Left-Tail Momentum of Korean Stock Markets

Cheoljun Eom, Yunsung Eom, Jong Won Park

Research output: Contribution to journalArticlepeer-review

2 Scopus citations


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.

Original languageEnglish
Pages (from-to)693-728
Number of pages36
JournalKorean Journal of Financial Studies
Issue number6
StatePublished - Dec 2022


  • Expected Shortfall
  • Firm Characteristics
  • Left-tail Momentum
  • Left-tail Risk
  • Value-at-Risk


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