Abstract: We analyzed the post-announcement return pattern of MSCI Japan rebalance stocks in the context of past MSCI Japan cycles. DELETE: 14 names averaged −5.3% WPreA alpha before announcement; all 14 negative; flat on WAI Day 1. HIGH and MID-velocity names historically produce negative WAI alpha. LOW-velocity names historically fall post-implementation. ADD: All three stocks ran +18–21% WPreA alpha before announcement. WAI Day 1 returns split by velocity group. Historical ADD WAI alpha is mixed across prior cycles.
M3, Monotaro, Matsukiyococokara &, Zozo, Tsuruha, TIS, Resonac, Sekisui Chemical, Oracle Corporation Japan, Mitsui Mining & Smelting, Furukawa Electric, Toyota Industries, Sysmex, Shimadzu, Sony Financial, Tokyu, Japan Airlines
Research on index reviews and inclusion events across Asia Pacific, including MSCI, Hang Seng (HSI, HSCEI, HSCI), HS TECH, CSI 300, STAR50, NIFTY and Stock Connect changes. Coverage runs from rebalance forecasts through post-announcement positioning, pre-implementation updates and post-implementation reviews, using the price patterns of past events.
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