Klaus Grobys

University of Vaasa

Assistant Professor of Finance

P.O. Box 700

Wolffintie 34

FIN-65101 Vaasa

Finland

University of Jyväskyla

Jyväskyla

Finland

  • University of Vaasa

  • University of Jyväskyla

SCHOLARLY PAPERS

49

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SSRN CITATIONS
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80

CROSSREF CITATIONS

6

Scholarly Papers (49)

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1.

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 496 (112,054)
Citation 9

Abstract:

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asset pricing, momentum crash, industry momentum, optionality effect

2.

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 495 (112,335)
Citation 4

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Return dispersion, Momentum, Currency markets, Global economic risk

3.

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 410 (140,207)
Citation 1

Abstract:

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

4.

Another Look at Value and Momentum: Volatility Spillovers

Review of Quantitative Finance and Accounting, Vol. 55, pp. 1459-1479, 2020
Number of pages: 44 Posted: 16 Mar 2017 Last Revised: 29 Dec 2020
Klaus Grobys and Sami Vähämaa
University of Vaasa and University of Vaasa
Downloads 342 (171,409)
Citation 5

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

5.

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 279 (212,411)
Citation 2

Abstract:

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

6.

Return Dispersion and Investment Anomalies

Number of pages: 53 Posted: 21 Aug 2015 Last Revised: 21 Nov 2023
Klaus Grobys and James W. Kolari
University of Vaasa and Texas A&M University - Department of Finance
Downloads 248 (238,924)

Abstract:

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Return dispersion, anomalies, asset pricing

7.

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 245 (241,811)
Citation 2

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

8.

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 244 (242,767)
Citation 1

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

9.

On the Stability of Stablecoins

Number of pages: 48 Posted: 04 Mar 2021
Klaus Grobys, Juha-Pekka Junttila, James W. Kolari and Niranjan Sapkota
University of Vaasa, University of Oulu - Department of Economics, Accounting and Finance, Texas A&M University - Department of Finance and University of Vaasa
Downloads 224 (263,711)
Citation 21

Abstract:

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Bitcoin, financial technology, power laws, spillovers, stablecoins, volatility

10.

How Much Are We Willing To Lose in Cyberspace? On the Tail Risk of Scam in the Market for Initial Coin Offerings

Number of pages: 22 Posted: 09 Jan 2021
Niranjan Sapkota, Klaus Grobys and Josephine Dufitinema
University of Vaasa, University of Vaasa and University of Vaasa
Downloads 213 (277,574)
Citation 4

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Crowd funding, Financial technology, Fraud, Initial Coin Offering, Plug-in estimation, Scam.

11.

Factor Momentum, Investor Sentiment, and Option-Implied Volatility-Scaling

Number of pages: 50 Posted: 04 Jun 2020
Jere Rutanen and Klaus Grobys
University of Vaasa and University of Vaasa
Downloads 210 (280,114)

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sset pricing, factor momentum, investor sentiment, option-implied volatility scaling, VIX

12.

Fear Sells: Determinants of Fund-Raising Success in the cross-section of Initial Coin Offerings

Number of pages: 71 Posted: 11 May 2021 Last Revised: 06 Oct 2021
Niranjan Sapkota and Klaus Grobys
University of Vaasa and University of Vaasa
Downloads 200 (292,953)
Citation 2

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Initial Coin Offering (ICO), Natural Language Processing (NLP), Sentiment Dictionaries, Deep Learning, Artificial Neural Networks (ANN)

13.

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 189 (308,324)

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

14.

When Bitcoin Has the Flu: On Bitcoin’s Performance to Hedge Equity Risk in the Early Wake of the COVID-19 Outbreak

Number of pages: 15 Posted: 01 Apr 2020
Klaus Grobys
University of Vaasa
Downloads 182 (318,933)
Citation 4

Abstract:

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bitcoin, coronavirus, COVID-19, hedging, financial technology

15.

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 175 (330,402)
Citation 1

Abstract:

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

16.

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 160 (356,802)
Citation 1

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

17.

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 160 (356,802)
Citation 1

Abstract:

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

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 149 (380,555)

Abstract:

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

19.

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 144 (388,967)
Citation 1

Abstract:

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

20.

Cryptocurrency momentum: Is it an illusion?

Number of pages: 19 Posted: 30 Nov 2023
Klaus Grobys and Syed Jawad Hussain Shahzad
University of Vaasa and Montpellier Business School
Downloads 143 (391,124)

Abstract:

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Cryptocurrency; momentum; power laws; realized variance

21.

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 137 (404,472)

Abstract:

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

22.

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 134 (411,627)

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

23.

Speculation and Lottery-Like Demand in Cryptocurrency Markets

Number of pages: 33 Posted: 20 Apr 2020 Last Revised: 08 May 2020
Klaus Grobys and Juha-Pekka Junttila
University of Vaasa and University of Oulu - Department of Economics, Accounting and Finance
Downloads 125 (434,216)
Citation 1

Abstract:

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

24.

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 122 (442,403)
Citation 1

Abstract:

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

25.

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 121 (445,100)

Abstract:

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

26.

On the Tail Risk of Cyberattacks in the Bitcoin Market

Number of pages: 21 Posted: 09 Jan 2021
Klaus Grobys, Josephine Dufitinema and Niranjan Sapkota
University of Vaasa, University of Vaasa and University of Vaasa
Downloads 120 (447,807)

Abstract:

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Bitcoin, Cryptocurrency, Cyberattacks, Financial technology, Extreme-Value-Theory, Dual distribution, Hacking incidents

27.

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 119 (450,616)

Abstract:

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

28.

What Do We Know About the Second Moment of Financial Markets?

Number of pages: 33 Posted: 07 Jun 2021
Klaus Grobys
University of Vaasa
Downloads 105 (494,205)
Citation 2

Abstract:

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Education, Finance, Pareto distributions, Power laws, Second moment, Variance

29.

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 105 (494,205)

Abstract:

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

30.

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

Number of pages: 19 Posted: 20 Mar 2020 Last Revised: 11 May 2020
Klaus Grobys
University of Vaasa
Downloads 83 (574,924)
Citation 9

Abstract:

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

31.

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 78 (595,998)
Citation 1

Abstract:

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GRS Test, Wald Test, Dynamic Correlation, Conditional Heteroskedasticity

32.

Momentum Crashes; a New Perspective Derived from Log-Periodicity

Number of pages: 68 Posted: 29 Jun 2024
Masoumeh Fathi, Klaus Grobys and Janne Äijö
University of Vaasa, University of Vaasa and University of Vaasa
Downloads 74 (613,721)

Abstract:

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financial bubble, log-periodic power law, momentum crashes, LPPLS model

33.

Identifying Portfolio-Based Risk Factors in Foreign Exchange Markets

Number of pages: 24 Posted: 27 Feb 2018
Klaus Grobys
University of Vaasa
Downloads 65 (657,062)

Abstract:

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

34.

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 61 (677,880)

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Cryptocurrency, Bitcoin, Market Equilibrium, Cointegration

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GRS test, Wald test, dynamic correlation, conditional heteroskedasticity

36.

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 46 (767,282)

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

37.

A Common Component of Fama and French Factor Variances

Number of pages: 53 Posted: 14 Feb 2024
Masoumeh Fathi, Klaus Grobys and Janne Äijö
University of Vaasa, University of Vaasa and University of Vaasa
Downloads 33 (865,849)

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Co-fractality, Fama and French factors, Power laws, realized variance, risk

38.

On Survivor Stocks in the S&P 500 Stock Index

Posted: 10 Jun 2021 Last Revised: 14 Feb 2022
Klaus Grobys
University of Vaasa

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Asset pricing, S&P 500 index, survivor stocks, risk factors, momentum

39.

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

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

40.

Is the Asset Growth Anomaly Driven by Macroeconomic States?

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

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

41.

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

42.

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

43.

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

Abstract:

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

44.

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

45.

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

Abstract:

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

46.

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

47.

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

48.

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

Abstract:

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

49.

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