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Does option-implied cross-sectional return dispersion forecast realized cross-sectional return dispersion? : evidence from the G10 currencies

Grobys, Klaus; Heinonen, Jari-Pekka - In: The journal of futures markets 37 (2017) 1, pp. 3-22

Persistent link: https://www.econbiz.de/10011669743

Identifying portfolio-based systematic risk factors in equity markets

Grobys, Klaus; Haga, Jesper - In: Finance research letters 17 (2016), pp. 88-92

Persistent link: https://www.econbiz.de/10011596233

Return dispersion risk in FX and global equity markets : does it explain currency momentum?

Grobys, Klaus; Heinonen, Jari-Pekka; Kolari, James W. - In: International review of financial analysis 56 (2018), pp. 264-280

Persistent link: https://www.econbiz.de/10012006275

Option-implied volatility spillover indices for FX risk factors

Grobys, Klaus; Heinonen, Jari-Pekka - In: Economics letters 157 (2017), pp. 83-87

Persistent link: https://www.econbiz.de/10011847318

Are momentum crashes pervasive regardless of strategy? : evidence from the foreign exchange market

Grobys, Klaus; Haga, Jesper - In: Applied economics letters 24 (2017) 20, pp. 1499-1503

Persistent link: https://www.econbiz.de/10011853099

Cryptocurrencies and momentum

Grobys, Klaus; Sapkota, Niranjan - In: Economics letters 180 (2019), pp. 6-10

Persistent link: https://www.econbiz.de/10012121731

Combining value and momentum : evidence from the Nordic equity market

Grobys, Klaus; Huhta-Halkola, Topi - In: Applied economics 51 (2019) 26, pp. 2872-2884

Persistent link: https://www.econbiz.de/10012196759

Technical trading rules in the cryptocurrency market

Grobys, Klaus; Ahmed, Shaker; Sapkota, Niranjan - In: Finance research letters 32 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012430797

Is there a credit risk anomaly in FX markets?

Grobys, Klaus; Heinonen, Jari-Pekka - In: Finance research letters 18 (2016), pp. 1-6

Persistent link: https://www.econbiz.de/10011656469

Momentum, sovereign credit ratings and global equity markets

Grobys, Klaus - In: Applied Economics Letters 21 (2014) 18, pp. 1288-1292

This article investigates the link between momentum-based trading strategies implemented in global equity markets and country-specific credit ratings. The findings indicate that only the momentum strategy based on intermediate past returns generate statistically significant profits. Notably, the...

Persistent link: https://www.econbiz.de/10010953812