QUESTION II: THE S&P $500$ INCLUDSION ANOMALY.

Fig. $2\mathrm{.}4$ Mean Cumulative Abnormal

Returns For Stocks Added To the S&P

$500,$ By Level Of Imperfect Arbitrage

Risk.

This figure, which we discussed in the lecture, plots the mean cumulative abnormal returns of

two groups of stocks added to the S&P $500.$ The first group includes stocks with high arbitrage

risk, while the other group includes stocks with low arbitrage risk. The horizontal axis is the

trading day relative to the addition announcements.

What is the main finding of this Figure?

What is the explanation for the finding?