On Survivor Stocks in the S&P 500 Stock Index
نویسندگان
چکیده
This paper investigates the performance and characteristics of survivor stocks in S&P 500 index. Using both in-sample out-of-sample comparisons, outperformed this market index by a considerable margin. Relative to other companies, tend be small-value that exhibit high profitability invest conservatively. Surprisingly, loser with negative exposure momentum factor. Further analyses show volatility portfolio is less exposed tail risks responds shocks innovation process.
منابع مشابه
Information Flow between Composite Stock Index and Individual Stocks
We investigate the strength and the direction of information transfer in the U.S. stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of the information transfer, we find that individual stocks are influenced by the index of the market.
متن کاملThe Stock Performance of C. Everett Koop Award Winners Compared With the Standard & Poor's 500 Index
OBJECTIVE To explore the link between companies investing in the health and well-being programs of their employees and stock market performance. METHODS Stock performance of C. Everett Koop National Health Award winners (n = 26) was measured over time and compared with the average performance of companies comprising the Standard and Poor's (S&P) 500 Index. RESULTS The Koop Award portfolio o...
متن کاملFitting S&P 500 Stock Index Option Prices Using High-dimensional AJD Models (The First Draft)
We investigate the empirical performance of high-dimensional a¢ ne stochastic volatility and jump di¤usion (AJD) pricing models to t S&P 500 stock index option prices.We use these models to study how to structure two kind of risk components: volatility factor and jump di¤usion within a multi-factor framework. We identify that more than two volatility factors are needed to be included into mode...
متن کاملCoupling Index and Stocks
In this paper, we are interested in continuous time models in which the index level induces some feedback on the dynamics of its composing stocks. More precisely, we propose a model in which the log-returns of each stock may be decomposed into a systemic part proportional to the log-returns of the index plus an idiosyncratic part. We show that, when the number of stocks in the index is large, t...
متن کاملthe impact of e-readiness on ec success in public sector in iran the impact of e-readiness on ec success in public sector in iran
acknowledge the importance of e-commerce to their countries and to survival of their businesses and in creating and encouraging an atmosphere for the wide adoption and success of e-commerce in the long term. the investment for implementing e-commerce in the public sector is one of the areas which is focused in government‘s action plan for cross-disciplinary it development and e-readiness in go...
ذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of risk and financial management
سال: 2022
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm15020095