The Disappearing Index Effect
研究发现，股票被纳入标普500指数的异常收益从1990年代的7.4%降至近十年的不到1%，剔除指数的负异常收益也大幅缩小，并探讨了原因及对市场效率的启示。
ABSTRACT The abnormal return associated with a stock being added to the S&P 500 has fallen from an average of 7.4% in the 1990s to less than 1% over the past decade. This has occurred despite a significant increase in the share of stock market assets linked to the index. A similar pattern has occurred for index deletions, with large negative abnormal returns during the 1990s but an average return of only 0.1% between 2010 and 2020. We investigate the drivers of this phenomenon and discuss implications for market efficiency. We document a similar decline in the index effect among other families of indices.