The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation.

Chen, Honghui, Gregory Noronha, and Vijay Singal, 2004. The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation. Journal of Finance 59 (4), 1901-1929.