Price effect and investor awareness: Evidence from MSCI Standard Index reconstitutions
Cheng-Yi Shiu and
Journal of Empirical Finance, 2019, vol. 50, issue C, 93-112
•We examine changes in the MSCI Standard Index for 38 countries from 2000 to 2015.•The abnormal returns for additions to MSCI Index are positive and permanent.•The negative abnormal returns for deletions are transient.•The finding is consistent with the prediction of the investor awareness hypothesis.•The MSCI Index effects are more profound in emerging markets and in recent years.
Keywords: Index effects; Investor awareness; MSCI; Institutional investor base (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:50:y:2019:i:c:p:93-112
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