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Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns

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  • Atilgan, Yigit
  • Bali, Turan G.
  • Demirtas, K. Ozgur
  • Gunaydin, A. Doruk

Abstract

This paper documents a significantly negative cross-sectional relation between left-tail risk and future returns on individual stocks trading in the US and international countries. We provide a behavioral explanation to this anomaly based on the idea that investors underestimate the persistence in left-tail risk and overprice stocks with large recent losses. Thus, low returns in the left-tail of the distribution persist into the future causing left-tail return momentum. We find that the left-tail risk anomaly is stronger for stocks that are more likely to be held by retail investors, that receive less investor attention, and that are costlier to arbitrage.

Suggested Citation

  • Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2020. "Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns," Journal of Financial Economics, Elsevier, vol. 135(3), pages 725-753.
  • Handle: RePEc:eee:jfinec:v:135:y:2020:i:3:p:725-753
    DOI: 10.1016/j.jfineco.2019.07.006
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    More about this item

    Keywords

    Left-tail risk; Momentum; Equity returns; Retail investors; Costly arbitrage; Investor inattention;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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