Economics, Econometrics and Finance
8 years ago

Stocks added to S&P 500 see positive returns, impacting market efficiency.

SSRN Electronic Journal
Index Fund Rebalancing and Market Efficiency
A. Steven Graham, Wendy L. Pirie

Paper Summary

Stocks added to the S&P 500 Index show positive returns on the day they join. When RJR/Nabisco was replaced by First Union, no abnormal returns were seen for the remaining 499 stocks. This suggests that new index additions have positive information or increased investor attention.

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