עשיתי עוד כמה חיפושים, ומצאתי את
זה שהרבה יותר עדכני. הם כותבים במסקנות ש:
Interestingly, we find that the risk-adjusted average excess return of our portfolio of survivor stocks is 5.16% per annum after controlling for the excess returns of the S&P 500 index. This finding supports
Siegel and Schwartz (
2006), who documented that the original S&P 500 constituent stocks outperformed the index. Our findings indicate that this outperformance is even more pronounced after controlling for market risk. Relative to the S&P 500 index, we find that survivors tend to be on average small-value stocks that exhibit high profitability and conservative capital investment. Moreover, survivor stocks’ returns are negatively correlated with momentum returns, which suggests that their returns more closely mimic losers rather than winners in momentum portfolios. During the financial crisis of 2008 and 2009, survivor stocks earned higher profits, invested more aggressively in capital, and decreased in size over time relative to the S&P 500 index. Additionally, the value characteristic of survivor stocks appears to be sample specific to the post-financial crisis period. We infer that survivor companies were better able to withstand the stresses of economic downturns than other S&P 500 index firms
אז לכל המעונינים יש לכם וודו חדש......זה נקרא אבולוציה: survival of the fittest
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