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Price effect and investor awareness: Evidence from MSCI Standard Index reconstitutions

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  • Chen, Hung-Ling
  • Shiu, Cheng-Yi
  • Wei, Hui-Shan

Abstract

•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.

Suggested Citation

  • Chen, Hung-Ling & Shiu, Cheng-Yi & Wei, Hui-Shan, 2019. "Price effect and investor awareness: Evidence from MSCI Standard Index reconstitutions," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 93-112.
    • Handle: RePEc:eee:empfin:v:50:y:2019:i:c:p:93-112
    DOI: 10.1016/j.jempfin.2019.01.002
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    2. Kei Nakagawa & Masaya Abe & Junpei Komiyama, 2019. "A Robust Transferable Deep Learning Framework for Cross-sectional Investment Strategy," Papers 1910.01491, arXiv.org.

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