Published in:INSEAD Working Paper ; No. 2010/61/FIN
Extent:
1 Online-Ressource (65 p)
Language:
English
DOI:
10.2139/ssrn.1665048
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 25, 2010 erstellt
Description:
Should capital cost calculation be based on a global or local market benchmark? The December 2000 redefinition of the global MSCI equity index was a natural experiment addressing this question. It is argued that this event triggered a portfolio shift (by index funds) large enough to affect the residual asset supplies constituting the global and local market benchmarks of all actively managed capital. Changes in the market benchmarks imply distinct and predictable changes to global and local stock betas. Exploring whether global or local beta changes best explain the cross section of event returns reveals whether stocks are priced globally or locally