Effect of information on stock indices The rules for including a stock in indices such as S&amp;P 500 are common knowledge, so everyone can know when e.g. company B is going to enter the index instead of company A. Since ETFs and mutual funds tracking the index have to buy shares of B and sell shares of A, this can potentially used by speculators who would try to quickly buy B and sell it to the ETFs in a high price, while buying A in a low price from the ETFs. Does such kind of speculation have any effect on the stock prices?

Specifically: Suppose someone invents a new index, X&amp;Y 500, in which the identity of the companies is kept secret and revealed only to issuers of ETFs and mutual funds. All other things being equal (e.g. the companies in both indices are equally strong, have the same business potential, the volume of ETFs of both indices is the same, etc.), will the secret index X&amp;Y 500 perform better than the revealed index S&amp;P 500?

EDIT: To make the question even more focused, assume that there is no way to know in advance which stocks are going to enter/exit S&amp;P 500 (e.g. these stocks are selected at random). So the difference between S&amp;P 500 and X&amp;Y 500 is that the stocks in the former are revealed to all traders at the same time, while the stocks in the latter are revealed only to ETF issuers.
If you believe the efficient market hypothesis, then the answer is no;

At the moment relevant information (say, which allow the company to be added to the index reveal, the stock price would automatically reflect the price as if it was already added to the index, as otherwise there would be arbitrage closable by buying the stock at this moment and selling it when the ETFs are getting in.

In practice, I've tried it a few times myself but it seems that in general the market already takes future ETF investments into pricing quite well.