The Disappearing Index Effect

• 成果类型: Article
• 署名作者: Greenwood, Robin; Sammon, Marco
• 署名单位: Harvard University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13410
• 发表日期: 2025
• 页码: 657-698
• 关键词: DEMAND CURVES; PRICE PRESSURE; stocks; MARKETS; INFORMATION; volume; FLOWS

摘要

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.