Arrow_Blue_Orange.pngA Golden Goose Goes Missing
The curious disappearance of the index effect


This paper examines the Index Effect and reports that it has weakened significantly since 2013. The Index Effect is the phenomenon where stocks added to an index experience positive excess returns in the days immediately before they are officially added to the index, while stocks that are removed from the index experience negative excess returns in the days immediately before they are officially removed.



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Author: 
Anthony A. Renshaw, PhD, Director, Index Solutions
Arrow_Blue_Orange.pngA Golden Goose Goes Missing



This paper examines the Index Effect and reports that it has weakened significantly since 2013. The Index Effect is the phenomenon where stocks added to an index experience positive excess returns in the days immediately before they are officially added to the index, while stocks that are removed from the index experience negative excess returns in the days immediately before they are officially removed.

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Author: 
Anthony A. Renshaw, PhD, Director, Index Solutions