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The liquidity effects associated with addition of a stock to the S&P 500 index: evidence from bid/ask spreads

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References

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1987The Effect on Stock Price of Inclusion in or Exclusion from the S&P 500292 cited

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2009The S&P500 index effect reconsidered: Evidence from overnight and intraday stock price performance and volume40 cited
2008Long-Term Price Effect of S&P 500 Addition and Earnings Quality36 cited
2010Does Inclusion in a Smaller S&P Index Create Value?28 cited
2004The Effect of Demand on Stock Prices: Evidence from Index Fund Rebalancing26 cited
2012Asymmetric stock price and liquidity responses to changes in the FTSE SmallCap index25 cited