RT Journal Article
SR Electronic
T1 Practical Applications of Adaptation of the S&P 500 Index Effect
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 4
DO 10.3905/pa.5.4.259
VO 5
IS 4
A1 Chan Wung Kim
A1 Xiao Li
A1 Timothy T. Perry
YR 2018
UL https://pm-research.com/content/5/4/1.5.abstract
AB Research has indicated that stocks newly added to the S&P 500 Index can exhibit upward price drifts that can be exploited by short-term traders, a practice known as “the S&P game.” In Adaptation of the S&P 500 Index Effect, published in the Summer 2017 issue of The Journal of Index Investing, Chan Wung Kim, Xiao Li, and Timothy T. Perry seek to determine the extent to which the S&P game still persists, and they investigate whether it has diminished over time. Their results demonstrate no evidence of a positive price drift between the announcement day and the effective day for stocks added to the S&P 500. They also found little evidence of a meaningful positive return associated with index inclusion. In fact, they found short-term negative results, on average, which reversed the next day, suggesting that the value of being added to the S&P 500 Index is less than it used to be.