Examining the illiquidity premium in stock markets across 45 countries, we find the following. First, the average illiquidity return premium across countries is positive and significant, after controlling for other pricing factors. The premium is measured by monthly return series on...

This paper examines regulatory governance in the context of African telecommunications. Though there is already a substantial literature devoted to the regulatory practices in developing countries, it generally conceptualizes the quality of regulation as an exogenous policy variable that affects...

We test whether policy risk is systematically priced in equity returns across 49 countries from 1995 to 2013. We construct two global policy risk factors based on the ratings from international country risk guide. They capture the policy risk from government instability (GOVLMH) and the quality...

We find that liquidity volatility negatively predicts stock returns in global markets. This relationship holds for different liquidity measures and cannot be explained by the idiosyncratic volatility effect. This puzzle can be explained by the asymmetric impact of liquidity increase and decrease...

We find liquidity volatility negatively predicts stock returns in global markets. This relationship holds for different liquidity measures and cannot be explained by the idiosyncratic volatility effect. We solve this empirical puzzle by emphasizing the asymmetrical impact of liquidity decrease...