Rebalancing Shows No Price Effects

"(...) Multi-factor indices show no price effects around index rebalancing that would worsen performance for index investors, says ‘Do Factor Indices Suffer from Price Effects around Index R ...

"(...) Multi-factor indices show no price effects around index rebalancing that would worsen performance for index investors, says ‘Do Factor Indices Suffer from Price Effects around Index Rebalancing?’, a study from Scientific Beta. These findings are in stark contrast to results for cap-weighted indices, for which price reactions around reconstitution events have been substantial. However, the results do not necessarily extend to other factor indices with different construction rules. Specifically, the indices in the study limit demand pressure on stocks through investability constraints and broad diversification. Indices that omit these features could fare differently when tested for price effects. (...)"

Type: Press article
Date: le 24/10/2019
Research Cluster : Finance
Source : Benefits and Pensions Monitor

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