Huang, Biqing; Wald, John; Martell, Rodolfo - In: Emerging Markets Review 17 (2013) C, pp. 44-59
We test the impact of idiosyncratic risk on stock returns for emerging markets that experience financial market liberalizations. Idiosyncratic risk is positively associated with returns prior to financial market liberalization, but liberalization diminishes this effect. Moreover, prior to...