Revisiting Effects of S&P 500 Additions and Deletions
December 28, 2022 - Equity Premium
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… Keep Reading