Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures
利用标普500指数成分股变动这一不传递公司未来信息的事件，研究价格压力假说，发现股票被宣布纳入指数后价格立即上涨超3%，两周后几乎完全反转。
ABSTRACT Attempts to identify price pressures caused by large transactions may be inconclusive if the transactions convey new information to the market. This problem is addressed in an examination of prices and volume surrounding changes in the composition of the S&P 500. Since these changes cause some investors to adjust their holdings of the affected securities and since it is unlikely that the changes convey information about the future prospects of these securities, they provide an excellent opportunity to study price pressures. The results are consistent with the price‐pressure hypothesis: immediately after an addition is announced, prices increase by more than 3 percent. This increase is nearly fully reversed after 2 weeks.