Abstract
Morgan Stanley Capital International and Standard & Poor’s Dow Jones established the GICS (Global Industry Classification System) in 1999 as the first international stock classification system. On November 10, 2014, they announced that real estate would be the first new sector added to the classification system. In this study, we analyze the impacts of the GICS reclassification on price, liquidity, and volatility for firms in the real estate sector, using a large sample for the first time. Using various methods, we find higher price, more active trading, and lower price volatility in the new sector, when it was launched on September 16, 2016.
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