Jason Zhanshun Wei

University of Toronto - Rotman School of Management

Associate Professor

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

  • University of Toronto - Rotman School of Management

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    • Tel: 416-978-3698
    • Fax: 416-971-3048
SCHOLARLY PAPERS

27

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64

Scholarly Papers (27)

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1.

Corporate Yield Spreads and Bond Liquidity

Number of pages: 42 Posted: 07 Feb 2004
David A. Lesmond, Long Chen, Long Chen and Jason Zhanshun Wei
Tulane University - A.B. Freeman School of Business, Cheung Kong Graduate School of BusinessLuohan Academy and University of Toronto - Rotman School of Management
Downloads 2,499 (7,888)
Citation 143

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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, Hull Tactical Funds and University of Toronto - Rotman School of Management
Downloads 1,829 (13,062)
Citation 25

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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 1,216 (24,347)
Citation 1

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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 961 (34,092)
Citation 4

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

5.

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 509 (78,560)
Citation 5

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

6.

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 506 (79,137)

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7.

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
King's College London and University of Toronto - Rotman School of Management
Downloads 489 (82,489)
Citation 3

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

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 473 (85,826)

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

9.

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 390 (107,419)
Citation 4

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

10.

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
King's College London and University of Toronto - Rotman School of Management
Downloads 360 (117,576)

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Liquidity risk, liquidity risk premium, option returns

11.

Investor Attention and Option Returns

Rotman School of Management Working Paper No. 3141970
Number of pages: 60 Posted: 20 Mar 2018 Last Revised: 16 Jun 2020
Siu Kai Choy and Jason Zhanshun Wei
King's College London and University of Toronto - Rotman School of Management
Downloads 326 (130,959)

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Investor attention, daily winners and losers, salience, overpricing, option returns

12.

Systematic Risk and the Price Structure of Individual Equity Options

Downloads 283 (151,705)

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 283 (150,996)
Citation 3

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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

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G10, G13

13.

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 260 (165,233)
Citation 2

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systematic risk, option prices, implied volatility, skewness

14.

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 222 (192,317)
Citation 4

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

15.

Behavioral Biases in the Corporate Bond Market

Journal of Empirical Finance, Forthcoming, Rotman School of Management Working Paper No. 3087523
Number of pages: 56 Posted: 18 Dec 2017
Jason Zhanshun Wei
University of Toronto - Rotman School of Management
Downloads 126 (309,430)

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corporate bond returns, retail trades, retail investors, institutional trades, institutional investors

16.

Option Trading and Returns versus the 52-Week High and Low

Forthcoming in The Financial Review
Number of pages: 54 Posted: 01 Jun 2022
Siu Kai Choy and Jason Zhanshun Wei
King's College London and University of Toronto - Rotman School of Management
Downloads 80 (416,071)

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Anchoring effect, 52-week high or low, underpricing, option returns

17.

Do Corporate Bond Mutual Funds Possess Skills? Evidence from Trading Around Earnings Announcements

Number of pages: 40 Posted: 08 Apr 2022
Xiao Li, Ying Wang and Jason Zhanshun Wei
University at Albany, SUNY, State University of New York at Albany - School of Business and University of Toronto - Rotman School of Management
Downloads 18 (719,283)

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Corporate Bond Mutual Funds, Management Skills, Earnings Surprises, High-yield Bonds

18.

Deposit Insurance and Forbearance Under Moral Hazard

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 17 (727,737)

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19.

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
Hull Tactical Funds, York University - Schulich School of Business and University of Toronto - Rotman School of Management

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Weather Derivatives, Weather Risk Management, Precipitation Modeling

20.

Valuing Takeover-Contingent Foreign Exchange Call Options

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

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21.

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

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22.

Cross-Currency Bond Option Pricing

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

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23.

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

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24.

A Simple Approach to Bond Option Pricing

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

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25.

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

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26.

A Nonparametric Test of Monthly Seasonality for International Stock Markets

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

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27.

Seasonality in Holding Period Returns

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

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