Whitepaper - November 2018

A 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.

Authors

Anthony A. Renshaw, PhD