Better Not Forget: On the Memory of S&P 500 Survivor Stock Companies Academic Article uri icon

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 timethat 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.

published proceedings

  • Journal of Risk and Financial Management

altmetric score

  • 0.5

author list (cited authors)

  • Grobys, K., Han, Y., & Kolari, J. W.

citation count

  • 1

complete list of authors

  • Grobys, Klaus||Han, Yao||Kolari, James W

publication date

  • February 2023

publisher