"An Anatomy of the S&P Game: The Effect of Changing the Rules"
1996, Journal of Finance
Messod Daniel Beneish, Robert E. Whaley
A study analyzes the effects of changes in S&P 500 index composition from January 1986 through June 1994, a period during which Standard and Poor's began its practice of preannouncing changes 5 days beforehand. The new announcement practice has given rise to the "S&P game" and has altered the way stock prices react. The study finds that prices increase abnormally from the close on the announcement day to the close on the effective day. The overall increase is greater than under the old announcement policy, although part of the increase reverses after the stock is included in the index.
Beneish, Messod D. and Robert E. Whaley (1996), "An Anatomy of the S&P Game: The Effect of Changing the Rules," Journal of Finance, Vol. 51, December, pp. 1909-1930.