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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. [ABSTRACT FROM AUTHOR]

We document strong evidence that CEO incentive compensation can predict the significance of stock price momentum through discretionary accrual and real activities manipulation. The profit of momentum strategy increases with CEO pay‐for‐performance incentive, but decreases with CEO risk‐taking incentive. It also evaluates the effects of information uncertainty on such relationship. The evidence is more significant for firms with older and longer tenured CEOs and firms with more informed traders. The relationship between the profit of momentum strategy and CEO pay‐for‐performance incentive is stronger among CEOs without the risk‐taking incentive. Our results are robust for different sub‐samples based on before and after Reg FD and Sarbanes–Oxley Act, even after controlling for the potential endogeneity. Further, our findings are consistent with the information diffusion explanation of momentum and the agency theory that incentivised CEOs tend to manipulate information by smoothing good news, concealing mildly bad news and accelerating the disclosure of extremely bad news. [ABSTRACT FROM AUTHOR]

We propose a timing momentum strategy by incorporating moving‐average signals in the price momentum and show that the proposed strategy substantially outperforms the buy‐and‐hold strategy. The performance of the timing momentum is better than that of Barroso and Santa‐Clara's (2015) constant‐volatility momentum and is identical to that of Daniel and Moskowitz's (2016) dynamic momentum. One advantage of the timing momentum is that its weights on winner and loser portfolios are lower than the other two strategies, thus leading to lower transaction costs. Further, we show that the profitability of the timing momentum is enhanced when information uncertainty is high. More importantly, the timing momentum has time‐invariant profitability across various time‐series predictors and during periods of momentum crashes. [ABSTRACT FROM AUTHOR]