Suppose I am playing modern BW tokens and have a Hero of Bladehold on the field.
I cast Zealous Persecution in my main phase.
Do the tokens created my my Hero also get the +1/+1 bonus from the Persecution?
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No, the token creatures aren't on the battlefield when Zealous Persecution resolves
611.2c If a continuous effect generated by the resolution of a spell or ability modifies the characteristics or changes the controller of any objects, the set of objects it affects is determined when that continuous effect begins. After that point, the set won’t change. (Note that this works differently than a continuous effect from a static ability.) A continuous effect generated by the resolution of a spell or ability that doesn’t modify the characteristics or change the controller of any objects modifies the rules of the game, so it can affect objects that weren’t affected when that continuous effect began. If a single continuous effect has parts that modify the characteristics or changes the controller of any objects and other parts that don’t, the set of objects each part applies to is determined independently.
Example: An effect that reads “All white creatures get +1/+1 until end of turn” gives the bonus to all permanents that are white creatures when the spell or ability resolves— even if they change color later—and doesn’t affect those that enter the battlefield or turn white afterward.
Additionally, any of your opponents creatures that enter the battlefield after Zealous Persecution resolves don't get -1/-1 either.