Negative Returns on Addition to S

Due to increased institutional ownership and opposite to previous literature, upward additions from the SP400 to the SP500 index resulted in an average announcement excess return of -2.31% while downward deletions resulted in an excess return of +1.21%.…

Somewhat counterintuitive: This paper shows being added to the S&P 500 has led to avg excess return of *-2.3%* over 3 days upon announcement whereas being deleted from it leads to *+1.2%* (2016-19) https://t.co/bDfQNUY3pP