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...

We find, in a sample of 7,581 merger offer announcements from 1990 to 2013, shareholders of 1,283 (or 17%) target firms responded to the offer with negative market returns. These investors were disappointed at the offer, despite the price premium. To explain their disappointment, one must...