Extreme stock returns in Korea linked to idiosyncratic risks, impacting investors.
The study looked at extreme returns and idiosyncratic risks in the Korean stock market. They found that high-risk stocks don't always lead to high returns. When they considered individual risks, the link between extreme returns and future returns was weaker. The combination of extreme returns and specific risks explained the negative premium. Market timing and economic conditions didn't fully explain the results. In Korea, extreme returns and idiosyncratic risks both play a role in stock performance.