
Does Joining the S&P 500 Index Hurt Firms? - simonebrunozzi
https://www.nber.org/papers/w27593
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throw0101a
For more on this, do a search for "index inclusion effect".

A 2016, "On the Changes to the Index Inclusion Effect with Increasing Passive
Investment Management”:

> _This paper provides an empirical analysis of the index inclusion effect for
> additions to the S &P 500 index between 1981 and 2015. The analysis finds
> that between 1990 and 2015 the average excess return for additions from the
> announcement to effective day was 5.64%. The analysis goes further by
> exploring the average excess returns due to inclusion in each year._ […]

* [https://repository.upenn.edu/cgi/viewcontent.cgi?article=102...](https://repository.upenn.edu/cgi/viewcontent.cgi?article=1020&context=joseph_wharton_scholars)

NY Fed study (2011), "Is There an S&P 500 Index Effect?”:

> _We find that the firms included in the S &P 500 index are characterized by
> large increases in earnings, appreciation in market value, and positive
> price momentum in the period preceding their index inclusion. This strong
> preinclusion performance predicts 1) the permanent increase of market value
> and 2) the change in return comovement, reflected in declines of size,
> value, and momentum betas, following index inclusion. Nonevent firms with
> similar performance experience similar appreciation in value and changes in
> comovement coincident with the event firms. Contrary to the consensus in the
> literature, our results indicate that – after accounting for the firms’
> extraordinary preinclusion performance – index inclusion has_ no permanent
> effect _on value and comovement._

* [https://www.newyorkfed.org/medialibrary/media/research/staff...](https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr484.pdf)

