The effect was very large decades ago and has shrunk as arbitrageurs learned to front-run it, but it has not disappeared for names where the required trade is large relative to liquidity. Much of the announcement pop is now given back within a month, which turns the trade into a short-horizon liquidity event rather than a lasting revaluation.
Deletions are often the stronger side. Forced selling into a falling, illiquid stock has fewer natural buyers than forced buying into a rising one.
Example: a stock jumps 7.2% on announcement, adds another 3% into the effective date, then falls 6.5% over the following three weeks. A buyer at the announcement close who held a month captured about 3.7%, not 10%.
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