Left-Tail Momentum, Economic Policy Uncertainty and Analyst Coverage : Evidence from China

This paper tests whether value-at-risk has a negative relationship with expected equity returns in China; specifically, we investigate left-tail return momentum. The findings reveal that left-tail momentum is significant during high economic policy uncertainty (EPU) periods. Moreover, when the stocks receive less analyst coverage, there is an underreaction of stock prices to public information, i.e. the left-tail momentum is stronger. This anomaly can be explained by the deposition effect and underreaction to bad information