What is the impact of Nifty/MSCI Index Rebalancing on underlying stocks which are exiting from or making into the index ? Any empirical study on performance of these stocks post entry/exit ?
Read Value Investing and Behavioral Finance by Parag Parikh. The team had done an extensive analysis for the stocks which moved in and out of the index. But this is past data, as in data more than a decade ago but it still makes sense.
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