Klaus Grobys

University of Vaasa

Assistant Professor of Finance

P.O. Box 700

Wolffintie 34

FIN-65101 Vaasa

Finland

  • University of Vaasa

SCHOLARLY PAPERS

38

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Scholarly Papers (38)

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1.

Is Currency Momentum a Hedge for Global Economic Risk?

Number of pages: 59 Posted: 17 Jun 2015 Last Revised: 22 Dec 2016
Klaus Grobys, Jari-Pekka Heinonen and James W. Kolari
University of Vaasa, University of Vaasa - Department of Accounting and Finance and Texas A&M University - Department of Finance
Downloads 404 (75,753)
Citation 3

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Return dispersion, Momentum, Currency markets, Global economic risk

2.

Risk-Managed Industry Momentum and Momentum Crashes

Number of pages: 46 Posted: 28 Sep 2016 Last Revised: 01 Jul 2017
Klaus Grobys, Joni Ruotsalainen and Janne Jaakko Äijö
University of Vaasa, Inderes Oy and University of Vaasa, Department of Accounting and Finance
Downloads 317 (99,851)
Citation 4

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asset pricing, momentum crash, industry momentum, optionality effect

3.

Another Look at Value and Momentum: Volatility Spillovers

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 44 Posted: 16 Mar 2017 Last Revised: 27 Mar 2020
Klaus Grobys and Sami Vähämaa
University of Vaasa and University of Vaasa
Downloads 297 (107,245)

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Asset pricing, value effect, momentum effect, volatility spillovers, volatility spillover index

4.

Return Dispersion and Investment Anomalies

Number of pages: 53 Posted: 21 Aug 2015 Last Revised: 26 Jul 2016
Klaus Grobys and James W. Kolari
University of Vaasa and Texas A&M University - Department of Finance
Downloads 180 (175,333)

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Return dispersion, anomalies, asset pricing

5.

Risk-Managed 52-Week High Industry Momentum, Momentum Crashes, and Hedging Macroeconomic Risk

Number of pages: 38 Posted: 25 Jan 2017 Last Revised: 19 Jul 2017
Klaus Grobys
University of Vaasa
Downloads 162 (192,054)
Citation 1

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asset pricing, momentum crash, industry momentum, optionality effect, 52-week high momentum

6.

Is There a Credit Risk Anomaly in FX Markets?

Finance Research Letters, Forthcoming
Number of pages: 11 Posted: 31 Oct 2015 Last Revised: 26 May 2016
Klaus Grobys and Jari-Pekka Heinonen
University of Vaasa and University of Vaasa - Department of Accounting and Finance
Downloads 127 (234,085)
Citation 1

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Credit risk, FX markets, currency markets, carry trade, anomaly

7.

Choosing Factors: The International Evidence

Number of pages: 29 Posted: 18 Oct 2019 Last Revised: 31 Dec 2019
Klaus Grobys and James W. Kolari
University of Vaasa and Texas A&M University - Department of Finance
Downloads 105 (268,560)

Abstract:

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risk factors, maximum squared Sharpe ratio, asset pricing models, spanning regressions

8.

Another Look at Industry Momentum and the Cross Section of Expected Returns

Number of pages: 38 Posted: 18 Feb 2015
Klaus Grobys
University of Vaasa
Downloads 105 (268,560)

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Industry momentum, Industry affiliation, Industry momentum factor, Asset growth, Credit rating, Cross section of expected returns

9.

Are Momentum Crashes Pervasive Regardless of Strategy? Evidence from the Foreign Exchange Market

Number of pages: 10 Posted: 02 Jul 2016
Klaus Grobys and Jesper Haga
University of Vaasa and Hanken School of Economics - Department of Finance and Statistics
Downloads 97 (283,373)

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asset pricing, international financial markets, momentum crash, foreign exchange markets, currency markets.

10.

Momentum Crash, Credit Risk and Optionality Effects in Bear Markets and Crisis Periods: Evidence from the US Stock Market

Applied Economics Letters, Forthcoming
Number of pages: 18 Posted: 22 Mar 2016 Last Revised: 26 May 2016
Klaus Grobys
University of Vaasa
Downloads 93 (291,156)

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Credit risk, Optionality, Momentum, Bear market states, Financial crisis, trading strategy

11.

Predicting Cryptocurrency Defaults

Number of pages: 23 Posted: 16 May 2019 Last Revised: 24 Nov 2019
Niranjan Sapkota and Klaus Grobys
University of Vaasa and University of Vaasa
Downloads 87 (303,625)

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Cryptocurrency, Bitcoin, Bankruptcy, Default, Credit Risk, Linear Discriminant Analysis

12.

Option-Implied Volatility Spillovers between Risk Factors in FX Markets and States of the Global Economy

Number of pages: 17 Posted: 02 Feb 2016
Klaus Grobys and Jari-Pekka Heinonen
University of Vaasa and University of Vaasa - Department of Accounting and Finance
Downloads 85 (308,052)
Citation 1

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Volatility spillovers, currency markets, G10 currencies, option-implied volatility, risk factors, expected volatility, expected portfolio volatility

13.

Does Option-Implied Cross-Sectional Return Dispersion Forecast Realized Cross-Sectional Return Dispersion? Evidence from the G10 Currencies

Number of pages: 31 Posted: 17 Oct 2015 Last Revised: 26 May 2016
Klaus Grobys and Jari-Pekka Heinonen
University of Vaasa and University of Vaasa - Department of Accounting and Finance
Downloads 85 (308,052)

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Return dispersion, currency markets, G10 currencies, implied cross-sectional return dispersion

14.

Combining Value and Momentum: Evidence from the Nordic Equity Market

Number of pages: 26 Posted: 19 Aug 2018
Klaus Grobys and Topi Huhta-Halkola
University of Vaasa and University of Vaasa - Department of Accounting and Finance
Downloads 66 (355,648)

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nordic stock markets, value, momentum, average ranking method, negative correlation

15.

Corruption, Carry Trades, and the Cross Section of Currency Returns

Number of pages: 29 Posted: 02 May 2017 Last Revised: 15 May 2017
Klaus Grobys and Jari-Pekka Heinonen
University of Vaasa and University of Vaasa - Department of Accounting and Finance
Downloads 62 (367,364)

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Corruption, corruption perceptions, corruption risk, FX markets, currency markets

16.

Volatility-Managing International Equity Risk Factors

Number of pages: 16 Posted: 08 Mar 2018
Klaus Grobys and Janne Jaakko Äijö
University of Vaasa and University of Vaasa, Department of Accounting and Finance
Downloads 50 (406,303)

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asset pricing, risk factors, volatility-managing, risk-managing, global equity markets

17.

Blockchain Consensus Protocols, Energy Consumption and Cryptocurrency Prices

Number of pages: 29 Posted: 20 Jun 2019 Last Revised: 27 Nov 2019
Niranjan Sapkota and Klaus Grobys
University of Vaasa and University of Vaasa
Downloads 49 (409,813)

Abstract:

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Cryptocurrency, Bitcoin, Blockchain, Consensus protocol, Energy efficiency, Momentum

18.

Option-Implied Volatility-Managed Asset Pricing Risk Factors and Resurrection of the Value Factor

Number of pages: 21 Posted: 10 Oct 2019
Klaus Grobys
University of Vaasa
Downloads 39 (448,420)

Abstract:

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option-implied volatility, risk factors, asset pricing models, volatility-managing

19.

Identifying Portfolio-Based Risk Factors in Foreign Exchange Markets

Number of pages: 24 Posted: 27 Feb 2018
Klaus Grobys
University of Vaasa
Downloads 37 (456,784)

Abstract:

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Asset Pricing, Carry Risk Factor, Currency Momentum, Foreign Exchange Market

20.

Asset Market Equilibria in Cryptocurrency Markets: Evidence from a Study of Privacy and Non-Privacy Coins

Number of pages: 28 Posted: 25 Jun 2019
Niranjan Sapkota and Klaus Grobys
University of Vaasa and University of Vaasa
Downloads 28 (499,529)

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Cryptocurrency, Bitcoin, Privacy Coins, Non-Privacy Coins, Market Equilibria

21.

Contagion of Uncertainty: Transmission of Risk from the Cryptocurrency Market to the Foreign Exchange Market

Number of pages: 34 Posted: 25 Jun 2019
Klaus Grobys and Niranjan Sapkota
University of Vaasa and University of Vaasa
Downloads 24 (522,006)

Abstract:

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Cryptocurrency, Bitcoin, Volatility Spillover, Foreign Exchange, G10 Currency

22.

Returns to Public Debt: The US Federal Budget Deficit and the Cross Section of Equity Returns

Number of pages: 46 Posted: 18 Feb 2015
Klaus Grobys
University of Vaasa
Downloads 20 (546,051)

Abstract:

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Asset pricing, US federal budget deficit, Equity returns, Macroeconomic risk

23.

Equilibrium in Asset Prices: Evidence from Cryptocurrencies

Number of pages: 23 Posted: 25 Jun 2019
Klaus Grobys and Niranjan Sapkota
University of Vaasa and University of Vaasa
Downloads 17 (564,630)

Abstract:

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Cryptocurrency, Bitcoin, Market Equilibrium, Cointegration

24.

Finite Sample Sizes of the GRS Test in the Presence of Dynamic Correlation and Conditional Heteroskedasticity

Number of pages: 13 Posted: 10 Nov 2017
Klaus Grobys
University of Vaasa
Downloads 14 (583,631)
Citation 1

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GRS Test, Wald Test, Dynamic Correlation, Conditional Heteroskedasticity

25.

When the Blockchain Does Not Block: On Hackings and Uncertainty in the Cryptocurrency Market

Number of pages: 20 Posted: 20 Mar 2020
Klaus Grobys
University of Vaasa
Downloads 13 (596,935)

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Cryptocurrency, Bitcoin, Ethereum, Volatility, Contagion, Hackings, Cyberattacks

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GRS test, Wald test, dynamic correlation, conditional heteroskedasticity

27.

Growth in Average Firm Size of U.S. Industrial Portfolios and the Cross-Section of Expected Returns

Posted: 10 May 2018 Last Revised: 27 May 2018
Klaus Grobys
University of Vaasa

Abstract:

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asset pricing, industry portfolios, growth in average firm size, risk factor

28.

Is the Asset Growth Anomaly Driven by Macroeconomic States?

Applied Economics Letters, Forthcoming
Posted: 12 Feb 2016
Klaus Grobys
University of Vaasa

Abstract:

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Return dispersion, stock price dispersion, macroeconomic conditions, asset growth anomaly, asset growth effect

29.

Identifying Portfolio-Based Systematic Risk Factors in Equity Markets

Finance Research Letters, Forthcoming
Posted: 06 Nov 2015 Last Revised: 10 Feb 2016
Klaus Grobys and Jesper Haga
University of Vaasa and Hanken School of Economics - Department of Finance and Statistics

Abstract:

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asset pricing model, betting-against-beta factor, quality factor, investment factor, profitability factor

30.

The Market Price of Credit Risk and Economic States

Empirical Economics, Forthcoming
Posted: 18 Feb 2015 Last Revised: 03 Mar 2015
Klaus Grobys and Jesper Haga
University of Vaasa and Hanken School of Economics - Department of Finance and Statistics

Abstract:

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Asset pricing, Credit rating, Credit risk, Economic states, Business cycle, Market price of credit risk

31.

Another Look at Momentum Crashes: Momentum in the European Monetary Union

Applied Economics, Forthcoming
Posted: 14 Feb 2015 Last Revised: 17 Oct 2015
Klaus Grobys
University of Vaasa

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European Monetary Union, Market integration, Momentum crash, European stocks, Sovereign European Debt Crisis, Financial Crisis

32.

Are Volatility Spillovers between Currency and Equity Market Driven by Economic States? Evidence from the US Economy

Economics Letters, Vol. 127, 2015
Posted: 29 Jan 2015 Last Revised: 09 Apr 2015
Klaus Grobys
University of Vaasa

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Volatility spillover index, Currency markets, Equity markets, Economic states, Economic turbulence

33.

Momentum, Sovereign Credit Ratings and Global Equity Markets

Applied Economics Letters, Vol. 21, No. 18, 2014
Posted: 29 Jan 2015
Klaus Grobys
University of Vaasa

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asset pricing, global equity markets, international stock indices, credit rating, momentum

34.

Size Distortions of the Wild Bootstrapped HCCME-Based LM Test for Serial Correlation in the Presence of Asymmetric Conditional Heteroskedasticity

Empirical Economics, Vol. 48, 2015
Posted: 29 Jan 2015 Last Revised: 09 Apr 2015
Klaus Grobys
University of Vaasa

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Asymmetric heteroskedasticity, Serial correlation, Wild bootstrap, HCCME-based LM test, Simulation

35.

Idiosyncratic Volatility and Global Equity Markets

Applied Economics Letters, Vol. 22, No. 5, 2015
Posted: 29 Jan 2015
Klaus Grobys
University of Vaasa

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Idiosyncratic Volatility, global equity markets, international stock indices, business cycle

36.

An Empirical Analysis of Changes of the Impact of Federal Budget Deficits on Stock Market Returns: Evidence from the US Economy

Applied Economics Letters, Vol. 20, No. 9, 2013
Posted: 29 Jan 2015
Klaus Grobys
University of Vaasa

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federal budget deficits, stock markets, Granger Causality, impulse response

37.

Momentum in Global Equity Markets in Times of Troubles: Does the Economic State Matter?

Economics Letters, Vol. 123, 2014
Posted: 15 Jan 2015 Last Revised: 16 Oct 2015
Klaus Grobys
University of Vaasa

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Momentum, Global equity markets, International stock indices, Business cycle

38.

Speculation, lottery-like demand and cryptocurrency markets

Number of pages: 32
Klaus Grobys and Juha-Pekka Junttila
University of Vaasa and Jyväskylä University School of Business and Economics
Downloads 0

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MAX, lottery-like demand, cryptocurrency, Financial Technology, FinTech, gambling