It did occur during the most heated time of the rivalry (2003-2007) although it didn't help that during his time with the Yankees, Damon would "trash" the Red Sox fans with how in love he was with New York after a few years earlier saying he would never leave or want to play for the Yankees.
Historically, usually the talent migration benefited Yankees more than Red Sox (ex. Boggs wins a title with Yankees, David Cone average with Red Sox after being pivotal piece in Yankees title years, Hinske sucked with Red Sox yet suddenly becomes a good player with Yankees). Jon Olerud is the only recent player to have been good while being on both teams.
It is actually pretty common thing to occur once every few years since most recent would be Lebron having his jersey burned in Cleveland.
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