A Flexible and Customizable Method for Assessing Cognitive Abilities

Terence Burnham, Harry Gakidis and Jeffrey Wurgler
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Terence Burnham: Chapman University Argyros School of Business and Economics
Harry Gakidis: Acadian Asset Management
Jeffrey Wurgler: NYU Stern School of Business and NBER

Working Papers from Chapman University, Economic Science Institute

Abstract: Approximately $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 guide this decision. 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 viceversa—but revert within a year. We identify alpha-maximizing responses to reclassifications for both tightly benchmarked and more flexible investors.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:chu:wpaper:17-10

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