MSCI Inc.

MSCI Inc.

88 Pine Street

2nd Floor

New York, NY 10005

United States

SCHOLARLY PAPERS

49

DOWNLOADS
Rank 3,411

SSRN RANKINGS

Top 3,411

in Total Papers Downloads

14,162

SSRN CITATIONS
Rank 31,787

SSRN RANKINGS

Top 31,787

in Total Papers Citations

15

CROSSREF CITATIONS

12

Scholarly Papers (49)

1.

Is There a Link between GDP Growth and Equity Returns?

MSCI Barra Research Paper No. 2010-18
Number of pages: 10 Posted: 12 Nov 2010
MSCI Inc.
MSCI Inc.
Downloads 2,093 (9,102)

Abstract:

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Link Between GDP Growth and Equity Returns, Possible Positive Relationship between Economic Growth and Stock Market Returns, Long-Term Equity Data

GDP Weighted Asset Allocation, February 2010

MSCI Barra Research Paper No. 2010-07
Number of pages: 7 Posted: 07 May 2010
MSCI Inc.
MSCI Inc.
Downloads 728 (43,441)

Abstract:

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alternative global index, weighting scheme, countries regional index, GDP, MSCI, All Country World, MSCI World, MSCI Emerging markets, market capitalization, historical outperformance

GDP Weighted Asset Allocation, February 2010

MSCI Barra Research Paper No. 2010-05
Number of pages: 7 Posted: 16 Feb 2010
MSCI Inc.
MSCI Inc.
Downloads 221 (173,258)

Abstract:

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GDP, Weighted, asset allocation, alternative global index, regional MSCI, All Country World, emerging markets

3.

Refining Portfolio Construction When Alphas and Risk Factors are Misaligned

MSCI Barra Research Paper No. 2009-09
Number of pages: 8 Posted: 26 Mar 2009
State Street Global Advisors, MSCI Inc., MSCI Inc. and MSCI Inc.
Downloads 693 (47,068)
Citation 13

Abstract:

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portfolio construction, alpha risk, factors, construction, misaligned model, residual

4.

Global Momentum

MSCI Barra Research Paper No. 2009-3
Number of pages: 6 Posted: 01 Feb 2009
MSCI Inc.
MSCI Inc.
Downloads 635 (52,837)

Abstract:

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global, equity, risk model, barra, momentum, GEM2

5.

Measuring the Efficiency of Portfolio Construction - December 2008

MSCI Barra Research Paper No. 2009-02
Number of pages: 7 Posted: 24 Jan 2009
MSCI Inc.
MSCI Inc.
Downloads 581 (59,079)

Abstract:

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Portfolio construction, Optimization, Efficiency, Transfer coefficient, Active Management

6.

A Look at the Liquidity Factor in GEM2

MSCI Barra Research Paper No. 2008-04
Number of pages: 6 Posted: 24 Jan 2009
MSCI Inc.
MSCI Inc.
Downloads 550 (63,349)

Abstract:

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Global Equity Risk, Risk models, Liquidity

7.

What Drives Long-Term Equity Returns, January 2010

MSCI Barra Research Paper No. 2010-04
Number of pages: 7 Posted: 17 Feb 2010
MSCI Inc.
MSCI Inc.
Downloads 503 (70,806)

Abstract:

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8.

Backtesting GEM vs. GEM2

MSCI Barra Research Paper No. 2009-28
Number of pages: 6 Posted: 16 Aug 2009
MSCI Inc.
MSCI Inc.
Downloads 400 (92,939)

Abstract:

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backtesting, GEM, GEM2, Barra Global Equity model differences, volatility, world factors, risk

9.

Stress Testing in the Investment Process (August 2010)

MSCI Barra Research Paper No. 2010-28
Number of pages: 19 Posted: 14 Nov 2010
Oleg A. Ruban, Dimitris Melas and MSCI Inc.
MSCI Inc., MSCI Inc. and MSCI Inc.
Downloads 379 (98,936)
Citation 1

Abstract:

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framework conducting effective stress tests portfolio construction Investment Process scope of stress test scenarios portfolio managers investment problems decisions

10.

Currency Hedging - A Free Lunch?

MSCI Barra Research Paper No. 2009-12
Number of pages: 17 Posted: 16 Apr 2009
MSCI Inc.
MSCI Inc.
Downloads 376 (99,815)

Abstract:

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currency hedging indicies risk

11.

Understanding the Tails of the Return Distribution

MSCI Barra Research Paper No. 2009-18
Number of pages: 6 Posted: 04 Jun 2009 Last Revised: 19 Aug 2009
MSCI Inc.
MSCI Inc.
Downloads 374 (100,421)
Citation 1

Abstract:

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normal distribution Gaussian return volatility measure, portfolio risk, extreme value, theory model return, Barra Extreme Risk value

12.

Global Investing: The Importance of Currency Returns and Currency Hedging

MSCI Barra Research Paper No. 2011-13
Number of pages: 6 Posted: 23 Aug 2011
MSCI Inc.
MSCI Inc.
Downloads 367 (102,579)
Citation 2

Abstract:

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Global Investing, Importance of Currency Returns, Currency Hedging, Investment Management, Risk Management, equity allocation

13.

Beyond Normal Distribution, May 2009

MSCI Barra Research Paper No. 2009-15
Number of pages: 4 Posted: 14 May 2009
MSCI Inc.
MSCI Inc.
Downloads 366 (102,887)

Abstract:

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normal, distribution, volatility, standered, deviation, return, measure, portfolio, risk, quantifying, extreme, management, multi-asset, portfolios

14.

Risk Review of China Stock Market, March 2009

MSCI Barra Research Paper No. 2009-08
Number of pages: 6 Posted: 11 Mar 2009
MSCI Inc.
MSCI Inc.
Downloads 366 (102,887)
Citation 1

Abstract:

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China Barra Equity Model CHE2 volatility turbukence global market

15.

The 2008 Crisis and Global Fixed Income Risk

MSCI Barra Research Paper No. 2008-03
Number of pages: 9 Posted: 24 Jan 2009
MSCI Inc.
MSCI Inc.
Downloads 362 (104,203)

Abstract:

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Risk forecasting, Volatility forecasting, Fixed Income Risk Factor Models, Credit Factors, Fixed Income Factors

16.

Backtesting GEM vs. GEM2: Global Beta Performance Attribution, October 2009

MSCI Barra Research Paper No. 2009-34
Number of pages: 6 Posted: 20 Nov 2009
MSCI Inc.
MSCI Inc.
Downloads 357 (105,817)

Abstract:

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backtesting, GEM, GEM2, global, Beta performance, attribution, volatility, Barra, global, equity, model, portfolio, exposure

17.

Identifying Sources of Correlation in Global Equity Portfolios (September 2010)

MSCI Barra Research Paper No. 2010-32
Number of pages: 7 Posted: 14 Nov 2010
MSCI Inc.
MSCI Inc.
Downloads 338 (112,494)

Abstract:

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identifying sources of correlation Global Equity Portfolio Barra Global Equity Model GEM2 covariance X-Sigma-Rho attribution framework Davis Menchero

18.

Liquidity and Stock Returns In Europe

MSCI Barra Research Paper No. 2009-27
Number of pages: 7 Posted: 16 Aug 2009
MSCI Inc.
MSCI Inc.
Downloads 301 (127,437)

Abstract:

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liquidity factor, Barra, Europe Equity Model EUE3, systematic risk, infrequent trading, return, different market environments, performance

19.

AH Premium and Short Sale Constraints

MSCI Barra Research Paper No. 2010-34
Number of pages: 7 Posted: 14 Nov 2010
MSCI Inc.
MSCI Inc.
Downloads 274 (140,586)
Citation 1

Abstract:

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AH Premium Short Sale Constraints, China, Index Futures, Margin Trading, Short Selling, Stocks, China A-share market

20.

Seeking Diversification Through Emerging Markets, July 2009

MSCI Barra Research Paper No. 2009-24
Number of pages: 6 Posted: 22 Jul 2009
MSCI Inc.
MSCI Inc.
Downloads 270 (142,745)

Abstract:

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diversification, emerging markets, global developed, inverstors, hedge market, risk portfolio

21.

Currencies: To Hedge or Not to Hedge

MSCI Barra Research Paper No. 2009-05
Number of pages: 6 Posted: 14 Feb 2009
MSCI Inc.
MSCI Inc.
Downloads 251 (153,523)

Abstract:

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currency hedging return risk global

22.

Evaluating Stock Screens with Performance Attribution (June 2010)

MSCI Barra Research Paper No. 2010-23
Number of pages: 8 Posted: 13 Nov 2010
MSCI Inc.
MSCI Inc.
Downloads 248 (155,416)

Abstract:

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Evaluating Stock Screens picking Performance Attribution level volatility returns non-value tilts

23.

Momentum in Asia Pacific Stock Markets

MSCI Barra Research Paper No. 2010-17
Number of pages: 8 Posted: 11 Nov 2010
MSCI Inc.
MSCI Inc.
Downloads 231 (166,400)

Abstract:

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Momentum, Asia Pacific Stock Markets, Barra, Asia Pacific, Equity, Mode Varies, Time Variations, Timing Strategy, Hedging, Exposure, Market Crashes, Momentum Factor

24.

Consumer Sentiment and the Momentum Factor, November 2009

MSCI Barra Research Paper No. 2009-44
Number of pages: 6 Posted: 19 Feb 2010
MSCI Inc.
MSCI Inc.
Downloads 228 (168,500)

Abstract:

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Momentum Factor, Barra Global Equity Model, GEM2, Economic Changes, Consumer Sentiment

25.

Portfolio Insights for a Deep Value Manager

MSCI Barra Research Paper No. 2010-12
Number of pages: 6 Posted: 08 May 2010
MSCI Inc.
MSCI Inc.
Downloads 217 (176,663)

Abstract:

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Portfolio Insights, Deep Value Manager, asset managers, fundamental processes, momentum characteristics, portfolio

26.

Shortfall in Portfolio Construction, June 2009

MSCI Barra Research Paper No. 2009-20
Number of pages: 8 Posted: 25 Jun 2009
MSCI Inc.
MSCI Inc.
Downloads 215 (178,176)

Abstract:

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shortfall, portfolio construction, barra, extreme xshortfall, complements, volatility, market conditions, forecasting risk, multi-factor framework, portfolio turmoil

27.

A New Risk Regime

MSCI Barra Research Paper No. 2008-05
Number of pages: 5 Posted: 24 Jan 2009
MSCI Inc.
MSCI Inc.
Downloads 200 (190,621)

Abstract:

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Global Equity Risk, Risk forecasting, Volatility forecasting

28.

An Update on Global Cross-Sectional Volatility, May 2009

MSCI Barra Research Paper No. 2009-14
Number of pages: 5 Posted: 14 May 2009
MSCI Inc.
MSCI Inc.
Downloads 164 (226,550)

Abstract:

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global, volatility, equity, markets, cross-sectional, cvs

29.

QE2 Aftermath: What Has a Steepening Curve Meant for Equity Sectors?

MSCI Barra Research Paper No. 2010-37
Number of pages: 7 Posted: 23 Dec 2010
MSCI Inc.
MSCI Inc.
Downloads 163 (227,732)

Abstract:

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QE2, Curve Equity Sectors, Quantitative Easing, US Federal Reserve, US Treasuries, US Yield Curve, Steepen, US Equity Model, USE3, Inflation-Sensitive Industries

30.

Economic Cycles and Equity Styles in Europe, October 2009

MSCI Barra Research Paper No. 2009-37
Number of pages: 8 Posted: 20 Nov 2009
MSCI Inc.
MSCI Inc.
Downloads 146 (249,548)

Abstract:

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economic cycles equity styles Europe Barra Europe equity model EUE3 macroeconomic regimes cash flow discount rates valuation

31.

Micro Caps - A Distinct Segment

MSCI Barra Research Paper No. 2011-02
Number of pages: 9 Posted: 03 Feb 2011
MSCI Inc.
MSCI Inc.
Downloads 145 (250,935)

Abstract:

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Micro cap, asset, owners, domestic, equity market, MSCI, All Cap Indices, Developed Markets

32.

US Equity Risk: Year-End Update

MSCI Barra Research Paper No. 2008-01
Number of pages: 5 Posted: 24 Jan 2009
MSCI Inc.
MSCI Inc.
Downloads 129 (274,725)
Citation 2

Abstract:

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Risk forecasting, Volatility forecasting, Risk trends, Sources of risk

33.

Greece, Contagion, and Credit Derivatives

MSCI Barra Research Paper No. 2011-17
Number of pages: 4 Posted: 23 Aug 2011
MSCI Inc.
MSCI Inc.
Downloads 118 (293,363)

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Greece Contagion and Credit Derivatives, CDS Risk Management, Fixed Income, market exposure

34.

The Bric Rebound in 2009: Sources of Return, October 2009

MSCI Barra Research Paper No. 2009-35
Number of pages: 6 Posted: 20 Nov 2009
MSCI Inc.
MSCI Inc.
Downloads 114 (300,512)

Abstract:

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BRIC, rebound, Brazil, Russia, India, China, equity, markets, gains, performance, MSCI, indices, Barra, Global, Equity, Model, GEM2

35.

Research Insights to Australian Equity Risk

MSCI Barra Research Paper No. 2009-17
Number of pages: 5 Posted: 16 May 2009 Last Revised: 11 Jun 2009
MSCI Inc.
MSCI Inc.
Downloads 111 (306,191)
Citation 1

Abstract:

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Australian equity market insights volatility barra model extreme risk methodology

36.

Examining Risk in GCC Markets - February 2009

MSCI Barra Research Paper No. 2009-07
Number of pages: 6 Posted: 19 Feb 2009
MSCI Inc.
MSCI Inc.
Downloads 103 (322,291)

Abstract:

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GCC, risk, markets, environment,GEM2, Barra, Global Equity Model, correlation

37.

The BP Oil Crisis Spills Over to UK Domestic Portfolios (June 2010)

MSCI Barra Research Paper No. 2010-22
Number of pages: 6 Posted: 14 Nov 2010
MSCI Inc.
MSCI Inc.
Downloads 98 (332,888)

Abstract:

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BP Oil spill crisis environmental UK Domestic Portfolios institutional portfolios investor market

38.

Update on Msci Equal Weighted Indices

MSCI Barra Research Paper No. 2010-38
Number of pages: 9 Posted: 23 Dec 2010
MSCI Inc.
MSCI Inc.
Downloads 96 (337,376)
Citation 7

Abstract:

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MSCI, Equal Weighted Indices, Investors Risk, Market Capitalization, Weighted Benchmark, Volatility Pricing, Inefficiency, Avoid Bubble

39.

Sovereign Stress and Economic Growth: Scenarios for US Investors

MSCI Research Paper No. 2010-16
Number of pages: 7 Posted: 12 Nov 2010
MSCI Inc.
MSCI Inc.
Downloads 95 (339,630)

Abstract:

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Sovereign Stress, Economic Growth, US Investors, Stress Testing Scenario Analysis, Fixed Income Investments, Historical 1998 Russian Debt Crisis, 1994 US Rate Hike, Savings and Loan (S&L) Crisis FX

40.

Black October

MSCI Barra Research Paper No. 2008-06
Number of pages: 5 Posted: 24 Jan 2009
MSCI Inc.
MSCI Inc.
Downloads 89 (353,756)

Abstract:

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Equity index performance, Recent stock market trends

41.

Family Ties

MSCI Barra Research Paper No. 2009-26
Number of pages: 7 Posted: 16 Aug 2009
MSCI Inc.
MSCI Inc.
Downloads 85 (363,950)

Abstract:

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market turmoil, investors, asset allocation, classes, drivers, risk return, linkages, factor-based

42.

Risk Review for Japanese Equities - February 2009

MSCI Barra Research Paper No. 2009-06
Number of pages: 6 Posted: 19 Feb 2009
MSCI Inc.
MSCI Inc.
Downloads 79 (380,084)
Citation 1

Abstract:

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Japanese, Japan, equities, environment, stocks, volatility, current, risk, climate, factors

43.

Differences in Global Exposure among Industries - February 2009

MSCI Barra Research Paper No. 2009-10
Number of pages: 7 Posted: 30 Mar 2009
MSCI Inc.
MSCI Inc.
Downloads 73 (397,439)

Abstract:

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Global Exposure Industries Difference GEM2 model risk

44.

NAFTA and Markets: US Economic Impacts on Canadian Equities, January 2010

MSCI Barra Research Paper No. 2010-02
Number of pages: 6 Posted: 15 Feb 2010
MSCI Inc.
MSCI Inc.
Downloads 60 (440,239)

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NAFTA markets, US economies, impact, Canadian, Canada equities, integrated, Barra Canada Equity model CNE4, relationaship

45.

Uncovering Biases within Sectors (July 2010)

MSCI Barra Research Paper No. 2010-26
Number of pages: 6 Posted: 14 Nov 2010
MSCI Inc.
MSCI Inc.
Downloads 58 (447,491)

Abstract:

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factor models quantify biases managers fundamental processes PM different characteristics performance sectors

46.

The Third Quarter Ends with a Blast: Tech, Small Caps, and Beta

MSCI Barra Research Paper No. 2010-35
Number of pages: 6 Posted: 14 Nov 2010
MSCI Inc.
MSCI Inc.
Downloads 39 (527,465)

Abstract:

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US Equity Markets, Third Quarter, MSCI, USA Index, Barra US Equity, Model Volatility, Growth, Small Cap

47.

Home is Where the Hurt Is: The Effects of Equity Policy Benchmark Decisions in the UK

MSCI Barra Research Paper No. 2009-40
Number of pages: 6 Posted: 15 Feb 2010
MSCI Inc.
MSCI Inc.
Downloads 37 (537,321)

Abstract:

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convariance, matrix, portfolio, optimization, risk forecast, true risk returns, factor model, historical asset

48.

Market Rebound and the Value Effect in Korea, August 2009

MSCI Barra Research Paper No. 2009-31
Number of pages: 6 Posted: 20 Nov 2009
MSCI Inc.
MSCI Inc.
Downloads 36 (542,420)

Abstract:

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market rebound, Korea value, effect, Barra Korea Equity Model, KRE2, drivers, equities, stocks

49.

The Stock-Bond Relationship and Asset Allocation, October 2009

MSCI Barra Research Paper No. 2009-42
Posted: 12 Feb 2010
MSCI Inc.
MSCI Inc.

Abstract:

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Relationship, Stock, Bond, Asset Allocation, Risk Diversification, G5 Economies, Multi-Asset Class, Barra Integrated Model, BIM