MELANIE CAO

York University, Canada 

Email: mcao@schulich.yorku.ca

Qualifications

1993-1997 Ph.D., University of Toronto, Finance

1990-1992 M.B.A. University of Ottawa, Finance & Accounting

1986-1988 M.A., Huazhong University of Science and Technology (HUST), China, Economics

Publications

1. Option Market Liquidity: Commonality and Other Characteristics, 2010, with Jason Wei,Journal of Financial Market, Vol. 13, No. 1, 20 – 48.
2. Valuation of Housing Index Derivatives, 2010, with Jason Wei,Journal of Futures Markets, Vol. 30,No. 7, 660 - 688.
3. Stock or Options? A Theoretical Justification for Using Stocks as a Compensation Tool, 2009,with Jason Wei,Research in Finance, Vol. 25, 177 – 201.
4. Incentive Stocks and Options with Trading Restrictions – not as Restricted as We Thought, 2008,with Jason Wei,Research in Finance, Vol. 24, 213 – 248.
5. Signaling in the Internet Craze of Initial Public Offerings, 2006, with Shouyong Shi,Journal of Corporate Finance, 12, 818 – 833.
6. Effects of Return Predictability on Option Prices with Stochastic Volatility for the Market Portfolio, 2005,Research in Financial Economics,Vol. 1, No. 1, 104 - 150.
7. Stock Market Returns: a Note on Temperature Anomaly, 2005, with Jason Wei,Journal of Banking and Finance, Vol. 29, 1559 - 1573,
8. An Expanded Study on the Stock Market Temperature Anomaly, 2005, with Jason Wei,Research in Finance, Vol. 22, 73 – 112.
9. Weather Derivatives Valuation and Market Price of Weather Risk, November 2004, with Jason Wei,Journal of Futures Market, Vol. 24, Issue 11, 1065 – 1089.
10. Precipitation Modeling and Contract Valuation: a Frontier in Weather Derivatives, September 2004, with Anlong Li and Jason Wei,Journal of Alternative Investments, Vol. 7, Issue 2, 93 - 99.
11. Systematic Jump Risks in a Small Open Economy: Simultaneous Equilibrium Valuation of Options on the Market Portfolio and the Exchange Rate, 2001,Journal of International Money and Finance, Vol. 20, No. 2, 191 – 218.
12. Risky Corporate Bond, Credit Spread and Vulnerable Options, 2001, with Jason Wei,Journal of Futures Market, Vol. 21, No. 4, 301 – 327.
13. Screening, Bidding and the Loan Market Tightness, 2001, with Shouyong Shi,European FinanceReview (currently Review of Finance), Vol. 5, 21 – 61..
14. Coordination, Matching and Wages, 2000, with Shouyong Shi, Canadian Journal of Economics,Vol. 33, No. 4, 1009 – 1033.

Profile Details   

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