Stock prices soar after S&P 500 index changes, revealing market inefficiency.
The study looked at how changes in the S&P 500 index affect stock prices. They found that when a stock is added to the index, its price goes up, and when it's removed, the price goes down. These changes are only partly reversed over time. This shows that stock prices can be influenced by changes in demand, which goes against the idea that stock markets are always efficient.