"The Long-term Returns on the Original S&P 500 Firms" by Jeremy Siegel and Jeremy Schwartz (The Rodney L. White Center for Financial Research, The Wharton School, University of Pennsylvania, 2004, #29-04)

This study shows that revisions of the S&P500 index over time have not enhanced the value of the index: 1) because new stocks tend to be added as relative valuations peak and 2) because of the market trading impact of index funds that must buy these newly added firms, while they jettison those that are removed from the index. In addition, this study is yet another proof that a passive, low cost, buy-and-hold strategy is superior over the long haul to all this frenetic active investing that individuals and investment funds do.