Yoontae Jeon

McMaster University - Michael G. DeGroote School of Business

1280 Main Street West

Hamilton, Ontario L8S 4M4

Canada

  • McMaster University - Michael G. DeGroote School of Business

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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SSRN RANKINGS

Top 37,139

in Total Papers Citations

21

CROSSREF CITATIONS

4

Scholarly Papers (11)

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1.

Stock Return Autocorrelations and Expected Option Returns

Number of pages: 67 Posted: 18 Apr 2019 Last Revised: 22 Sep 2023
Yoontae Jeon, Raymond Kan and Gang Li
McMaster University - Michael G. DeGroote School of Business, University of Toronto - Rotman School of Management and The Chinese University of Hong Kong, CUHK Business School
Downloads 921 (44,740)

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stock return autocorrelation, expected option returns, cross-section of option returns, option portfolios

2.

Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity

Rotman School of Management Working Paper No. 2797308
Number of pages: 71 Posted: 20 Jun 2016 Last Revised: 02 Dec 2020
Peter Christoffersen, Bruno Feunou, Yoontae Jeon and Chayawat Ornthanalai
University of Toronto - Rotman School of Management, Bank of Canada, McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 716 (62,948)
Citation 3

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Market liquidity, Crash risk, Jump intensity, Options, Filtering

3.

News as Sources of Jumps in Stock Returns: Evidence From 21 Million News Articles for 9000 Companies

Journal of Financial Economics (JFE), In Press. https://doi.org/10.1016/j.jfineco.2021.08.002, Rotman School of Management Working Paper No. 3911398, Georgetown McDonough School of Business Research Paper No. 3911398
Number of pages: 66 Posted: 25 Aug 2021 Last Revised: 24 Mar 2022
Yoontae Jeon, Thomas H. McCurdy and Xiaofei Zhao
McMaster University - Michael G. DeGroote School of Business, University of Toronto - Rotman School of Management and Georgetown University - McDonough School of Business
Downloads 707 (63,996)
Citation 16

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Jumps; News frequency; Textual analysis; News content; Sentiment

4.

Option Valuation with Observable Volatility and Jump Dynamics

Rotman School of Management Working Paper No. 2494379
Number of pages: 53 Posted: 12 Sep 2014 Last Revised: 20 May 2016
Peter Christoffersen, Bruno Feunou and Yoontae Jeon
University of Toronto - Rotman School of Management, Bank of Canada and McMaster University - Michael G. DeGroote School of Business
Downloads 333 (157,061)
Citation 2

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Dynamic volatility, dynamic jumps, realized volatility, realized jumps

5.

Fragmentation in the Bitcoin Market: Evidence From Multiple Coexisting Order Books

Finance Research Letters, Forthcoming
Number of pages: 20 Posted: 04 Aug 2020
Yoontae Jeon, Laleh Samarbakhsh and Kenji Hewitt
McMaster University - Michael G. DeGroote School of Business, Ryerson University - Ted Rogers School of Management and affiliation not provided to SSRN
Downloads 177 (290,494)

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bitcoin, fragmented market, market micro-structure, smart order router

6.

Time-Varying Window Length for Correlation Forecasts

Econometrics 2017, 5, 54: DOI at http://dx.doi.org/10.3390/econometrics5040054
Number of pages: 29 Posted: 20 Feb 2016 Last Revised: 15 Dec 2020
Yoontae Jeon and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 135 (363,188)

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Model uncertainty, variance and correlation forecasts, time-varying window length

7.

Weather Variance Risk Premia

Number of pages: 41 Posted: 28 Sep 2023
Joon Woo Bae, Yoontae Jeon, Stephen Szaura and Virgilio Zurita
Case Western Reserve University - Weatherhead School of Management, McMaster University - Michael G. DeGroote School of Business, BI Norwegian School of Business and Baylor University - Hankamer School of Business
Downloads 87 (494,629)

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Weather Variance Risk Premia, Uncertainty, Municipal Bond, Corporate Bond, Stock Variance Risk Premia, Credit Spreads

8.

Blame it on the weather: Market implied weather volatility and firm performance

Number of pages: 41 Posted: 26 Jul 2023 Last Revised: 14 Sep 2023
Joon Woo Bae, Yoontae Jeon, Stephen Szaura and Virgilio Zurita
Case Western Reserve University - Weatherhead School of Management, McMaster University - Michael G. DeGroote School of Business, BI Norwegian School of Business and Baylor University - Hankamer School of Business
Downloads 72 (552,616)

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climate finance, option prices, stock returns, weather risk

9.

Comprehensive Reassessment of Economic Uncertainty and Corporate Investment

Number of pages: 29 Posted: 23 Sep 2022 Last Revised: 26 Sep 2022
Kiryoung Lee and Yoontae Jeon
Hankuk University of Foreign Studies and McMaster University - Michael G. DeGroote School of Business
Downloads 39 (730,553)

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Economic uncertainty index, Economic Policy Uncertainty, Monetary Policy Uncertainty, Corporate Investment

10.

Does News, Order Flow, or Illiquidity drive jumps in stock returns? In the day or in the night?

Number of pages: 74 Posted: 30 Nov 2023
Yoontae Jeon, Thomas H. McCurdy and Stephen Szaura
McMaster University - Michael G. DeGroote School of Business, University of Toronto - Rotman School of Management and BI Norwegian School of Business
Downloads 26 (830,598)

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Jumps, News flow, Illiquidity, Overnight Returns

11.

Comprehensive Reassessment of Economic Uncertainty and Corporate Investment

Number of pages: 33 Posted: 23 Dec 2022
kiryoung Lee and Yoontae Jeon
Cheongju University and McMaster University - Michael G. DeGroote School of Business
Downloads 14 (943,296)

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economic uncertainty index, Economic Policy Uncertainty, Monetary policy uncertainty, Coporate investment