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On Survivor Stocks in the S&P 500 Stock Index

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  • Klaus Grobys

    (Finance Research Group, School of Accounting and Finance, University of Vaasa, Wolffintie 34, 65200 Vaasa, Finland
    Innovation and Entrepreneurship (InnoLab), University of Vaasa, Wolffintie 34, 65200 Vaasa, Finland)

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.

Suggested Citation

  • Klaus Grobys, 2022. "On Survivor Stocks in the S&P 500 Stock Index," JRFM, MDPI, vol. 15(2), pages 1-24, February.
    • Handle: RePEc:gam:jjrfmx:v:15:y:2022:i:2:p:95-:d:755090
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    References listed on IDEAS

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    6. Diane K. Denis & John J. McConnell & Alexei V. Ovtchinnikov & Yun Yu, 2003. "S&P 500 Index Additions and Earnings Expectations," Journal of Finance, American Finance Association, vol. 58(5), pages 1821-1840, October.
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    Cited by:

    1. Klaus Grobys & Yao Han & James W. Kolari, 2023. "Better Not Forget: On the Memory of S&P 500 Survivor Stock Companies," JRFM, MDPI, vol. 16(2), pages 1-16, February.

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