| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23557 |
| 来源ID | Working Paper 23557 |
| Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications | |
| Terence C. Burnham; Harry Gakidis; Jeffrey Wurgler | |
| 发表日期 | 2017-07-10 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Almost $10 trillion is benchmarked to Morgan Stanley Capital International’s Developed, Emerging, Frontier, and standalone market indexes. Reclassifications from one index to another require thousands of investors to decide how to react. We study a comprehensive sample of past reclassifications to inform this decision. On average, reclassified markets’ prices substantially overshoot between the announcement and effective dates—prices fall when a market moves from an index with more benchmarked ownership to one with less, such from Emerging to Frontier, and vice-versa—but largely revert within a year. We identify alpha-maximizing responses to reclassifications for both benchmarked and more flexible investors. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w23557 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581231 |
| 推荐引用方式 GB/T 7714 | Terence C. Burnham,Harry Gakidis,Jeffrey Wurgler. Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23557.pdf（323KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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