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Finding the Sentiment Hidden in Regulatory Filings
Feb 24, 2021 Vipul Jain, Kunal JhaUsing natural language processing techniques, we constructed a sentiment factor that quantifies changes in the tone and content of company filings, and may be an indicator of future risks facing a company.

Climate Transition and Bonds: Risk or Opportunity?
Feb 23, 2021 Bruno Rauis, Juan Sampieri, Andy SparksThe transition to a low-carbon economy could significantly redirect the flow of investments toward greener companies and technologies that limit carbon emissions. We consider the potential risk — and opportunity — for bond investors.

Currency-Risk Hedging in Real Estate Benchmarks
Feb 22, 2021 Bert Teuben, Lionel Ebener, Chirag Gosar
Foundations of Dedicated China Allocations: Part I
Feb 19, 2021 WEI Zhen, XU Wei, XU ShuoChina’s rise in economic influence, market size, improved market accessibility and inclusion in global indexes have led more investors to consider a dedicated China allocation. In the first of our “Foundations of Dedicated China Allocations” series, we discuss investment policy and asset allocation as investors think through setting up such a program.

A New COVID-19 Regime for MBS?
Feb 17, 2021 Yihai Yu, Miklós VörösIn 2020, the Federal Reserve’s purchases of mortgage-backed securities, low interest rates, mortgage-underwriting policy changes and technology advancements led to a historic refinance frenzy and posed an unprecedented challenge for MBS risk management.

Fund ESG Transparency: Quarterly Report 2021
Feb 16, 2021 MAHMOOD RumiESG ETF strategies saw record inflows in 2020, driven by demand from asset owners looking to increase ESG integration and transparency across their portfolios. In our first quarterly report analyzing ESG funds, we found that ESG ETFs saw flows in excess of USD 75 billion, more than three-times that of the year prior.

Are (Stock) Bubbles Rising?
Feb 12, 2021 George Bonne, Howard Zhang, Jay YaoHow does one identify or quantify a bubble? We propose a framework for assessing the “bubbliness” of stocks and portfolios, rooted in the idea that bubbles are driven by the same forces, and share characteristics with crowded trades.

Cross-Currency Credit Spreads: Mind the Gap
Feb 8, 2021 Michael Hayes, Zach TokuraAn issuer’s credit spread should be consistent when measured in the USD- or EUR-denominated markets, because both are measuring the same credit risk. Yet divergence can occur as a result of liquidity or supply-demand imbalances, such as those in the COVID crisis.
2020 ESG trends to watch
Liquidity risk: from measurement to risk management
Liquidity risk: from measurement to risk management
As the regulatory landscape continues to evolve, asset managers must establish sound frameworks for liquidity risk management. #RiskManagement
Insights Gallery: Charting the COVID-19 Crisis
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