Tai-Yong Roh

Liaoning University

Shenyang, Liaoning

China

SCHOLARLY PAPERS

6

DOWNLOADS

321

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (6)

1.

Who buys Bitcoin? The Cultural Determinants of Bitcoin Usage

Number of pages: 40 Posted: 02 Mar 2021
Macquarie University, Open University of the Netherlands - School of Management, Audencia Business School and Liaoning University
Downloads 104 (314,083)

Abstract:

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Bitcoin, Cryptocurrency, National Culture, Individualism

2.

What Drives the Dispersion Anomaly?

Number of pages: 53 Posted: 02 Apr 2019
Byoung-Kyu Min, Buhui Qiu and Tai-Yong Roh
Hanyang University, University of Sydney Business School and Liaoning University
Downloads 85 (357,128)
Citation 2

Abstract:

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Dispersion Anomaly, Profitability, Disclosure Quality

3.

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 47 (481,563)

Abstract:

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

4.

Downside Uncertainty Shocks in the Oil and Gold Markets

Number of pages: 39 Posted: 07 Apr 2020
Tai-Yong Roh, Suk Joon Byun and Yahua Xu
Liaoning University, Graduate School of Finance and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 32 (553,137)

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

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 Hanyang University
Downloads 28 (576,080)

Abstract:

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

6.

An Examination of Ex Ante Risk and Return in the Cross-Section Using Option-Implied Information

Forthcoming, European Journal of Finance.
Number of pages: 44 Posted: 24 Jun 2020 Last Revised: 07 Jan 2021
Korea University Business School, affiliation not provided to SSRN, Liaoning University and Fordham University
Downloads 25 (594,993)

Abstract:

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Option-implied return, Option-implied beta, Risk-adjusted option pricing model, Cross-section of expected returns, Macroeconomic condition

Other Papers (1)

Total Downloads: 21
1.

Volatility-of-Volatility Risk in the Crude Oil Market

Number of pages: 33 Posted: 31 Jul 2019 Last Revised: 13 Mar 2020
Tai-Yong Roh and Yahua Xu
Liaoning University and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 21 (537,920)

Abstract:

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