Assistant Professor, Tenure Track
Biography in brief:
Klaus Grobys holds a PhD in Finance (University of Vaasa), and is an Adjunct Professor of Economics (Docent) with specialization in Asset Pricing (University of Jyväskyla).
He has several years of professional working experience in the finance industry. Among others, he worked as Risk Analyst at the Headquarters of the Swedish bank Klarna AB in Stockholm. Klarna AB is the largest FinTech company in Europe valued at $30.0 billion. In his position as Risk Analyst, he carried out several projects such as developing quantitative models for estimating the company's Loss-given-Default or Risk-of-Fraud using the company's extensive SQL databases.
His PhD thesis is graded as "Passed with Distinction". In this regard, Professor Dr. James Kolari (Texas A&M University, USA) ranked Grobys' PhD thesis among the top-10% of all doctoral theses in finance that he evaluated as a committee member during his more than 35 years of career in academia.
Grobys' research is published in prestigious finance journals. About 75% of his scientific research output is published in A-journals. His research received enormous media attention and was, among others, covered in The New York Times, Forbes, Alphaarchitect, and Cointelegraph.
Honorable Mention in Science Communication (University of Vaasa, February 2021)
Fintech, Cryptocurrency, Asset Pricing
Adjunct Professor of Economics, University of Jyväskyla
Assistant Professor of Finance (tenure-track), School of Accounting & Finance (University of Vaasa)
Assistant Professor of Finance (tenure-track), Innovation & Entrepeneurship (InnoLab) (University of Vaasa)
General Guide for Students:
"EARNEST - A GUIDE FOR MANAGING YOUR STUDIES AT UNIVERSITY FROM DAY 1 TO BECOME NO. 1 IN THE JOB INTERVIEW"
Downloadable (for free) at: https://klausgrobys.wixsite.com/earnest
Empirical Analysis in Asset Pricing (Master-level course at the University of Jyväskyla, forthcoming)
Quantitative Financial Data Analysis in Matlab (Master-level course at the University of Vaasa)
Research in Financial Markets (Master-level course at the University of Vaasa)
Data Analytics in Applied Research (Doctoral-level course at the University of Vaasa)
Finance Channel on Youtube:
Factor Momentum, Investor Sentiment, and Option-Implied Volatility-Scaling (with J. Rutanen and J.W. Kolari), Journal of Asset Management, 2021, (forthcoming).
Speculation and Lottery-Like Demand in Cryptocurrency Markets (with J.-P. Junttila), Journal of International Financial Markets, Institutions and Money, 2021 (71), 101289.
When the blockchain does not block: On hackings and uncertainty in the cryptocurrency market, Quantitative Finance, 2021 (forthcoming).***
Blockchain Consensus Protocols, Energy Consumption, and Cryptocurrency Prices (with N. Sapkota), Journal of Energy Markets, 2021 (forthcoming).
Is Smart Beta Investing Profitable? Evidence from the Nordic Stock Market (with V.-P. Silvasti and J. Äijö), Applied Economics, 2020 (53), 1826-1839.
When Bitcoin has the flu: On Bitcoin's performance to hedge equity risk in the early wake of the COVID-19 outbreak, Applied Economics Letters, 2020 (28), 860-865.
Predicting Cryptocurrency Defaults (with N. Sapkota), Applied Economics, 2020 (52), 5060-5076.*
Another Look at Value and Momentum: Volatility Spillovers (with S. Vähämaa), Review of Quantitative Finance and Accounting 2020 (55), 1459-1479.
Profitability of Technical Trading Rules among Cryptocurrencies with Privacy Function (with S. Ahmed and N. Sapkota), Finance Research Letters, 2020 (35), 101495.
Technical Trading Rules in the Cryptocurrency Market (with S. Ahmed and N. Sapkota), Finance Research Letters, 2020 (32), 101396.
On Industry Momentum Strategies (with J.W. Kolari), Journal of Financial Research, 2020 (43), 95-119.
Cryptocurrencies and Momentum (with N. Sapkota), Economics Letters, 2019 (180), 6-10.
Combining value and momentum: Evidence from the Nordic equity market (with T. Huhta-Halkola), Applied Economics, 2019 (51), 2872-2884.
Risk-managed 52-week high industry momentum, momentum crashes, and hedging macroeconomic risk, Quantitative Finance, 2018 (18), 1233-1247.
Return Dispersion Risk in FX and Global Equity Markets: Does It Explain Currency Momentum? (with J.-P. Heinonen and J. Kolari), International Review of Financial Analysis, 2018 (56), 264-280.
Risk-managed industry momentum and momentum crashes (with J. Ruotsalainen and J. Äijö), Quantitative Finance, 2018 (18), 1715-1733.**
Option-implied volatility spillover indices for FX risk factors (with J.-P. Heinonen), Economics Letters, 2017 (157), 83-87.
Are momentum crashes pervasive regardless of strategy? Evidence from the foreign exchange market (with J. Haga), Applied Economics Letters, 2017 (24), 1499-1503.
Does option-implied cross-sectional return dispersion forecast realized cross-sectional return dispersion? Evidence from the G10 currencies (with J.-P. Heinonen), Journal of Futures Markets, 2017 (37), 3-22.
Momentum crash, credit risk and optionality effects in bear markets and crisis periods: Evidence from the US stock market, Applied Economics Letters, 2016 (24),387-391.
Is there a credit risk anomaly in FX markets? (with J.-P. Heinonen), Finance Research Letters, 2016 (18), 1-6.
Identifying portfolio-based systematic risk factors in equity markets (with J. Haga), Finance Research Letters, 2016 (17), 79-87.
Another look at momentum crashes: Momentum in the European Monetary Union, Applied Economics, 2016 (48), 1759-1766.
Is the asset growth anomaly driven by macroeconomic states? Applied Economics Letters, 2016 (23), 576-579.
The market price of credit risk and economic states (with J. Haga), Empirical Economics, 2016 (50), 1111-1134.
Are volatility spillovers between currency and equity market driven by economic states? Evidence from the US economy, Economics Letters, 2015 (127), 72-75.
Momentum in global equity markets in times of troubles: Does the economic state matter? Economics Letters, 2014 (123), 100-103.
Idiosyncratic volatility and global equity markets, Applied Economics Letters, 2014 (22), 402-405.
Size distortions of the wild bootstrapped HCCME based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity, Empirical Economics, 2015 (48), 1189-1202.
Momentum, sovereign credit ratings, and global equity markets, Applied Economics Letters, 2014 (21), 1288-1292.
An empirical analysis of changes of the impact of federal budget deficits on stock market returns, Applied Economics Letters, 2013 (20), 921-924.
* This article received media coverage in Forbes, among others.
** This article was cited in the Journal of Financial Economics.
*** This article received media coverage in The New York Times.
Recent Media Coverage of Research & Expert Tasks:
HELSINGIN SANOMAT (Finnish): "Bitcoinin arvo on noussut räjähdysmäisesti, tuoreen tutkimuksen mukaan arvonnousu muistuttaa arpapeliä"
ILTA SANOMAT (Finnish): "Suomalaistutkimus: kryptovaluuttakauppa pitkälti arpapeliä, riskit huomattavan suuret"
Expert Take for Cointelegraph: "The Impact of Bitcoin Hacking Incidents on the Crypto Market."
Expert Take for Cointelegraph: "Did you fall for it? 13 ICO scams that fooled thousands."
Afterclass med Jesper & Dennis at Hanken School of Economics: "The Bitcoin Paradox."
MINING.COM: "How to detect unreliable cryptocurrencies."
EINPRESSWIRE.COM: "Study proposes a model to predict cryptocurrency defaults."
HACKERNOON.COM: "Can We Call Bitcoin a Safen Haven Asset?"
COINTELEGRAPH: "Is Technical Trading in Cryptocurrency Markets Profitable?"
ALPHAARCHITECT.COM: "International Evidence on Factor Premiums."
BITCOINBULLETIN.COM: "Finnish Study Reveals Trends Amongst Failed Cryptocurrencies."
CURRENCY ANALYTICS: "Italy is relaxing its Ban and Coming down Easy on Cryptocurrencies."
PROFESSIONAL WIRE CITY WIRE: "A new ETF will add live data to the long-running debate whether it's possible to time factors."
ETF.COM: "When Risk Goes Unrewarded."
DOPKINS WEALTH MANAGEMENT: "Explaining The Currency Carry Premium."