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Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 16 [Issue:] 2 [Article No.:] 126 [Year:] 2023 [Pages:] 1-16
Verlag: 
MDPI, Basel
Zusammenfassung: 
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.
Schlagwörter: 
asset pricing
Hurst exponent
Paretian tails
S&P 500 index
survivor stocks
JEL: 
G10
G12
G15
G19
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