Professor Jeffrey Wurgler, Stern School of Business

Approximately ten trillion dollars is benchmarked to Morgan Stanley Capital International’s developed, emerging, frontier, and standalone market indexes. Reclassifications from one index to another require thousands of investors to decide how to react. We study a comprehensive sample of past reclassifications to guide this decision. Reclassified markets’ prices substantially overshoot between the announcement and effective dates – prices fall when a market moves from an index with more benchmarked ownership to one with less, such from emerging to frontier, and vice-versa – but revert within a year. We identify alpha-maximising responses to reclassifications for both tightly benchmarked and more flexible investors.

Speaker bio

Jeffrey Wurgler is the Nomura Professor of Finance at New York University Stern School of Business. His research and teaching interests include corporate finance and behavioural finance. Before joining Stern Business School in 2001, Professor Wurgler was the Robert B. and Candice J. Haas Assistant Professor of Corporate Finance at Yale School of Management. He has also been a Visiting Fellow at the University of Oxford Saïd Business School. Professor Wurgler received a Bachelor of Arts and Sciences degree from Stanford University and a PhD in Business Economics from Harvard University.

This seminar is organised in association with the Cambridge Corporate Governance Network (CCGN).

House icon Address

Room W2.02 (Cambridge Judge Business School)
Trumpington St
Cambridge
CB2 1AG

Clock icon Date & time

Date: 6 June 2017
Start Time: 11:00
End Time: 12:30

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Open to: Members of the University of Cambridge

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Event location


Trumpington St
Cambridge
CB2 1AG

Event timings

Date: 6 June 2017
Start Time: 11:00
End Time: 12:30