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• W4316040824 abstract "This study examines the relationship between left-tail risk and stock return in the Korean stock markets and ascertains whether there is a left-tail momentum phenomenon in which stocks with high left-tail risk have lower investment performance than those with low left-tail risk (Atilgan et al., 2020). The results reveal that left-tail risk has a significant negative relationship with stock returns for future holding periods and that the left-tail momentum is strongly observed in the Korean stock markets. The excess return of the Fama-French 3-factor model of the decile portfolio-based (H-L) zero-cost investment strategy using left-tail risk has a significant value of -0.67% to -0.73% per month on average. These results are robust even after controlling for changes in the left-tail risk measures or key related variables that could affect the left-tail momentum. In addition, the left-tail momentum has explanatory power regarding the fluctuations of stock returns independent of Fama-French 3-factors." @default.
• W4316040824 created "2023-01-14" @default.
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• W4316040824 date "2022-12-31" @default.
• W4316040824 modified "2023-10-14" @default.
• W4316040824 title "Left-Tail Momentum of Korean Stock Markets" @default.
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• W4316040824 doi "https://doi.org/10.26845/kjfs.2022.12.51.6.693" @default.
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