RE:Russell inclusion effect on share price......kinkAs previously posted.....
https://www.ftserussell.com/blogs/what-you-need-know-about-years-russell-recon 2. Pricing pressure logic doesn’t apply on recon day.
Recon day typically concludes as one of the highest trading volume days of the year, leaving many investors wondering about the impact on stock prices—and whether the recon puts upward pricing pressure on additions to the indexes and downward pressure on deletions. However, short-term impacts of the Russell recon on constituent stock prices haven’t reliably followed this pattern.
The reason this pricing pressure logic doesn’t apply on recon day is we’ve designed the process to give investors considerable lead time before the actual index reconstitution takes place. Per the timeline above, this year our “rank day”—when we rank the eligible companies to form the preliminary recon portfolio—takes place a full eight weeks before recon day. And beginning May 19th and into June, concluding on June 23rd recon day, we’re communicating updates on the preliminary changes to the newly reconstituted Russell Indexes.
As a result of this advanced notice, traders get ahead of additions and deletions, and by the time the actual reconstitution day arrives the impact is typically already priced into the stocks. In fact, at times trading in anticipation of the recon date goes too far—where adds are overbought and deletes are oversold. In these cases, actual recon day trades go in the opposite direction, with additions declining and deletions rallying.