This is an interesting assertion, but I'm not sure it could be true. First off, do we agree that larger companies tend to remain in business more than smaller companies do?

In a word, no : )

First, it's probably better to look at average returns, including blowups, rather than just blowups.

Yes, extreme microcaps can be pretty fragile, and indeed hard to examine as the notion of "current price" starts to become Heisenbergian.

But outside of those, average performance is mostly independent of company size. (There used to be a consensus that small caps did better, but as mentioned that may have been a misreading of the data). The biggest effect is that the very largest very few are, other than during certain gigacap bull markets, remarkably poor performers through the decades.

This might seem counterintuitive, but it arises mainly from the observation that (a) there is a price for everything, and (b) there is no such thing as a persistent free lunch. Weak small firms have low stock prices and low market caps, just low enough that on average there isn't a persistent underperformance, nor outperformance, n average through the years. If they did worse on average over time, people would catch on and the prices would be even lower. And vice versa.

Jim