At one level, the cause of an increase in price following a stock's inclusion in the S&P 500 or similar indices seems straightforward: index funds, which as noted in chapter 3 have become an extremely large category of investor, do not hold the stock before its inclusion, and when it is included they have to buy it. Again, though, such an explanation is unsatisfactory from the viewpoint of efficient-market theory. It runs directly against a central tenet of finance theory, which goes back to Modigliani, Miller, Markowitz, and Sharpe but which was expressed perhaps most clearly by Myron Scholes on the first page of his Ph.D. thesis: "The shares a firm sells are not unique works of art, but abstract rights to an uncertain income stream for which close counterparts exist either directly or indirectly via combinations of assets of various kinds."

Donald MacKenzie, An Engine, Not a Camera, loc. 460