Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258818 
Authors: 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 2 [Article No.:] 95 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-24
Publisher: 
MDPI, Basel
Abstract: 
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.
Subjects: 
asset pricing
S&P 500 index
survivor stocks
risk factors
momentum
JEL: 
G10
G12
G15
G19
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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