01069nas a2200157   4500008004100000245005600041210005400097260000900151300001200160490000700172520058900179653001200768100002400780700001600804856009100820       2010                        eng d00aDoes Inclusion in a Smaller S&P Index Create Value?0 aDoes Inclusion in a Smaller SP Index Create Value  c2010  a307-3300 v453 aThis study finds overall increases in equity value surrounding addition to the S&P SmallCap and MidCap indexes from 1996 to 2003 and investigates sources of the value gains. Following addition, there are significant increases in proxy variables for stock liquidity and investor recognition, and changes in these variables are impounded into the permanent component of announcement share price revisions. We also find that changes in capital investment intensity are increasing in changes in stock liquidity, consistent with a reduction in the cost of capital following index addition.10aFinance1 aBecker-Blease, John1 aPaul, Donna  u/biblio/does-inclusion-smaller-sp-index-create-value-2