Left-Tail Momentum of Korean Stock Markets
| Autor: | Cheoljun Eom, Yunsung Eom, Jong Won Park |
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| Rok vydání: | 2022 |
| Předmět: | |
| Zdroj: | Korean Journal of Financial Studies. 51:693-728 |
| ISSN: | 2713-5543 2005-8187 |
| DOI: | 10.26845/kjfs.2022.12.51.6.693 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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