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

25

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9,510

SSRN CITATIONS
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Top 6,069

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129

CROSSREF CITATIONS

67

Scholarly Papers (25)

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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, Luohan Academy and University of Toronto - Rotman School of Management
Downloads 2,449 (5,799)
Citation 120

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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, KL Capital and University of Toronto - Rotman School of Management
Downloads 1,622 (11,511)
Citation 20

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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 1,093 (21,088)
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 850 (30,412)
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 477 (64,941)
Citation 5

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

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
King's College London and University of Toronto - Rotman School of Management
Downloads 460 (67,851)
Citation 2

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

7.

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 442 (71,225)

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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 434 (72,828)

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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 350 (93,543)
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 314 (105,495)

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Liquidity risk, liquidity risk premium, option returns

11.

Systematic Risk and the Price Structure of Individual Equity Options

Downloads 258 (130,023)
Citation 1

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 258 (129,427)
Citation 1

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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

12.

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 254 (132,106)
Citation 2

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systematic risk, option prices, implied volatility, skewness

13.

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 207 (161,008)
Citation 5

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

14.

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 180 (182,842)

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

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 105 (279,712)

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

16.

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 15 (600,131)
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17.

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
KL Capital, 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

18.

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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19.

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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20.

Cross-Currency Bond Option Pricing

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

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21.

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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22.

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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23.

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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24.

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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25.

Seasonality in Holding Period Returns

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

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