Retail investors and overpricing of left-tail risk: evidence from the Korean stock market
– 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 future returns on stocks with high principal component value...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Emerald Publishing
2023-11-01
|
| Series: | Seonmul yeongu |
| Subjects: | |
| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/JDQS-04-2023-0008/full/pdf |