Kim, Jungmu; Park, Yuen Jung; Thuy Thi Thu Truong - In: Journal of derivatives and quantitative studies 31 (2023) 4, pp. 309-327
The authors examined whether stocks with higher left-tail risk measures earn higher or lower futures returns …. Specifically, the authors estimate the cross-sectional principal component of a battery of left-tail risk measures and analyze …-off relationship, the study results show that high left-tail risk stocks have lower future returns. This finding is robust to various …