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Global Versus Local Asset Pricing: A Speculation-Based Test of Market Integration
2010
Social Science Research Network
Should capital cost calculations 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
doi:10.2139/ssrn.1665048
fatcat:rt7ed233yjelxnd7gmycfx5mp4