Re-verifying the left-tail momentum (LTM) phenomenon in the Korean stock markets (IMAGE)
Caption
A new study by researchers from Korea identifies two types of stocks with high tail risk—stocks with frequent large losses (high tail-fatness) and those with infrequent but large losses (low tail-fatness). The LTM phenomenon occurs due to the investor’s overconfidence in the latter stocks.
Credit
Professor Cheoljun Eom from Pusan National University
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