Research Paper

Equity Risk Models

Research Paper

Equity Risk Models

MSCI Blog

To gauge investor expectations after Joe Biden was declared winner of the U.S. election and good news broke about COVID vaccines, we surveyed 151 U.S.-based financial advisers. We examine the advisers’ views on the next 12 months and markets’ reaction since Election Day.

ESG Climate Solutions Equity Risk Models All Country Indexes

Research Paper

We introduce a new integrated short interest factor that combines multiple dimensions of short interest. The new factor combines information on the amount of shorting activity in the securities-lending market, the available lending supply, the rates investors are paying to short a security (borrow rates) and an adjustment for shorting activity due to dividend arbitrage. We find that dividend-arbitrage strategies can create large biases in short interest factors, particularly in Europe. We...

Portfolio Management Analytics Equity Risk Models

Research Paper

This monthly publication examines the global equity markets through the lens of the Barra Global Equity Model (GEM2).

Portfolio Management Analytics Equity Risk Models

Research Paper

This monthly publication examines the global equity markets through the lens of the Barra Global Equity Model (GEM2). Barra model factors represent important drivers of both risk and return in the global equity markets.

Portfolio Management Analytics Equity Risk Models

Research Paper

This monthly publication examines the global equity markets through the lens of the Barra Global Equity Model (GEM2). Barra model factors represent important drivers of both risk and return in the global equity markets.

Portfolio Management Analytics Equity Risk Models

Research Paper

This monthly publication examines the global equity markets through the lens of the Barra Global Equity Model (GEM2). Barra model factors represent important drivers of both risk and return in the global equity markets.

Portfolio Management Analytics Equity Risk Models

Research Paper

This monthly publication examines the global equity markets through the lens of the Barra Global Equity Model (GEM2). Barra model factors represent important drivers of both risk and return in the global equity markets. These common factors can be grouped into World, Country, Industry, Style, and Currency components.

Portfolio Management Analytics Equity Risk Models

Research Paper

This monthly publication examines the global equity markets through the lens of the Barra Global Equity Model (GEM2). Barra model factors represent important drivers of both risk and return in the global equity markets.

Portfolio Management Analytics Equity Risk Models