Using data for emerging market firms that are either investable or uninvestable to foreigners, we study the effects of investability on fundamental volatility, excess volatility, and external finance. We find that fundamental volatility is lower for investable firms, while excess stock return volatility is greater. Share issuance is lower for investable firms, while debt issuance is essentially unchanged. These firm-level findings pose challenges to current theories of equity market liberalization, which contend that investability increases risk sharing, does not increase stock return volatility, and reduces financial constraints.