We investigate the impact of market opening to foreign investors in 12 emerging markets using firm-level data as well as market-level data. As International Capital Asset Pricing Model (ICAPM) predicts, our results show apparent revaluation effects after market liberalization. More importantly, the results show significantly different impact based on firm size, which is used as a proxy for foreign investors' demand. Large firms, believed to be preferred by foreign investors, show much larger revaluation effect than small firms. This study eventually provide a better understanding of the market liberalization, especially using the firm-level data we could understand the real market liberalization impact based on the real demand from foreign investors.