This paper predicts the two most common stock market exits — mergers and drops — using logit models based on firm-level variables and analyzes the returns of stocks that have high exit probabilities. Such analysis is important for investors given that frequent exits are partly responsible for the large US listing gap (Doidge et al., 2017). High merger probability stocks have positive 3-factor alphas and lower-than-average volatility. Firms with high drop probabilities have anomalously negative 3-, 4-, and 5-factor alphas between [Formula: see text]% and [Formula: see text]% per month. Results are robust to controlling for the effects of skewness, volatility, and turnover on returns.