Abnormal returns for stocks added to or removed from the S&P 500 index have been declining, despite a sharp rise in the size of underlying demand. I investigate this anomaly by studying the price variation of index-listed stocks due to passive demand shifts induced by the difference in the size of newly added and removed stocks. I find that: (i) stock demand curves have flattened due to reduced risk of arbitrage activity, and (ii) a demand-based model estimated on index-listed stocks generates average abnormal returns for additions and deletions similar to their data counterpart. This result challenges earlier research suggesting that index decisions convey information.