Left-tail momentum and tail properties of return distributions: A case of Korea

Cheoljun Eom, Yunsung Eom, Jong Won Park

Research output: Contribution to journalArticlepeer-review

4 Scopus citations


This study documents the importance of considering the cross-sectional differences in the tail properties of stocks' return distributions when analyzing the left-tail momentum (LTM) phenomenon. This phenomenon is verified in the Korean stock markets, which shows that stocks showing large losses in the past tend to continue to perform poorly in the future. However, when tail fatness (TF), measured using standardized return distributions, is considered, the LTM phenomenon is significant only in the low-TF stock group. This means that investors underestimate the persistence of left-tail risk only for stocks with a low frequency of large losses, and not for all stocks that show large losses. The results of the measurement of tail risk (TR) reaffirm the positive relationship with expected returns, which shows that the existence of LTM is verified only in the low-TR stock group, suggesting a need for caution in interpreting the LTM phenomenon with low TR as a market anomaly.

Original languageEnglish
Article number102570
JournalInternational Review of Financial Analysis
StatePublished - May 2023


  • Left-tail momentum
  • Standardized return distribution
  • Tail property
  • Tail risk
  • Tail-fatness


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