This study documents the importance of considering the cross-sectional differences in the tail properties of stocks' return distributions when analyzing the left-tail momentum (LTM) phenomenon. This phenomenon is verified in the Korean stock markets, which shows that stocks showing large losses in the past tend to continue to perform poorly in the future. However, when tail fatness (TF), measured using standardized return distributions, is considered, the LTM phenomenon is significant only in the low-TF stock group. This means that investors underestimate the persistence of left-tail risk only for stocks with a low frequency of large losses, and not for all stocks that show large losses. The results of the measurement of tail risk (TR) reaffirm the positive relationship with expected returns, which shows that the existence of LTM is verified only in the low-TR stock group, suggesting a need for caution in interpreting the LTM phenomenon with low TR as a market anomaly.

本研究证明了在分析左尾动量 (LTM) 现象时考虑股票收益分布尾部属性的横截面差异的重要性。这一现象在韩国股市得到验证，表明过去亏损较大的股票未来往往会继续表现不佳。然而，当考虑使用标准化收益分布测量的尾部脂肪（TF）时，LTM 现象仅在低 TF 股票组中显着。这意味着投资者低估了左尾风险的持续性，只是低估了大亏损频率较低的股票，而不是所有出现大亏损的股票。尾部风险（TR）的测量结果再次证实了与预期收益的正相关关系，