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Stats › Listings, IPOs and corporate actions › Index inclusion

Joining the S&P 500 was worth 7.6% in the 1990s and is worth nothing now

1980s: 3.42%+3.42%1980s1990s: 7.59%+7.59%1990s2000s: 5.21%+5.21%2000s2010 to 2020: 0.80%+0.80%2010 to 2020

Market-adjusted cumulative return for stocks added to the S&P 500, from the day before announcement to the day after implementation. The 2010 to 2020 figure is not statistically significant. With controls for turnover, relative size and volatility the 2010s coefficient is minus 1.65, against plus 4.71 in the 1990s.

Index inclusion was the textbook demonstration that demand curves for stocks slope down. Across 1980 to 2020 the addition pop fell from 7.59% in the 1990s to 0.80% in 2010 to 2020, where it is no longer statistically significant.

7.59%Addition return from announcement to implementation, 1990s
0.80%The same window in 2010 to 2020, not statistically significant
19.3%Addition return over the 100 days before the announcement, 2010 to 2020
-0.63%Monthly alpha over the twelve months after inclusion, 2008 to 2017

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