Left-tail momentum and tail properties of return distributions: A case of Korea
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DOI: 10.1016/j.irfa.2023.102570
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Keywords
Left-tail momentum; Tail property; Tail-fatness; Tail risk; Standardized return distribution;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
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