Selected Academic Journal Publications
For a complete list of publications, please see Google Scholar
"Investor Attention and Option Returns" (with Siu Kai Choy), Management Science. Vol 69, No 8, 2023. Download(PDF_main paper) Download(PDF_internet appendix)
"Option Trading and Returns versus the 52-week High and Low" (with Siu Kai Choy), Financial Review. Vol 57, No 3, 2022. Download(PDF_main paper) Download(PDF_internet appendix)
"Liquidity Risk and Expected Option Returns" (with Siu Kai Choy), Journal of Banking and Finance. 111 (105700), 2020. Download(PDF_main paper) Download(PDF_internet appendix)
"Behavioral Biases in the Corporate Bond Market", Journal of Empirical Finance. Vol 46, 2018. Download(PDF)
"Informed Trading in Corporate Bonds Prior to Earnings Announcements" (with Xing Zhou), Financial Management. Vol 45, No 3, 2016. Download(PDF)
"Option Trading: Information or Differences of Opinion?" (with Siu Kai Choy), Journal of Banking and Finance. Vol 36, No 8, 2012. Download(PDF)
"Trading Activity and Bid-Ask Spreads of Individual Equity Options" (with Jinguo Zheng), Journal of Banking and Finance. Vol 34, No 12, 2010. Download(PDF)
"Valuation of Housing Index Derivatives" (with Melanie Cao), Journal of Futures Markets. Vol 30, No 7, 2010. Download(PDF)
"Option Market Liquidity: Commonality and Other Characteristics" (with Melanie Cao), Journal of Financial Markets. Vol 13, No 1, 2010. Download(PDF)
"Systematic Risk and the Price Structure of Individual Equity Options" (with Jin-Chuan Duan), Review of Financial Studies. Vol 22, No 5, 2009 Download(PDF)
"Corporate Yield Spreads and Bond Liquidity" (with Long Chen and David Lesmond), Journal of Finance. Vol 61, No. 1, 2007. Download(PDF)
"Price Hedging with Local and Aggregate Quantity Risk" (with Jouahn Nam and Alan Tucker), Journal of Derivatives. Vol 13, No 2, 2005. Download(PDF)
"Credit Default Swaptions" (with Alan Tucker), Journal of Fixed Income. Vol 15, No. 1, 2005. Download(PDF)
"Stock Market Returns: A Note on Temperature Anomaly" (with Melanie Cao), Journal of Banking and Finance. Vol 29, No. 6, 2005. Download(PDF)
"Executive Stock Options and Incentive Effects due to Systematic Risk" (with Jin-Chuan Duan), Journal of Banking and Finance. Vol 29, No. 5, 2005. Download(PDF)
"Deposit Insurance and Forbearance under Moral Hazard" (with Jacky So), Journal of Risk and Insurance. Vol 71, No. 4, 2004. Download(PDF)
"Weather Derivatives Valuation and Market Price of Weather Risk" (with Melanie Cao), Journal of Futures Markets. Vol 24, No. 11, 2004. Download paper(PDF)
"A Multi-Factor, Markov Chain Model for Credit Migrations and Credit Spreads", Journal of International Money and Finance . Vol 23, 2003. Download(PDF)
�Credit Gadgets" (with Jouahn Nam and Alan Tucker), Journal of Fixed Income, Vol 12, No. 4, 2003. Download(PDF)
"Rating- and firm value-based valuation of credit swaps", Journal of Fixed Income, Vol 11, No. 2, 2001. Download(PDF)
"Finding Generators for Markov Chains Via Empirical Transition Matrices, With Applications to Credit Ratings" (with R. Israel and J. Rosenthal), Mathematical Finance, Vol 11, No. 2, 2001. Download(PDF)
"Vulnerable Options, Risky Corporate Bonds and Credit Spread" (with Melanie Cao), Journal of Futures Markets Vol 21, Issue 4, 2001. Download(PDF)
"Pricing Foreign Currency and Cross-Currency Options Under GARCH" (with Jin-Chuan Duan), Journal of Derivatives, Vol 7. No 1, 1999. Download(PDF)
�Valuation of Barrier Options by Interpolation? Journal of Derivatives, Vol 6, No. 1, 1998. Download(PDF)
"A Study on the Efficiency of the Market for Dutch Long Term Call Options" (with Frans de Roon and Chris Veld), European Journal of Finance, Vol 4, 1998. Download(PDF)
"Valuation of LIBOR-Contingent FX Options" (with Alan Tucker), Journal of International Money and Finance, Vol 17, No. 2, 1998. Download(PDF)
�Volatility Forecasting and the Efficiency of the TSE 35 Index Options Market?(with Craig Doidge), Canadian Journal of Administrative Sciences, Vol 15, No. 1, 1998. Download(PDF)
"A Simple Approach to Bond Option Pricing", Journal of Futures Markets, Vol. 17, No 2, 1997. Download(PDF)
"Empirical Tests of the Pricing of Nikkei Put Warrants", The Financial Review, Vol 30, No 2, 1995. Download(PDF)
"Valuing Differential Swaps", Journal of Derivatives, Spring 1994, Vol 1, No 3. Download(PDF)
"Upper Bounds for American Futures Options - A Note" (with Mohammed Chaudhury), Journal of Futures Markets, Vol 14, No 1, 1994. Download(PDF)
"Market Efficiency: Experiences with Nikkei Put Warrants", Canadian Journal of Administrative Sciences, 1994, 11(1). Download(PDF)
Practitioners Journal Publications
"Watching the Weather Report" (with Melanie Cao and Anlong Li), Canadian Investment Review. Vol 17, No. 2, 2004. Download(PDF)
"Precipitation Modeling and Contract Valuation: a Frontier in Weather Derivatives" (with Melanie Cao and Anlong Li), Journal of Alternative Investments. Vol 7, No. 2, 2004. Download(PDF)
"Uncovering Sector Momentums" (with Melanie Cao), Canadian Investment Review, Vol 15, No. 4, 2002. Download(PDF)
"Pricing the Weather", Risk, Vol 13, No 5, 2000 (with Melanie Cao).
"Streams of Consequence", Risk, Vol 7, No 1, 1994.
"Stochastic Process", Derivatives Week, July 1993, Vol II, No 28.
Chapters in Books
"Pricing the Weather" (with Melanie Cao), Exotic Options, the Cutting-edge Collection, 2003, edited by Alexander Lipton, Risk Books.
"Asset Pricing in Consumption Models: A Survey of the Literature", Information in Financial Asset Prices, Bank of Canada, 1999.
"Valuing Derivatives Linked to Foreign Assets", Frontiers in Derivatives, 1997, edited by Atsuo Konishi and Ravi E. Dattatreya, Irwin Professional Publishing.
"Streams of Consequence, The Role of Correlation in the Pricing of Differential Swaps", Chapter 36, Over the Rainbow ----- Developments in Exotic Options and Complex Swaps, 1995, edited by Robert Jarrow, Fuji Capital Markets Corporation.
