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
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