Individual Investors’ Attention to Left Tail Risk

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Shahrzadi Mahshid; Forooghi Daryoosh

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Journal Paper

Paper Information

Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2020 | Volume:8 | Issue:2 (29) Page(s): 69-88

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Information Journal Paper

Title

Individual Investors’ Attention to Left Tail Risk

Author(s)

Shahrzadi Mahshid | Forooghi Daryoosh | Issue Writer Certificate

Keywords

Value at riskQ1

Conditional value at riskQ1

Expected excess returnsQ1

Left tail riskQ1

Abstract

Objective: Left tail risk shows the probability of the occurrence of undesirable events. Investors who undergo the Left tail risk are likely to experience considerable negative returns since the Left tail risk oftentimes continues to the next period. Thus, if individual investors show scant attention to the Left tail risk, holding the risky stocks, high levels of negative return are almost inevitable. The purpose of this study is to investigate whether or not the attention of individual investors to the risk is limited. Method: Data from one hundred and twenty (120) companies listed in Tehran Stock Exchange during the period from 2010 to 2018 was analysed using Fama regression and Macbeth. Results: The results of the present research suggest that individual investors, due to their little capacity and confidence in accepting risks, pursue a conservative investment program and their selling of their stocks depends on the probability of the Left tail risk persistence in the next period.

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APA: Copy

Shahrzadi, Mahshid, & Forooghi, Daryoosh. (2020). Individual Investors’ Attention to Left Tail Risk. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 8(2 (29) ), 69-88. SID. https://sid.ir/paper/402635/en

Vancouver: Copy

Shahrzadi Mahshid, Forooghi Daryoosh. Individual Investors’ Attention to Left Tail Risk. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2020;8(2 (29) ):69-88. Available from: https://sid.ir/paper/402635/en

IEEE: Copy

Mahshid Shahrzadi, and Daryoosh Forooghi, “Individual Investors’ Attention to Left Tail Risk,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 8, no. 2 (29) , pp. 69–88, 2020, [Online]. Available: https://sid.ir/paper/402635/en

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