An Anatomy of the “S&P Game”: The Effects of Changing the Rules
研究1986年至1994年间标普500指数成分股变更规则的影响，发现提前五天预告的做法导致股价在公告日至生效日异常上涨，且涨幅大于旧规则时期，但部分涨幅在纳入指数后反转。
ABSTRACT This study analyzes the effects of changes in S&P 500 index composition from January 1986 through June 1994, a period during which Standard and Poor's began its practice of preannouncing changes five days beforehand. The new announcement practice has given rise to the “S&P game” and has altered the way stock prices react. We find that prices increase abnormally from the close on the announcement day to the close on the effective day. The overall increase is greater than under the old announcement policy although part of the increase reverses after the stock is included in the index.