PNU researcher investigates left-tail momentum in the Korean stock market
Left-tail risk (LT) stocks are those whose returns fall into the extreme end on the left side of the return distribution. In the hopes of mean-reverting to the normal price, investors usually hold on to these stocks. However, contrary to mean-reverting expectations, these stocks that have experienced extreme losses and high tail risks in the past tend to continue declining in the future, resulting in financial losses. This phenomenon, referred to as left-tail momentum (LTM), appears to challenge the traditional notion of a positive relationship between risk and return. To investigate this market anomaly, a team of researchers, led by Prof. Eom from the School of Business at Pusan National ...
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