The Index Effect: How S&P 500 Additions Move Stocks
How S&P 500 inclusion moves a stock: the pre-announcement drift, run-up to effective date, decay after, and why the effect has shrunk since 2010.
index inclusion premium
How S&P 500 inclusion moves a stock: the pre-announcement drift, run-up to effective date, decay after, and why the effect has shrunk since 2010.