On Survivor Stocks in the S&P 500 Stock Index

39 Pages Posted: 10 Jun 2021

See all articles by Klaus Grobys

Klaus Grobys

University of Vaasa; University of Jyväskyla

James W. Kolari

Texas A&M University - Department of Finance

Date Written: March 30, 2021

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.

Keywords: Asset pricing, S&P 500 index, survivor stocks, risk factors, momentum

JEL Classification: G10, G12, G15, G19

Suggested Citation

Grobys, Klaus and Kolari, James W., On Survivor Stocks in the S&P 500 Stock Index (March 30, 2021). Available at SSRN: https://ssrn.com/abstract=3862318 or http://dx.doi.org/10.2139/ssrn.3862318

Klaus Grobys (Contact Author)

University of Vaasa ( email )

P.O. Box 700
Wolffintie 34
FIN-65101 Vaasa
Finland

University of Jyväskyla ( email )

Jyväskyla
Finland

James W. Kolari

Texas A&M University - Department of Finance ( email )

MS-4218
Department of Finance
College Station, TX TX 77843-4218
United States
979-845-4803 (Phone)
979-845-3884 (Fax)

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