The Anatomy of Index Rebalancings : Evidence from Transaction Data
This paper exploits a novel dataset covering the universe of transactions in the Colombian Stock Exchange to analyze episodes of additions to and deletions from MSCI equity indexes. The analysis finds that additions and deletions have large price e...
| Main Authors: | , , , |
|---|---|
| Format: | Working Paper |
| Language: | English |
| Published: |
World Bank, Washington, DC
2021
|
| Subjects: | |
| Online Access: | http://documents.worldbank.org/curated/undefined/706421631193249974/The-Anatomy-of-Index-Rebalancings-Evidence-from-Transaction-Data http://hdl.handle.net/10986/36278 |