Zobrazeno 1 - 10 of 19 pro vyhledávání: '"Tai-Yong Roh"'
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Akademický článek
OIL VOLATILITY-OF-VOLATILITY AND TAIL RISK OF COMMODITIES
Autor: Yahua Xu, Alireza Tourani-Rad, Tai-Yong Roh
Publikováno v: Applied Finance Letters, Vol 13 (2024)
We examine the information content of oil volatility-of-volatility (VOV), constructed from the past 1-month OVX (implied volatility in crude oil market), on the expected tail risk of commodities. Specifically, we find oil VOV predicts 1-step-ahead ta
Externí odkaz: https://doaj.org/article/ca282ad601e841d0898b9080036d0861
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2
Who buys Bitcoin?:The cultural determinants of Bitcoin activity
Autor: Sean Foley, Bart Frijns, Alexandre Garel, Tai-Yong Roh
Publikováno v: Open University of the Netherlands Research Portal
NARCIS
ORCID
Frijns, B P M, Foley, S, Garel, A & Roh, T-Y 2021, ' Who Buys Bitcoin? The Cultural Determinants of Bitcoin Activity ', Paper presented at 5th Hospitality Finance & Economics Conference, Lausanne, Switzerland, 30/06/21-1/07/21 .
ISSUE=5;TITLE=5th Hospitality Finance & Economics Conference
Foley, S, Frijns, B P M, Garel, A & Roh, T-Y 2021, ' Who buys Bitcoin? The cultural determinants of Bitcoin activity ', Paper presented at 5th Hospitality Finance & Economics Conference, Lausanne, Switzerland, 30/06/21-1/07/21 . < https://acfr.aut.ac.nz/__data/assets/pdf_file/0018/503262/bitcoin_culture.pdf >
Foley, S, Frijns, B P M, Garel, A & Roh, T-Y 2022, ' Who buys Bitcoin? The cultural determinants of Bitcoin activity ', International Review of Financial Analysis, vol. 84, 102385 . https://doi.org/10.1016/j.irfa.2022.102385
International Review of Financial Analysis, 84:102385. Elsevier Science Inc.
Foley, S, Frijns, B P M, Garel, A & Roh, T-Y 2021, ' Who buys Bitcoin? The Cultural determinants of Bitcoin Activity ', Paper presented at Derivative Markets Conference Online 2021, Auckland, New Zealand, 9/09/19-10/09/21 pp. 1-43 .
Frijns, B P M, Foley, S, Garel, A & Roh, T-Y 2021, ' Who Buys Bitcoin? The Cultural Determinants of Bitcoin Activity ', Paper presented at 5th Hospitality Finance & Economics Conference, Lausanne, Switzerland, 30/06/21-1/07/21 . < https://acfr.aut.ac.nz/__data/assets/pdf_file/0018/503262/bitcoin_culture.pdf >
STARTPAGE=1;ENDPAGE=43;TITLE=Derivative Markets Conference Online 2021
Foley, S, Frijns, B, Garel, A & Roh, TY 2022, ' Who buys Bitcoin? The cultural determinants of Bitcoin activity ', International Review of Financial Analysis, vol. 84, 102385 . https://doi.org/10.1016/j.irfa.2022.102385
We examine the relationship between national culture and a country's Bitcoin activity. Given that Bitcoin is a high-risk currency/investment that is frequently used for illegal purposes and whose market is relatively opaque, we focus on the cultural
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6ca34aab75f9f39558694fabb4610f1d
https://hdl.handle.net/1820/f5a981a2-1a32-44b0-8b6e-791123249c81
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3
National culture and corporate risk-taking around the world
Autor: Bart Frijns, Frank Hubers, Donghoon Kim, Tai-Yong Roh, Yahua Xu
Publikováno v: Frijns, B, Hubers, F, Kim, D, Roh, TY & Xu, YH 2022, ' National culture and corporate risk-taking around the world ', Global Finance Journal, vol. 52, no. May 2022, 100710 . https://doi.org/10.1016/j.gfj.2022.100710
Global Finance Journal, 52(May 2022):100710. Elsevier
This paper examines the effect of national culture on corporate risk-taking worldwide. Specifically, we focus on one particular cultural trait – Individualism – a culture dimension linked to risk-taking and overconfidence. Using a sample of 48 co
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::aedc5d61d481bd29b72a074f3a501e46
https://hdl.handle.net/1820/7009a926-4f29-47cc-a7d5-41bb6b079275
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4
Volatility‐of‐volatility risk in the crude oil market
Autor: Alireza Tourani-Rad, Yahua Xu, Tai-Yong Roh, Yang Zhao
Publikováno v: Journal of Futures Markets. 41:245-265
This paper examines the role of oil volatility‐of‐volatility (VOV) risk under a stochastic VOV framework. We show that oil VOV is a significant pricing factor in the cross‐sectional delta‐hedged gains constructed from oil options, and oil VOV
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::dd68cde3050b84efa43174460933028e
https://doi.org/10.1002/fut.22166
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5
An examination of ex ante risk and return in the cross-section using option-implied information
Autor: Ren-Raw Chen, Dongcheol Kim, Tai-Yong Roh, Durga Panda
Publikováno v: The European Journal of Finance. 26:1623-1645
This paper examines cross-sectional relations between ex ante expected returns and betas. As a proxy for ex ante expected returns, we use implied returns obtained from the risk-adjusted option pric...
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::e2c29a4e6646d82401b2cdcccdb47951
https://doi.org/10.1080/1351847x.2020.1767171
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6
Bad volatility is not always bad: evidence from the commodity markets
Autor: Ivan Indriawan, Tai-Yong Roh, Donald Lien, Yahua Xu
Publikováno v: Applied Economics. 52:4384-4402
Using exchange-traded fund (ETF) options data, we examine return predictability of variance risk premium in four commodity markets: crude oil, natural gas, gold and silver. We also analyze return predictability of upside and downside variance risk pr
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::abf35cee7ab7993ac692461338ef897d
https://doi.org/10.1080/00036846.2020.1735619
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7
Consumption growth predictability and asset prices
Autor: Tai-Yong Roh, Byoung-Kyu Min, Changjun Lee
Publikováno v: Journal of Empirical Finance. 51:95-118
We derive and test a consumption-based intertemporal asset pricing model in which an asset earns a risk premium if it performs poorly when expected future consumption growth deteriorates. The predictability of consumption growth combined with the rec
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::10fec326494f1fb54c6a55b4c9350fe7
https://doi.org/10.1016/j.jempfin.2019.02.001
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9
Who buys Bitcoin? The Cultural Determinants of Bitcoin Usage
Autor: Bart Frijns, Sean Foley, Alexandre Garel, Tai-Yong Roh
Publikováno v: SSRN Electronic Journal.
We examine the relationship between national culture and a country’s Bitcoin usage. Given that Bitcoin is a high-risk currency/investment that is frequently used for illegal purposes and whose market is relatively opaque, we focus on the cultural d
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::08384ce3be47c434b0e476b885d385e5
https://doi.org/10.2139/ssrn.3762923
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10
What drives the dispersion anomaly?
Autor: Buhui Qiu, Tai-Yong Roh, Byoung-Kyu Min
Publikováno v: Journal of Banking & Finance. 138:106405
This paper shows that the stock return predictability of analysts’ earnings forecast dispersion is driven by the information content of dispersion about future firm profitability. Greater dispersion predicts lower future profitability, and the retu
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6b1f974e584119881764531dbc8729ea
https://doi.org/10.1016/j.jbankfin.2022.106405
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