Better Not Forget: On the Memory of S&P 500 Survivor Stock Companies

Klaus Grobys (), Yao Han and James W. Kolari
Additional contact information
Klaus Grobys: Finance Research Group, School of Accounting and Finance, University of Vaasa, Wolffintie 34, 65200 Vaasa, Finland
Yao Han: College of Finance, Jiangxi University of Finance and Economics, 169 Shuanggang East Avenue, Nanchang 330013, China
James W. Kolari: Department of Finance, Mays Business School, Texas A&M University, College Station, TX 77843-4218, USA

JRFM, 2023, vol. 16, issue 2, 1-16

Abstract: 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.

Keywords: asset pricing; S&P 500 index; survivor stocks; Hurst exponent; Paretian tails (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.mdpi.com/1911-8074/16/2/126/pdf (application/pdf)
https://www.mdpi.com/1911-8074/16/2/126/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:126-:d:1069879

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().