Dear colleagues,
I am happy to forward you the information regarding the following seminar organized by LTI@UniTO. The seminar can also be attended via zoom at the following link:
https://us02web.zoom.us/j/86733344211?pwd=UGNoUi9CNFM5bE5SNmNaeFR6bTJsQT09
Best regards,
Luca Regis
LTI@UniTO and Fondazione Collegio Carlo Alberto are pleased to invite you to the following seminar:
October 3, 2022 | 12:00-13:00 “How do Funds Deviate from Benchmarks? Evidence from MSCI’s Inclusion of Chinese A-shares” (joint with Lennart Dekker and Jasmin Gider)
Frank de Jong (Tilburg University)
Abstract. An increasing amount of assets is managed by benchmark-tracking investment funds. This study investigates how benchmarking changes affect portfolio compositions in the cross-section of different investor types and stock characteristics. To that end, we exploit the phased introduction of Chinese A-shares to the MSCI Emerging Markets index, which was announced in June 2017 and implemented over the period from May 2018 to November 2019. This change presents a rare opportunity to estimate the impact of index changes and to shed light on cross-sectional implications. We document that particularly passive funds systematically deviate from the benchmark. Market capitalization, stock liquidity and stock volatility affect how benchmark changes translate to portfolio adjustments of mutual funds and ETFs. We then study how the changes in benchmark weights affect financial market outcomes, more specifically the comovement of returns. We find that these characteristics moderate the impact of benchmarking changes on financial market outcomes, suggesting that deviations from benchmarks matter.
FONDAZIONE COLLEGIO CARLO ALBERTO Piazza Arbarello 8 - 10122 Torino, Italy phone: +39011 15630 800 segreteria@carloalberto.org - www.carloalberto.org
© 2021 Fondazione Collegio Carlo Alberto
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Luca Regis Associate Professor ESOMAS Department University of Torino sites.google.com/view/lucaregis www.carloalberto.org/lti
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