The Disappearing Index Effect
The abnormal return associated with a stock being added to the S&P 500 has fallen from an average of 3.4% in the 1980s and 7.6% in the 1990s to 0.8% over the past decade. This has occurred despite a significant increase in the percentage of stock market assets linked to the index. A similar pattern has occurred for index deletions, with large negative abnormal returns on average during the 1980s and 1990s, but only -0.6% between 2010 and 2020. We investigate potential drivers of this surprising phenomenon and discuss the implications for market efficiency.
We thank Bobby Ialenti for excellent research assistance and Paige Frasier for editorial assistance. We received helpful comments from Lloyd Blankfein, Alex Chinco, Adam Denny, Taro Hornmark, Bill Jacques, Owen Lamont, Victor Martin, Adam Morrissey, Lubos Pastor, David Rabinowitz, John Shim, Andrei Shleifer, Erik Stafford and seminar participants at Harvard. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.
Outside Activities -- Robin Greenwood
This document contains a list of professional activities beyond my main employment at Harvard
University. Please feel free to contact me with any questions about this disclosure statement.
Last updated April 2022.
Outside activities since 2008, paid and unpaid:
Member, Financial Advisory Roundtable, Federal Reserve Bank of New York (unpaid)
Academic Partner, State Street Associates (2021-present)
Academic Advisory Board, Martingale Asset Management (chairman)
Consultant, Martingale Asset Management
AllianceBernstein, research presentation and consultation
Capital structure consultation to two non-financial public companies
Associate Editor, Review of Financial Studies (unpaid)
Editor, Review of Financial Studies (2014-2016, unpaid)
In 2020, the Brookings Institute paid me an honorarium for the paper “Sizing Up Corporate Restructuring
in the COVID Crisis." (pdf)”
In 2014, the Brookings Institute paid me an honorarium for the working paper “Government Debt
Management at the Zero Lower Bound”
The Banco Central de Chile paid me an honorarium for the paper “Forward Guidance in the Yield Curve:
Short Rates versus Bond Supply.”
I was paid an honorarium for my role as a coauthor on the paper “"The Federal Reserve's Balance Sheet
as a Financial-Stability Tool.” Economic Symposium Conference Proceedings (Federal Reserve Bank of
Paid speeches and executive education:
HBS Investment Management Workshop (various years, since 2008)
HBS Finance for Senior Executives (various years, unpaid before 2016)
SanfordBernstein Research Conference
Windham Capital Management
Between 2015 and 2021, I was a voting member on the Harvard University Committee on pensions. I did
not do consulting work or make paid presentations to any investment managers employed or being
considered by Harvard in this capacity.
As part of my work at Harvard Business School, I regularly write cases about hedge funds, investment
managers, and their strategies. I receive no compensation from these managers for writing these cases,
and the cases are not meant as endorsements of the managers or their strategies. I receive royalties
(currently less than $2000 per year) for cases I have written while employed at Harvard.