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Cao, Charles


 SSRN Author Rank: 3,259 by Downloads
 Professor of Finance
 

Pennsylvania State University


 Department of Finance
 Smeal College of Business
 University Park, PA 16802
 United States
 814-865-7891 (Phone)
 814-865-3362 (Fax)
 HOME PAGE: http://www.personal.psu.edu/qxc2/cao.html
 email address

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. Cao, Charles's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
6,914
Total
Citations
196
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
The Informational Content of an Open Limit Order Book | Show Abstract | Download |
AFA 2005 Philadelphia Meetings; EFA 2004 Maastricht Meetings Paper No. 4311
Working Paper Series
Cao, Charles
Pennsylvania State University
Hansch, Oliver
Pennsylvania State University
Wang Beardsley, Xiaoxin
Southern Illinois University
Posted:
19 Jul 04
1,262
(7,542)
36

2.  
Can Hedge Funds Time Market Liquidity? | Show Abstract | Download |
Journal of Financial Economics (JFE), Forthcoming, AFA 2013 San Diego Meetings Paper
Accepted Paper Series
Cao, Charles
Pennsylvania State University
Chen, Yong
Texas A&M University (TAMU) - Department of Finance
Liang, Bing
University of Massachusetts at Amherst - Department of Finance & Operations Management
Lo, Andrew W.
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Posted:
22 Jan 10
Last Revised:
06 Dec 12
1,239
(7,781)
19

3.  
The Information Content of Option-Implied Volatility for Credit Default Swap Valuation | Show Abstract | Download |
FDIC Center for Financial Research, Working Paper No. 2007-08
Working Paper Series
Cao, Charles
Pennsylvania State University
Zhong, Zhaodong
Rutgers University
Yu, Fan
Claremont McKenna College - Robert Day School of Economics and Finance
Posted:
11 Mar 06
Last Revised:
15 Nov 12
1,085
(9,716)
38

4.   Incl. Electronic Paper
Cao, Charles
Pennsylvania State University
Field, Laura Casares
Pennsylvania State University - Smeal College of Business
Hanka, Gordon R.
University of Texas at Austin - Department of Finance
Posted:
27 Apr 03
837
(14,479)
21

5.  
Informational Content of Option Volume Prior to Takeovers | Show Abstract | Download |
Yale SOM Working Paper No. ES-31
Working Paper Series
Cao, Charles
Pennsylvania State University
Griffin, John M.
University of Texas at Austin - Department of Finance
Chen, Zhiwu
Yale University - International Center for Finance
Posted:
27 Oct 03
701
(18,808)
72

6.  
Do Mutual Fund Managers Time Market Liquidity? | Show Abstract | Download |
Journal of Financial Markets, Vol. 16, Iss. 2, Pg 279–307, 2013
Accepted Paper Series
Cao, Charles
Pennsylvania State University
Simin, Timothy T.
Pennsylvania State University
Wang, Ying
State University of New York at Albany - School of Business
Posted:
03 Jul 09
Last Revised:
03 Oct 13
470
(32,529)
3

7.  
An Empirical Analysis of the Dynamic Relationship between Mutual Fund Flow and Market Return Volatility | Show Abstract | Download |
Journal of Banking and Finance, Vol. 32, No. 10, pp. 2111-2123, 2008
Accepted Paper Series
Cao, Charles
Pennsylvania State University
Chang, Eric C.
University of Hong Kong - School of Business
Wang, Ying
State University of New York at Albany - School of Business
Posted:
10 Nov 08
404
(39,390)
6

8.  
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Cao, Charles
Pennsylvania State University
Zhong, Zhaodong
Rutgers University
Posted:
11 Apr 12
211
(82,200)
2

9.  
Liquidity Risk and Institutional Ownership | Show Abstract | Download |
Journal of Financial Markets, Forthcoming
Accepted Paper Series
Cao, Charles
Pennsylvania State University
Petrasek, Lubomir
Federal Reserve Board
Posted:
17 Nov 11
Last Revised:
30 May 14
144
(117,198)
 

10.  
Cao, Charles
Pennsylvania State University
Goldie, Bradley A.
University of Kansas
Liang, Bing
University of Massachusetts at Amherst - Department of Finance & Operations Management
Petrasek, Lubomir
Federal Reserve Board
Posted:
20 Apr 12
135
(123,816)
 

11.  
Cao, Charles
Pennsylvania State University
Rapach, David
Saint Louis University - John Cook School of Business
Zhou, Guofu
Washington University in St. Louis - Olin School of Business
Posted:
18 Aug 13
Last Revised:
05 Feb 14
126
(130,964)
 

12.  
Cao, Charles
Pennsylvania State University
Farnsworth, Grant V
Pennsylvania State University - Department of Finance
Liang, Bing
University of Massachusetts at Amherst - Department of Finance & Operations Management
Lo, Andrew W.
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Posted:
24 May 13
92
(164,331)
 

13.  
Hedge Fund Holdings and Stock Market Efficiency | Show Abstract | Download |
FEDS Working Paper No. 2014-36
Working Paper Series
Cao, Charles
Pennsylvania State University
Liang, Bing
University of Massachusetts at Amherst - Department of Finance & Operations Management
Lo, Andrew W.
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Petrasek, Lubomir
Federal Reserve Board
Posted:
25 May 14
80
(180,932)
 

14.  
Cao, Charles
Pennsylvania State University
Chen, Yong
Texas A&M University (TAMU) - Department of Finance
Goetzmann, William N.
Yale School of Management - International Center for Finance
Liang, Bing
University of Massachusetts at Amherst - Department of Finance & Operations Management
Posted:
02 Aug 12
Last Revised:
29 Aug 13
72
(191,102)
 

15.  
Cao, Charles
Pennsylvania State University
Green, Jeremiah
Pennsylvania State University
Li, Jiahan
University of Notre Dame
Posted:
12 Jun 14
56
(217,869)
 

16.  
Pricing Credit Default Swaps with Option-Implied Volatility | Show Abstract |
Financial Analysts Journal, Vol. 67, No. 4, 2011
Accepted Paper Series
Cao, Charles
Pennsylvania State University
Yu, Fan
Claremont McKenna College - Robert Day School of Economics and Finance
Zhong, Zhaodong
Rutgers University
Posted:
09 Aug 11
Last Revised:
11 Sep 11
 

17.   Incl. Electronic Paper
Cao, Charles
Pennsylvania State University
Simin, Timothy T.
Pennsylvania State University
Zhao, Jing
North Carolina State University - Poole College of Management
Posted:
10 Oct 06
Last Revised:
29 Jul 10
 

18.  
Chen, Zhiwu
Yale University - International Center for Finance
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Cao, Charles
Pennsylvania State University
Posted:
14 Oct 99
 

19.   Incl. Electronic Paper
Cao, Charles
Pennsylvania State University
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Hatheway, Frank
National Association of Securities Dealers, Inc., NASD
Posted:
11 Oct 99
Last Revised:
18 Sep 12
 

20.  
Tick Size, Spread and Volume | Show Abstract |
J. OF FINANCIAL INTERMEDIATION, Vol. 5 No. 1, 1996
Accepted Paper Series
Cao, Charles
Pennsylvania State University
Choe, Hyuk
Seoul National University - College of Business Administration
Posted:
16 Jun 98
 

21.  
Pricing and Hedging Long-Term Options | Show Abstract |
Journal of Econometrics, 1998
Accepted Paper Series
Chen, Zhiwu
Yale University - International Center for Finance
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Cao, Charles
Pennsylvania State University
Posted:
06 May 98
 

22.   Incl. Electronic Paper
Chen, Zhiwu
Yale University - International Center for Finance
Cao, Charles
Pennsylvania State University
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Posted:
06 Mar 97
Last Revised:
29 Nov 00
 

23.  
Cao, Charles
Pennsylvania State University
Choe, Hyuk
Seoul National University - College of Business Administration
Posted:
19 Feb 97
 

24.  
Cao, Charles
Pennsylvania State University
Choe, Hyuk
Seoul National University - College of Business Administration
Hatheway, Frank
National Association of Securities Dealers, Inc., NASD
Posted:
19 Feb 97
 


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