Author Page for Jason Zhanshun Wei

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 (4,527)

Citation 150

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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, Portunes LLC and University of Toronto - Rotman School of Management

Downloads 1,233 (10,171)

Citation 2

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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 (21,494)

Abstract:

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 (30,758)

Citation 1

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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 (54,459)

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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 (53,535)

Citation 7

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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 (54,459)

Citation 9

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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 (65,180)

Citation 7

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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 (102,824)

Citation 3

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10.

Systematic Risk and the Price Structure of Individual Equity Options

Downloads 235 (108,786)

Citation 25

2

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 235 (108,294)

Citation 25

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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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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 (87,612)

Citation 11

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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 185 (136,910)

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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 (475,049)

Citation 1

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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 (126,727)

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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

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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

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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

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18.

Cross-Currency Bond Option Pricing

Posted: 24 Aug 1999

Jason Zhanshun Wei

University of Toronto - Rotman School of Management

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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

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20.

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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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

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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

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23.

Seasonality in Holding Period Returns

Posted: 15 Apr 1998

Jason Zhanshun Wei

University of Toronto - Rotman School of Management

Jason Zhanshun Wei

University of Toronto - Rotman School of Management

Associate Professor

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Scholarly Papers (23)

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Deposit Insurance and Forbearance Under Moral Hazard

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