Revisiting Effects of S&P 500 Additions and Deletions

How has the price impact associated with stocks entering or leaving the S&P 500 evolved? In their December 2022 paper entitled “The Disappearing Index Effect”, Robin Greenwood and Marco Sammon revisit abnormal returns for S&P 500 additions and deletions and investigate five potential drivers of findings. Using announcement dates, implementation dates and daily returns for 752 S&P 500 additions and 749 S&P 500 deletions during 1980 through 2020, they find that:

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