On Survivor Stocks in the S&P 500 Stock Index
Grobys, Klaus (2022-02-21)
Grobys, Klaus
MDPI
21.02.2022
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe202301031344
https://urn.fi/URN:NBN:fi-fe202301031344
Kuvaus
vertaisarvioitu
© 2022 by the author. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).
© 2022 by the author. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).
Tiivistelmä
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.
Kokoelmat
- Artikkelit [2604]