Jason Zhanshun Wei

University of Toronto - Rotman School of Management

Associate Professor

105 St. George Street

Toronto, Ontario M5S 3E6

Canada

SCHOLARLY PAPERS

23

DOWNLOADS
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SSRN RANKINGS

Top 4,110

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7,944

CITATIONS
Rank 2,572

SSRN RANKINGS

Top 2,572

in Total Papers Citations

217

Scholarly Papers (23)

1.

Corporate Yield Spreads and Bond Liquidity

Number of pages: 42 Posted: 07 Feb 2004
David A. Lesmond, Long Chen and Jason Zhanshun Wei
Tulane University - A.B. Freeman School of Business, Cheung Kong Graduate School of Business and University of Toronto - Rotman School of Management
Downloads 2,127 (4,462)
Citation 149

Abstract:

2.

Weather Derivatives: A New Class of Financial Instruments

Number of pages: 30 Posted: 24 Sep 2007
Melanie Cao, Anlong Li and Jason Zhanshun Wei
York University - Schulich School of Business, Portunes LLC and University of Toronto - Rotman School of Management
Downloads 1,233 (10,245)
Citation 2

Abstract:

Weather Derivatives, Weather Risk Management

3.

Do Momentum and Reversals Coexist?

Number of pages: 40 Posted: 20 Sep 2010 Last Revised: 09 Apr 2012
Jason Zhanshun Wei
University of Toronto - Rotman School of Management
Downloads 592 (21,995)

Abstract:

momentum, reversals, return predictability, firm size, volatility, underreaction, overreaction

4.

Short-Term Momentum and Reversals in Large Stocks

Number of pages: 43 Posted: 27 Mar 2012 Last Revised: 11 May 2012
Jason Zhanshun Wei and Liyan Yang
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 537 (31,357)
Citation 1

Abstract:

momentum, reversals, return predictability, firm size, volatility, moderated confidence, underreaction, overreaction

5.

A Study on the Efficiency of the Market for Dutch Long Term Call Options

Number of pages: 24 Posted: 26 Jan 1996
Frans de Roon, Chris Veld and Jason Zhanshun Wei
Tilburg University - Department of Finance, Monash University and University of Toronto - Rotman School of Management
Downloads 430 (53,262)

Abstract:

6.

Option Trading: Information or Differences of Opinion?

Number of pages: 56 Posted: 28 Apr 2009 Last Revised: 04 Apr 2011
Siu-Kai Choy and Jason Zhanshun Wei
Shanghai University of Finance and Economics - Department of Finance and University of Toronto - Rotman School of Management
Downloads 404 (52,838)
Citation 7

Abstract:

option trading, differences of opinion, informed trading, speculation, earnings announcements

7.

Option Market Liquidity: Commonality and Other Characteristics

Number of pages: 48 Posted: 25 Mar 2008
Melanie Cao and Jason Zhanshun Wei
York University - Schulich School of Business and University of Toronto - Rotman School of Management
Downloads 400 (53,858)
Citation 9

Abstract:

Liquidity, Liquidity Commonality, Option Market Liquidity, and Stock Market Liquidity

8.

Commonality in Liquidity: Evidence from the Option Market

Journal of Financial Markets, Vol. 13, No. 1, 2010
Number of pages: 40 Posted: 21 May 2007 Last Revised: 17 Feb 2010
Melanie Cao and Jason Zhanshun Wei
York University - Schulich School of Business and University of Toronto - Rotman School of Management
Downloads 337 (64,179)
Citation 7

Abstract:

Liquidity, Liquidity Commonality, Option Market Liquidity, and Stock Market Liquidity.

9.

Is Systematic Risk Priced in Options?

Rotman School of Management Working Paper No. 06-05
Number of pages: 41 Posted: 16 May 2006
Jin-Chuan Duan and Jason Zhanshun Wei
National University of Singapore (NUS) - Business School and Risk Management Institute and University of Toronto - Rotman School of Management
Downloads 240 (101,128)
Citation 3

Abstract:

systematic risk, option prices, implied volatility, skewness

Systematic Risk and the Price Structure of Individual Equity Options

Review of Financial Studies, Forthcoming
Number of pages: 38 Posted: 21 May 2007
Jin-Chuan Duan and Jason Zhanshun Wei
National University of Singapore (NUS) - Business School and Risk Management Institute and University of Toronto - Rotman School of Management
Downloads 234 (106,448)
Citation 26

Abstract:

systematic risk, implied volatility, option price structure,equity options

Systematic Risk and the Price Structure of Individual Equity Options

The Review of Financial Studies, Vol. 22, Issue 5, pp. 1981-2006, 2009
Posted: 13 Apr 2009
Jin-Chuan Duan and Jason Zhanshun Wei
National University of Singapore (NUS) - Business School and Risk Management Institute and University of Toronto - Rotman School of Management

Abstract:

G10, G13

11.

Trading Activity and Bid-Ask Spreads of Individual Equity Options

Journal of Banking and Finance, Forthcoming
Number of pages: 56 Posted: 15 Feb 2010
Jinguo Zheng and Jason Zhanshun Wei
Peking University - Guanghua School of Management and University of Toronto - Rotman School of Management
Downloads 232 (86,694)
Citation 12

Abstract:

Trading Activity, Bid-ask Spread, Option Expiration Cycles, Liquidity, Liquidity Determinants, Volume, Open Interest

12.

Informed Trading in Corporate Bonds Prior to Earnings Announcements

Number of pages: 49 Posted: 16 Mar 2012
Jason Zhanshun Wei and Xing (Alex) Zhou
University of Toronto - Rotman School of Management and Board of Governors of the Federal Reserve System
Downloads 181 (136,879)

Abstract:

Informed trading, trade imbalance, corporate bond market, earnings surprises

13.

Deposit Insurance and Forbearance Under Moral Hazard

Journal of Risk and Insurance, Vol. 71, No. 4, pp. 707-735, December 2004
Number of pages: 29 Posted: 24 Dec 2004
Jacky So and Jason Zhanshun Wei
Texas A&M International University - College of Business Administration and University of Toronto - Rotman School of Management
Downloads 14 (466,743)
Citation 1

Abstract:

14.

Liquidity Risk and Expected Option Returns

Rotman School of Management Working Paper No. 2713915
Number of pages: 44 Posted: 13 Jan 2016
Siu-Kai Choy and Jason Zhanshun Wei
Shanghai University of Finance and Economics - Department of Finance and University of Toronto - Rotman School of Management
Downloads 0 (131,415)

Abstract:

Liquidity risk, liquidity risk premium, option returns

15.

Precipitation Modeling and Contract Valuation: A Frontier in Weather Derivatives

Journal of Alternative Investments, Vol. 7, No. 2, 2004
Posted: 22 Sep 2007
Anlong Li, Melanie Cao and Jason Zhanshun Wei
Portunes LLC, York University - Schulich School of Business and University of Toronto - Rotman School of Management

Abstract:

Weather Derivatives, Weather Risk Management, Precipitation Modeling

16.

Valuing Takeover-Contingent Foreign Exchange Call Options

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994
Posted: 02 May 2000
Jacques A. Schnabel and Jason Zhanshun Wei
Wilfrid Laurier University - School of Business & Economics and University of Toronto - Rotman School of Management

Abstract:

17.

Pricing Weather Derivative: An Equilibrium Approach

Posted: 20 Sep 1999
Melanie Cao and Jason Zhanshun Wei
York University - Schulich School of Business and University of Toronto - Rotman School of Management

Abstract:

18.

Cross-Currency Bond Option Pricing

Posted: 24 Aug 1999
Jason Zhanshun Wei
University of Toronto - Rotman School of Management

Abstract:

19.

Vulnerable Options, Risky Corporate Bond and Credit Spread

Posted: 17 Feb 1999
Melanie Cao and Jason Zhanshun Wei
York University - Schulich School of Business and University of Toronto - Rotman School of Management

Abstract:

20.

A Simple Approach to Bond Option Pricing

Posted: 30 Dec 1998
Jason Zhanshun Wei
University of Toronto - Rotman School of Management

Abstract:

21.

Pricing Foreign Currency and Cross-Currency Options Under GARCH

Journal of Derivatives, Vol. 7, No. 1, pp. 51-63, 1999
Posted: 25 Aug 1998
Jin-Chuan Duan and Jason Zhanshun Wei
National University of Singapore (NUS) - Business School and Risk Management Institute and University of Toronto - Rotman School of Management

Abstract:

22.

A Nonparametric Test of Monthly Seasonality for International Stock Markets

Posted: 03 Jul 1998
Jason Zhanshun Wei
University of Toronto - Rotman School of Management

Abstract:

23.

Seasonality in Holding Period Returns

Posted: 15 Apr 1998
Jason Zhanshun Wei
University of Toronto - Rotman School of Management

Abstract: