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Cao, Charles's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
5,859 |
Total
Citations
185 |
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1.
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Cao, Charles
Pennsylvania State University Hansch, Oliver
Pennsylvania State University Wang Beardsley, Xiaoxin
Southern Illinois University
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1,179
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37
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Limit order book, price discovery, order placement strategy, demand and supply
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2.
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Cao, Charles
Pennsylvania State University Zhong, Zhaodong
Rutgers University Yu, Fan
Claremont McKenna College - Robert Day School of Economics and Finance
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11 Mar 06
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Last Revised:
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15 Nov 12
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1,045
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33
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Credit default swap spread, option-implied volatility, volatility risk premium, informed trading
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3.
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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
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22 Jan 10
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Last Revised:
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06 Dec 12
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1,025
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16
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Hedge funds, liquidity timing, investment value, liquidity reaction, performance persistence
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4.
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Does Insider Trading Impair Market Liquidity? Evidence from IPO Lockup Expirations
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Versions (2)
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Cao, Charles
Pennsylvania State University Field, Laura Casares
Pennsylvania State University - Mary Jean and Frank P. Smeal College of Business Administration Hanka, Gordon R.
University of Texas at Austin - Department of Finance
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823
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21
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Cao, Charles
Pennsylvania State University Field, Laura Casares
Pennsylvania State University - Mary Jean and Frank P. Smeal College of Business Administration Hanka, Gordon R.
University of Texas at Austin - Department of Finance
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Initial Public Offerings, Lockups, Insider Trading
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Cao, Charles
Pennsylvania State University Field, Laura Casares
Pennsylvania State University - Mary Jean and Frank P. Smeal College of Business Administration Hanka, Gordon R.
University of Texas at Austin - Department of Finance
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823
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21
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Initial Public Offerings, Lockups, Insider Trading
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5.
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Cao, Charles
Pennsylvania State University Griffin, John M.
University of Texas at Austin - Department of Finance Chen, Zhiwu
Yale University - International Center for Finance
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662
(17,307)
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69
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6.
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Cao, Charles
Pennsylvania State University Simin, Timothy T.
Pennsylvania State University Wang, Ying
State University of New York at Albany - School of Business
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03 Jul 09
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Last Revised:
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26 Oct 12
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405
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3
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Liquidity timing, mutual fund performance, market liquidity, bootstrap
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7.
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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
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383
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5
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Mutual fund flow, Market volatility, Volatility timing, Fund inflow and fund outflow
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8.
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Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business Cao, Charles
Pennsylvania State University Zhong, Zhaodong
Rutgers University
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138
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1
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individual equity option-models, risk-neutral kurtosis, return-jumps, volatility-jumps, stochastic volatility, option-implied return distributions
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9.
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Cao, Charles
Pennsylvania State University Petrasek, Lubomir
Pennsylvania State University
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17 Nov 11
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Last Revised:
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07 Mar 12
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111
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Liquidity risk, institutional investors, hedge funds
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10.
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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
Pennsylvania State University
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88
(147,119)
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Hedge fund holdings, risk arbitrageur, mergers and acquisitions
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11.
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Cao, Charles
Pennsylvania State University Yu, Fan
Claremont McKenna College - Robert Day School of Economics and Finance Zhong, Zhaodong
Rutgers University
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09 Aug 11
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Last Revised:
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11 Sep 11
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Derivatives, Credit Derivatives Markets and Instruments, Modeling and Pricing Credit Derivatives, Options Markets and Instruments, Volatility Issues
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12.
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Can Growth Options Explain the Trend in Idiosyncratic Risk?
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Cao, Charles
Pennsylvania State University Simin, Timothy T.
Pennsylvania State University Zhao, Jing
North Caroliona State University - Poole College of Management
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Posted:
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10 Oct 06
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Last Revised:
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29 Jul 10
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Cao, Charles
Pennsylvania State University Simin, Timothy T.
Pennsylvania State University Zhao, Jing
North Caroliona State University - Poole College of Management
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Cao, Charles
Pennsylvania State University Simin, Timothy T.
Pennsylvania State University Zhao, Jing
North Caroliona State University - Poole College of Management
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Idiosyncratic volatility, growth options, real options
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13.
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Price Discovery without Trading: Evidence from the Nasdaq Pre-opening
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Cao, Charles
Pennsylvania State University Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Hatheway, Frank
National Association of Securities Dealers, Inc., NASD
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Posted:
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11 Oct 99
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Last Revised:
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18 Sep 12
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Cao, Charles
Pennsylvania State University Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Hatheway, Frank
National Association of Securities Dealers, Inc., NASD
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Cao, Charles
Pennsylvania State University Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Hatheway, Frank
National Association of Securities Dealers, Inc., NASD
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14.
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Chen, Zhiwu
Yale University - International Center for Finance Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business Cao, Charles
Pennsylvania State University
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15.
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Cao, Charles
Pennsylvania State University Choe, Hyuk
Seoul National University - College of Business Administration
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16.
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Chen, Zhiwu
Yale University - International Center for Finance Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business Cao, Charles
Pennsylvania State University
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17.
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Empirical Performance of Alternative Option Pricing Models
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Show Abstracts |
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Versions (2)
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hide multiple versions |
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Chen, Zhiwu
Yale University - International Center for Finance Cao, Charles
Pennsylvania State University Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
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Posted:
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06 Mar 97
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Last Revised:
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29 Nov 00
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Chen, Zhiwu
Yale University - International Center for Finance Cao, Charles
Pennsylvania State University Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
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Chen, Zhiwu
Yale University - International Center for Finance Cao, Charles
Pennsylvania State University Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
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18.
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Cao, Charles
Pennsylvania State University Choe, Hyuk
Seoul National University - College of Business Administration
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19.
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Cao, Charles
Pennsylvania State University Choe, Hyuk
Seoul National University - College of Business Administration Hatheway, Frank
National Association of Securities Dealers, Inc., NASD
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