash flow gains from their derivatives transactions. We conclude that these cash flows have increased shareholder value since there is no evidence of an offsetting adjustment in firms'...

We estimate the number of immigrants in the United States classified by their country of origin from census data in 1970, 1980, 1990 and 2000. We find, both in cross-sectional tests and in panel data tests, that the size of the immigrant group from a country living in the U.S. is positively...

Standard tests of portfolio efficiency neglect the existence of illiquid wealth. The most important illiquid asset in household portfolios is housing: if housing stock adjustments are infrequent, optimal portfolios in periods of no adjustment are affected by housing price risk through a hedge...

I test whether investors' trading decisions are influenced by their preferences for framing gains and losses. I find that investors are more likely to bundle sales of losers than sales of winners on the same day, consistent with the hedonic editing hypothesis (Thaler (1985)) that individuals...