Researcher investigates left-tail momentum in the Korean stock market

Left-tail risk (LT) stocks are those whose returns fall into the extreme end on the left side of the return distribution. In the hopes of mean-reverting to the normal price, investors usually hold on to these stocks. However, contrary to mean-reverting expectations, these stocks that have experienced extreme losses and high tail risks in the past tend to continue declining in the future, resulting in financial losses.