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- W2892057196 abstract "Almost $10 trillion is benchmarked to MSCI’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 date and the effective date—prices fall when a market moves from an index with more benchmarked ownership to one with less (such as 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." @default.
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- W2892057196 date "2018-02-01" @default.
- W2892057196 modified "2023-09-23" @default.
- W2892057196 title "Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications" @default.
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- W2892057196 doi "https://doi.org/10.2469/faj.v74.n1.8" @default.
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