Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications
研究了MSCI指数重分类前后市场价格的过度反应与反转现象，为基准投资者和灵活投资者提供最大化超额收益的应对策略。
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.