Market Reactions to Changes in the S&P 500 Index: An Industry Analysis

This paper observes the abnormal returns relative to the market’s returns for additions to and deletions from the S&P 500 index from 2000-2003. More importantly, I categorize additions and deletions by industries in order to see if any particular industry in the index has greater returns than others around change dates. The knowledge of how stocks in a particular industry react after an announcement may lead investors to favor some industries more than others when investing around a date of change to the S&P 500 index