Role of derivatives market in attenuating underreaction to left‐tail risk
研究印度衍生品市场如何缓解左尾风险异常，发现衍生品交易能加速负面信息融入股价，使有衍生品的股票不再呈现左尾风险与未来收益的负相关关系。
Abstract The anomalous negative relationship between left‐tail risk measures and future returns has recently attracted the attention of finance researchers. We examine the role of the derivatives market in attenuating left‐tail risk anomaly in India, where derivatives trade only for a subset of stocks. We find that the negative association between left‐tail risk measure and future return is absent only in stocks having derivatives, indicating that derivatives trading hastens the diffusion of negative information into the stock prices. We find evidence that the information generation role of derivatives markets plays a primary role compared to investor inattention and limits to arbitrage.