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

See Also

The EDHEC Executive MBA climbs 11 places in the Financial Times 2019 global ranking
News
- 18-11-2019
The Financial Times published today its latest global ranking of Executive MBAs,...
What did an EDHEC professor learn from his participation in the Innovation Roundtable Summit?
News
- 15-11-2019
René Rohrbeck, Professor of strategy and Director of the EDHEC Chair for Foresight,...
EDHEC ALLOWED ME TO GAIN SKILLS FOR A CAREER IN THE SUSTAINABLE FINANCIAL SECTOR
News
- 13-11-2019
Camélia wanted to act and follow her two passions : Finance and Sustainable Development...
50th thesis defense for the EDHEC PhD in Finance Programme
News
- 11-11-2019
On November 8, 2019, on the EDHEC London campus, the doctoral thesis “Two Essays on...