Left-Tail Momentum of Korean Stock Markets

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.

Idiosyncratic volatility, turnover and the cross-section of stock returns: evidence from the Korean stock market

“…Our findings on momentum effect are consistent with previous literature documenting that the momentum effect exists in Korea after the Asian financial crisis in 1998 (Y. Eom, 2013; C. Lee and Jang, 2015).…”

“…In this paper, we are particularly interested in one emerging market, Korea, for the following reasons. First, literature reports a strong negative relation between idiosyncratic volatility and stock return in Korea (Kim and Byun, 2011; Eom et al. , 2014) so that the Korean market is a good playground for studying the source of idiosyncratic volatility puzzle.…”

Optimizing 3d Printing Parameters to Improve Dimensional Accuracy

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