about them. For example, liquidity one year after the pick day remains higher for these stocks than for a sample matched … microstructure factors, we find that stocks with lower initial liquidity have greater improvements in liquidity on the pick day …. Further, stocks with lower initial liquidity and higher pick-day liquidity have higher pick-day excess returns. These results …

We find, unlike earlier studies, that there is no rise in the market betas of stocks that enter the S&P 500 index when … stocks are added to the index. This decline is explained by strong increases in earnings and in the market value of the event … stocks in the period around—and, in particular, prior to—their inclusion in the index. We suggest that inclusions to the S …