When I was doing my MBA, my finance professor was extolling the virtues of Efficient Market Hypothesis (EMH) when a student asked, "But what about Warren Buffett? Doesn't he serve as evidence that markets are not efficient?". My professor stated something to the effect that Buffett's pretty much the only guy that can beat the market. Fortunately for us, that's not the case. Fortunately for this prof, the professor market is not efficient either and therefore he still has a job.
- Dropped from the index. Many fund charters preclude them from owning shares.
- A spin-off. Large funds will pull the trigger on a sale of these often smaller IPOs.
- Involved in a bankruptcy proceeding. Again, certain charters my restrict ownership of these shares.
- In the wrong hands. For example, banks owning foreclosed real estate.