Furthermore, one practical application of efficient-market theory, index funds, seems to have created an anomaly, rather than identifying a pre-existing anomaly. The composition of the S&P 500 and similar indices is not fixed. Periodically, firms are added to and deleted from them, because of mergers and bankruptcies and to reflect changes in the market values of corporations and in the overall makeup of the stock market. From an efficient-market viewpoint, the inclusion of a corporation in an index or its deletion from it should not affect the price of its stock: it seems to convey no information about the corporation that was not previously known. … However, Andrei Shleifer, who was to become a leader of behavioral finance, found that from 1976 to 1983 the inclusion of a stock in the S&P 500 index was associated with an average rise in its price on the day of the announcement of its inclusion of just under 3 percent (Shleifer 1986, p. 582). The effect survived its identification: between 1976 and 1996, the average increase was 3.5 percent. To take an extreme case, the price of stock of AOL (America Online) went up by 18 percent when its inclusion in the S&P 500 was announced (Shleifer 2000, p. 22).

Donald MacKenzie, An Engine, Not a Camera, loc. 458