Terence C. Burnham
Institutional Affiliation: Chapman University
Information about this author at RePEc
NBER Working Papers and Publications
|June 2017||Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications|
with , : w23557
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.
Published: Terence C. Burnham & Harry Gakidis & Jeffrey Wurgler, 2018. "Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications," Financial Analysts Journal, vol 74(1), pages 77-87.
|November 2011||Comment on "Endogenous and Systemic Risk"|
in Quantifying Systemic Risk, Joseph G. Haubrich and Andrew W. Lo, editors