In this study we extend the work of Vijh (1994), barberis, Schleifer and Wurgler (2005), Denis, McConnell, Ovtchinnikov and Yu (2003) and Geppert, Ivanov and Karel (2011) by examining the effect of the addition to or deletion from the S&P 500 Index on the firm's Fama - French four factor model loadings before and after the event. We find that added to and deleted from the S&p 500 Index firms experience unique sensitivity to the small cap minus Big cap (SMB) and momentum (UMD) factors. this finding and robustness tests indicate that addition to and deletion from the S&P 500 index have a unique and profound fundamental effect on the added and deleted firm.
Stoyu Ivanov. "Analysis of Firm Risk around S&P 500 Index Changes." Faculty Publications (2012).