diff --git a/doc/source/release.rst b/doc/source/release.rst
index 4e5178d8a554a..057802dc51af5 100644
--- a/doc/source/release.rst
+++ b/doc/source/release.rst
@@ -524,6 +524,7 @@ Bug Fixes
   - Bug in setting with ``ix/loc`` and a mixed int/string index (:issue:`4544`)
   - Make sure series-series boolean comparions are label based (:issue:`4947`)
   - Bug in multi-level indexing with a Timestamp partial indexer (:issue:`4294`)
+  - Tests/fix for multi-index construction of an all-nan frame (:isue:`4078`)
 
 pandas 0.12.0
 -------------
diff --git a/pandas/core/internals.py b/pandas/core/internals.py
index fd9aed58798fe..6fddc44d7552e 100644
--- a/pandas/core/internals.py
+++ b/pandas/core/internals.py
@@ -3530,9 +3530,16 @@ def _shape_compat(x):
     if ref_items.is_unique:
         items = ref_items[ref_items.isin(names)]
     else:
-        items = _ensure_index([n for n in names if n in ref_items])
-        if len(items) != len(stacked):
-            raise Exception("invalid names passed _stack_arrays")
+        # a mi
+        if isinstance(ref_items, MultiIndex):
+            names = MultiIndex.from_tuples(names)
+            items = ref_items[ref_items.isin(names)]
+
+        # plain old dups
+        else:
+            items = _ensure_index([n for n in names if n in ref_items])
+            if len(items) != len(stacked):
+                raise ValueError("invalid names passed _stack_arrays")
 
     return items, stacked, placement
 
diff --git a/pandas/tests/test_frame.py b/pandas/tests/test_frame.py
index e8d9f3a7fc7cc..1e4e988431f43 100644
--- a/pandas/tests/test_frame.py
+++ b/pandas/tests/test_frame.py
@@ -2263,10 +2263,6 @@ def test_constructor_overflow_int64(self):
         df_crawls = DataFrame(data)
         self.assert_(df_crawls['uid'].dtype == object)
 
-    def test_is_mixed_type(self):
-        self.assert_(not self.frame._is_mixed_type)
-        self.assert_(self.mixed_frame._is_mixed_type)
-
     def test_constructor_ordereddict(self):
         import random
         nitems = 100
@@ -2319,6 +2315,19 @@ def test_constructor_dict(self):
         frame = DataFrame({'A': [], 'B': []}, columns=['A', 'B'])
         self.assert_(frame.index.equals(Index([])))
 
+    def test_constructor_multi_index(self):
+        # GH 4078
+        # construction error with mi and all-nan frame
+        tuples = [(2, 3), (3, 3), (3, 3)]
+        mi = MultiIndex.from_tuples(tuples)
+        df = DataFrame(index=mi,columns=mi)
+        self.assert_(pd.isnull(df).values.ravel().all())
+
+        tuples = [(3, 3), (2, 3), (3, 3)]
+        mi = MultiIndex.from_tuples(tuples)
+        df = DataFrame(index=mi,columns=mi)
+        self.assert_(pd.isnull(df).values.ravel().all())
+
     def test_constructor_error_msgs(self):
         msg = "Mixing dicts with non-Series may lead to ambiguous ordering."
         # mix dict and array, wrong size
@@ -9489,6 +9498,10 @@ def test_get_X_columns(self):
         self.assert_(np.array_equal(df._get_numeric_data().columns,
                                     ['a', 'b', 'e']))
 
+    def test_is_mixed_type(self):
+        self.assert_(not self.frame._is_mixed_type)
+        self.assert_(self.mixed_frame._is_mixed_type)
+
     def test_get_numeric_data(self):
         intname = np.dtype(np.int_).name
         floatname = np.dtype(np.float_).name