Better Not Forget : On the Memory of S&P 500 Survivor Stock Companies
Grobys, Klaus; Han, Yao; Kolari, James W. (2023-02-15)
Grobys, Klaus
Han, Yao
Kolari, James W.
MDPI
15.02.2023
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2023040535235
https://urn.fi/URN:NBN:fi-fe2023040535235
Kuvaus
vertaisarvioitu
© 2023 by the authors. 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/).
© 2023 by the authors. 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 study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor stocks due to Paretian tails. Second, the return processes of very long-lived outliers exhibit long-term memories with Hurst exponents that significantly exceed one half on average. Third, sample-split tests reveal that the memory on average has virtually not changed over time—that is, survivor stocks do not forget. Fourth, and last, the long-term memory of survivor stocks appears to be unrelated to their exposures to traditional asset pricing risk factors.
Kokoelmat
- Artikkelit [2657]