Abstract: Based on the data of Shanghai and Shenzhen A-share market from December 2004 to September 2019, this paper analyzes the existence of left-tail reversal or momentum effect in China′s A-share market by taking the value at risk adjusted by individual stocks′ heterogeneous volatility as the proxy variable of left-tail risk, and further discusses the relationship between investors′ attention, overconfidence and strategic returns.The empirical results show that: there is a significant left-tail reversal effect in China′s A-share market, that is, the left-tail risk of individual stocks is positively correlated with their future medium and short-term returns;investors′ attention has a significantly negative impact on left-tail reversal effect:the more attention investors allocate, the lower the reversal return;the level of investors′ overconfidence has a significantly positive impact on the left-tail reversal effect:the higher the degree of investor overconfidence, the higher the reversal return;there is an interaction between investors′ attention and overconfidence level:the influence of overconfidence on the left tail reversal effect of stocks will weaken with the increase of attention allocated to stocks.The objective existence of limited attention leads to investors′ non-uniform attention to information and makes the stock price fluctuate regularly.Overconfidence has amplification effect on private signal, and can enhance the significance of stock price change. At the same time, the increase of attention will correct the behavior bias of investors′ overconfidence in private signals.

Key words: investors′ attention, overconfidence, left-tail reversal effect, VaR-adjusted