The liquidity effects of revisions to the S&P 500 index: an empirical analysis

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The Russell Reconstitution Effect (2003, unknown): “Beneish and Whaley (1996) and Hegde and McDermott (2001) found permanent changes in trading volume following S&P 500 revisions, which supports the idea that liquidity explains the price reactions documented in other studies.”
What Drives the S&P 500 Inclusion Effect? An Analytical Survey (2006, methodology): “Our Tests To measure the change in liquidity surrounding Index additions, we closely follow the approach of Hegde and McDermott (2003) and compute the Percentage Spread, the Percentage Effective Spread, the Volume, and the Number of Trades for the stocks added to the Index.”
Liquidity and Asset Prices (2005, unknown): “Hegde and McDermott (2003) document increases in the liquidity of stocks that are added to the S&P 500 index, with liquidity being measured in a number of ways: bid–ask spread (quoted and effective), volume, trading frequency, and the estimated parameters from Kyle’s model, λn/P and particularly…”
Price and Volume Effects of Changes in MSCI indices – Nature and Causes (2005, background): “Hegde and McDermott (2003) use transaction data to show that the inclusion of a stock in the S&P 500 index leads to a permanent improvement in its liquidity.”
Trading imbalances, predictable reversals, and cross-stock price pressure (2008, background): “In Ho and Stoll (1983), for example, a sell trade in one stock raises the dealer’s inventory in that stock.”