NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications

Terence C. Burnham, Harry Gakidis, Jeffrey Wurgler

NBER Working Paper No. 23557
Issued in June 2017

---- Acknowledgments ----

We thank Brendan Bradley, Stephen Brown (the executive editor), Asha Mehta, seminar participants at Acadian Asset Management, University of Cambridge, University of Oxford, and University of Warwick, and two anonymous reviewers for many helpful comments. We are also very grateful to Morgan Stanley Capital International for providing data on the extent of indexation. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

---- Disclosure of Financial Relationships for Harry Gakidis ----

Terence Burnham is an associate professor at Chapman University. Harry Gakidis is SVP, Portfolio Manager at Acadian Asset Management, Boston. Jeffrey Wurgler is professor of finance at New York University Stern School of Business, ,research associate at the National Bureau of Economic Research, and research consultant at Acadian Asset Management, Boston

The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research or Acadian Asset Management. The views should not be considered investment advice and do not constitute or form part of any offer to issue or sell, or any solicitation of an offer to subscribe or to purchase, shares, units or other interests in any particular investments.

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