What Drives the S&P 500 Inclusion Effect? An Analytical Survey
综述了标普500指数纳入效应（股票纳入指数后价值上升）的五种解释，发现投资者关注度提升是公告回报差异的主要原因，而价格压力仅短期存在，长期需求曲线、经营业绩改善和流动性增加均不相关。
We present an analytical survey of the explanations—price pressure, downward‐sloping demand curves, improved liquidity, improved operating performance, and increased investor awareness—for the increase in stock value associated with inclusion in the S&P 500 Index. We find that increased investor awareness is the primary factor behind the cross‐section of abnormal announcement returns. We also find some evidence of temporary price pressure around the inclusion date. We find no evidence that long‐run downward‐sloping demand curves for stocks, anticipated improvements in operating performance, or increased liquidity are related to the cross‐section of announcement or inclusion returns.