Kim, Jungmu; Park, Yuen Jung; Thuy Thi Thu Truong - In: Journal of derivatives and quantitative studies 31 (2023) 4, pp. 309-327
The authors examined whether stocks with higher left-tail risk measures earn higher or lower futures returns. Specifically, the authors estimate the cross-sectional principal component of a battery of left-tail risk measures and analyze future returns on stocks with high principal component...
