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Executive stock options and incentive effects due to systematic risk

Duan, Jin-Chuan; Wei, Jason - In: Journal of Banking & Finance 29 (2005) 5, pp. 1185-1211

Persistent link: https://www.econbiz.de/10005213769

Behavioral biases in the corporate bond market

Wei, Jason - In: Journal of empirical finance 46 (2018), pp. 34-55

Persistent link: https://www.econbiz.de/10012103419

Local-momentum autoregression and the modeling of interest rate term structure

Duan, Jin-Chuan - In: Journal of econometrics 194 (2016) 2, pp. 349-359

Persistent link: https://www.econbiz.de/10011705201

Liquidity risk and expected option returns

Choy, Siu Kai; Wei, Jason - 2016

Using data from OptionMetrics for the period of 1996 to 2013, we establish the existence of liquidity risk premium in option returns via both sorting analyses and Fama-MacBeth regressions. In leverage-adjusted, hedged returns, the alpha due to liquidity risk ranges from 11.2 basis points to 19.7...

Persistent link: https://www.econbiz.de/10011442956

Managing construction risk with weather derivatives

Islip, David; Wei, Jason; Kwon, Roy H. - In: The engineering economist : a journal devoted to the … 66 (2021) 2, pp. 150-184

Persistent link: https://www.econbiz.de/10012586943

Informed trading in corporate bonds prior to earnings announcements

Wei, Jason; Zhou, Xing - In: Financial management 45 (2016) 3, pp. 641-674

Persistent link: https://www.econbiz.de/10011718687

The survivorship bias, share price effect, and small firm effect in Canadian markets

Elfakhani, Said; Wei, Jason - In: Review of Financial Economics 12 (2003) 4, pp. 397-411

Persistent link: https://www.econbiz.de/10005244074

Liquidity risk and expected option returns

Choy, Siu Kai; Wei, Jason - In: Journal of banking & finance 111 (2020), pp. 1-22

Persistent link: https://www.econbiz.de/10012221014

Option trading and returns versus the 52-week high and low

Choy, Siu Kai; Wei, Jason - In: The financial review : the official publication of the … 57 (2022) 3, pp. 691-726

Persistent link: https://www.econbiz.de/10013348736

Investor attention and option returns

Choy, Siu Kai; Wei, Jason - In: Management science : journal of the Institute for … 69 (2023) 8, pp. 4845-4863

Persistent link: https://www.econbiz.de/10014339468