Εκτίμηση αριστερών ουρών και οι σχέσεις τους με τις μελλοντικές αποδόσεις
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Αριστερές ουρέςAbstract
In this research, Greek and American stocks were analysed in order to determine the correlation between the left queues and future returns. The low yields in the left tail of the distribution remain in the future causing momentum to return to the left tail. Statistical and empirical analysis concluded that there is a negative correlation between future returns and left-tail risk.