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MSCI Blog

How Have Stocks Responded to Changes in Climate Policy?

Mar 1, 2021 Guido Giese, Zoltán Nagy, Bruno Rauis

To what extent has climate risk been priced into equity markets? Is there a “brown” discount and a “green” premium? Has this shifted over time? How can we model such risks as the world moves toward net-zero targets? We examine the financial impact of climate transition risk on global equity markets.

Research Paper

Foundations of Climate Investing: How Equity Markets Have Priced Climate Transition Risks

Mar 1, 2021 NAGY Zoltan, GIESE Guido, Rauis BRUNO

To what extent has climate risk been priced into equity markets? Is there a “brown” discount and a “green” premium? Has this shifted over time? How can we model such risks as the world moves toward net-zero targets? In this paper, we examine the financial impact of climate transition risk on global equity markets and find that climate has increased in importance in the last two years, with potential long-term implications for understanding market behavior.

MSCI Blog

Factoring in ESG

Feb 26, 2021 Guillermo Cano, Simon Minovitsky

How much does ESG contribute to portfolio risk and return? We looked at whether ESG performance was influenced by other factors or helped explain returns as a factor in its own right, using the MSCI Global Equity Factor Model + ESG.

MSCI Blog

Finding the Sentiment Hidden in Regulatory Filings

Feb 24, 2021 Vipul Jain, Kunal Jha

Using 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.

MSCI Blog

Are (Stock) Bubbles Rising?

Feb 12, 2021 George Bonne, Howard Zhang, Jay Yao

How 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.

MSCI Blog

Factors in Focus: Val-come Back! Shifting Factors as the Cycle Turns

Jan 6, 2021 Hitendra D Varsani, Waman Virgaonkar

In this two-year-anniversary edition of Factors in Focus, we reflect on the historical relationships between factor returns and macro cycles, which have provided useful information for investors looking to take an active stance on factor exposures based on their outlook.

MSCI Blog

The Doctor Is Making House Calls: Capturing Exposure to Telehealth

Dec 16, 2020 Manuel Rueda, Gaurav Trivedi

Telehealth has the potential to reduce inequalities in access to care as well as relieve strain on health systems. We tested an approach that combines natural-language processing and MSCI ESG Ratings screens.

The FaCS report

The FaCS report

The FaCS report allows investors to understand what is driving their investments and help them build better portfolios. In this report, we help investors compare point in time and historical factor exposures (10+ years) of 8,000+ Stocks, 11,000+ Mutual Funds and 1,500+ ETFs 
 

MSCI FaCS

MSCI FaCS

Introducing a common language for factors that aims to increase transparency and investors’ understanding of equity portfolios.

Factor investing webinar series

Factor investing webinar series

Factor investing continues to evolve. Our quarterly webinar series keeps you up-to-date on our latest research about the elements of performance.