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S&P 500 additions post-announcement event study
An event study of S&P 500 additions from 2010 to 2025, focused on the short post-announcement window, the drift into the effective date, and the reversal after inclusion.
Valid sample
228
305 identified announcements → 284 quality-filtered cases → 228 price-valid samples
Day 1 after announcement
+1.78%
Median +0.83% / win rate 58.33%
To the effective date
+1.39%
Median +0.32% / win rate 53.51%
Day 21 after inclusion
-1.35%
Median -1.33% / win rate 42.98%
Main takeaways
- Short-window alpha is steadier than long-window alpha. Day 1 has a raw mean of +1.78% and still shows +1.62% after 5% winsorization. Day 30 falls from +0.15% raw to -0.29% after the same robustness check.
- Most of the move is realized before inclusion. The mean return from announcement to effective date is +1.39%, while the next 21 trading days average -1.35%.
- Holding after inclusion and waiting for more upside is not the historical average trade.
Trading implication
- Historically this behaves more like an event-driven trade from the announcement into the effective date than a post-inclusion trend factor.
- The 11–20 day advance-notice window is noticeably stronger than short-gap cases. Spinoff and restructuring additions deserve a lower weight.
- In the 2020–2025 large-cap sample, stronger early moves are more likely to lead to crowded positioning and later giveback.
Reading guide
- Start with the five main findings if you only want the headline.
- Focus on the sample path and robustness sections if you care about timing.
- Use the subgroup discussion for notice-window and event-type differences.