Tai-Yong Roh

Liaoning University

Shenyang, Liaoning

China

SCHOLARLY PAPERS

5

DOWNLOADS

127

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

What Drives the Dispersion Anomaly?

Number of pages: 53 Posted: 02 Apr 2019
Byoung-Kyu Min, Buhui Qiu and Tai-Yong Roh
University of Sydney Business School, University of Sydney Business School and Liaoning University
Downloads 55 (372,180)

Abstract:

Loading...

Dispersion Anomaly, Profitability, Disclosure Quality

2.

Downside Uncertainty Shocks in the Oil and Gold Markets

Number of pages: 33 Posted: 08 Aug 2019
Yahua Xu, Ro Cho and Tai-Yong Roh
Central University of Finance and Economics (CUFE) - China Economics and Management Academy, Massey University, College of Business, School of Economics and Finance and Liaoning University
Downloads 20 (522,267)

Abstract:

Loading...

Commodity markets; Downside uncertainty shocks; Downside variance risk premiums; Pricing implications

3.

Volatility-of-Volatility Risk in the Crude Oil Market

Number of pages: 33 Posted: 31 Jul 2019 Last Revised: 17 Aug 2019
Tai-Yong Roh and Yahua Xu
Liaoning University and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 20 (522,267)

Abstract:

Loading...

Crude oil market; Stochastic volatility-of-volatility risk; Delta-hedged gains; Jump risks; Pricing implications

4.

Bad Volatility Is Not Always Bad: Evidence from the Commodity Markets

Number of pages: 45 Posted: 10 Jul 2019
Auckland University of Technology - Department of Finance, University of Texas at San Antonio - College of Business - Department of Economics, Liaoning University and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 18 (534,033)

Abstract:

Loading...

Commodity markets; Upside and downside variance risk premiums; Asymmetric risk; Prediction

5.

Consumption Growth Predictability and Asset Prices

Journal of Empirical Finance, Vol. 51, 2019
Number of pages: 66 Posted: 02 Apr 2019
Tai-Yong Roh, Changjun Lee and Byoung-Kyu Min
Liaoning University, Hankuk University of Foreign Studies and University of Sydney Business School
Downloads 14 (557,726)

Abstract:

Loading...

Consumption-based asset pricing model, Consumption growth predictability, Recursive preference, Value premium, Long-term return reversal