o:32620 Are There Price Effects of Adding or Deleting Stock From the Stock Index? en Abstract: In this paper, we investigate the effects of stock indexing on its market price. The event study methodology is used to explore what happens with share price when stocks are added to or deleted from the market index S&P 500. The aim of the research is to investigate if there are abnormal returns, can they be anticipated by traders, what is their duration, and if the effects could be explained from the perspectives of neoclassical and behavioral finance. Several explanations of price dynamics after stock price (de)indexing are provided in the paper. Our results show that index effects declined a lot in recent years, both for the case of stock inclusions and exclusion. Keywords: stock price indexing, efficient market hypothesis, behavioral finance, event study 1552100 978-961-7124-14-9 1552099 10.4335/2023.3.31 2024-01-30T09:02:00.016Z 44 no 46 Dragana Draganac Univerzitet u Beogradu Ekonomski fakultet 0000-0002-8605-8881 Miroslav Todorović Univerzitet u Beogradu Ekonomski fakultet person 0000-0002-3578-6766 application/pdf 502918 https://phaidrabg.bg.ac.rs/o:32620 no yes 17 70 92000004 11A03 Contemporary Financial Management 625 638 2023