6533b821fe1ef96bd127b661
RESEARCH PRODUCT
On survivor stocks in the S&P 500 stock index
Klaus GrobysKlaus GrobysJames W. Kolarisubject
Index (economics)social sciencesStock market indexhumanitiesMomentum (finance)Margin (finance)EconometricsEconomicspopulation characteristicsCapital asset pricing modelPortfolioProfitability indexVolatility (finance)human activitieshealth care economics and organizationsdescription
This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be small value stocks that exhibit high profitability and invest conservatively. Surprisingly, survivor stocks tend to be loser stocks with negative exposure to the momentum factor. Further analyses show that the volatility of the survivor stocks portfolio is less exposed to tail risks and responds less to shocks in the innovation process.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2021-01-01 | SSRN Electronic Journal |