Stock pickers like to keep an eye on companies that might soon be included in a major index in the hope that index trackers will boost those share prices. But a study by Standard & Poor’s (S&P) shows that excess returns for US stocks associated with index addition announcements – or the ‘index effect’ – have diminished sharply over time. And there are structural reasons why that trend will continue.
According to the study, the median excess returns between announcement date and effective dat
The week on Risk.net, July 7-13, 2018Receive this by email