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| Left-Tail Momentum of Korean Stock Markets |
| Cheoljun Eom, Yunsung Eom, Jong Won Park |
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Korean J Financ Stud. 2022;51(6):693-728. Published online December 31, 2022 DOI: https://doi.org/10.26845/KJFS.2022.12.51.6.693 |
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Left-Tail Momentum of Korean Stock Markets Korean Journal of Financial Studies. 2022;51(6):693-728  Stock Markets Overreaction Capital Markets and Investment Decision Making. 2019;83-107 The tail risk of emerging stock markets Emerging Markets Review. 2009;10(4):242-256 Stock market tail risk, tail risk premia, and return predictability Journal of Futures Markets. 2021;41(10):1569-1596 Tail dependence, dynamic linkages, and extreme spillover between the stock and China's commodity markets Journal of Commodity Markets. 2023;29:100312 Left-tail momentum and tail properties of return distributions: A case of Korea International Review of Financial Analysis. 2023;87:102570 Air Pollution, Stock Return, and Volatility: Evidence from Korean Stock Markets Korean Journal of Financial Studies. 2020;49(3):375-413 Modeling tail risk in Indian commodity markets using conditional EVT-VaR and their relation to the stock market Investment Management and Financial Innovations. 2022;19(3):1-12 Idiosyncratic tail risk and expected stock returns: Evidence from the Chinese stock markets Finance Research Letters. 2018;24:129-136 Are momentum profits driven by the cross-sectional dispersion in expected stock returns? Journal of Financial Markets. 2011;14(3):494-513 |
