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Fang Cai

Federal Reserve Board

Office of Financial Stability Policy and Research

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SCHOLARLY PAPERS

12

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115

Scholarly Papers (12)

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1.

Institutional Trading and Stock Returns

EFMA 2001 Lugano Meetings, EFA 2001 Barcelona Meetings
Number of pages: 19 Posted: 15 Jan 2001
Fang Cai and Lu Zheng
Federal Reserve Board and University of California, Irvine - Paul Merage School of Business
Downloads 1,372 (11,108)
Citation 30

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Institutional Trading, Stock Returns, Stock Price

2.

Does the Market Conspire Against the Weak? An Empirical Study of Front Running Behavior During the Ltcm Crisis

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 54 Posted: 04 Dec 2001
Fang Cai
Federal Reserve Board
Downloads 976 (18,805)
Citation 5

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Front running, strategic trading, market microstructure, trading behavior, margin constraints, financial crisis

3.

Institutional Herding and Its Price Impact: Evidence from the Corporate Bond Market

Downloads 726 ( 30,292)
Citation 21

Institutional Herding and Its Price Impact: Evidence from the Corporate Bond Market

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 72 Posted: 22 Nov 2015 Last Revised: 25 Dec 2017
Fang Cai, Song Han, Dan Li and Yi Li
Federal Reserve Board, Federal Reserve Board - Division of Research and Statistics, Federal Reserve Board and Federal Reserve Board
Downloads 361 (72,713)
Citation 19

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Corporate Bond; Herding; Institutional Investors; Return Reversal

Institutional Herding and its Price Impact: Evidence from the Corporate Bond Market

FEDS Working Paper No. 2016-091
Number of pages: 58 Posted: 28 Nov 2016
Fang Cai, Song Han, Dan Li and Yi Li
Federal Reserve Board, Federal Reserve Board - Division of Research and Statistics, Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 206 (132,889)
Citation 20

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Corporate Bond, Herding, Institutional Investors, Liquidity, Return Reversal

Institutional Herding in the Corporate Bond Market

FRB International Finance Discussion Paper No. 1071
Number of pages: 47 Posted: 08 Feb 2013
Fang Cai, Song Han and Dan Li
Federal Reserve Board, Federal Reserve Board - Division of Research and Statistics and Federal Reserve Board
Downloads 159 (168,402)
Citation 21

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corporate bond, herding, liquidity, institutional investors

4.

Was There Front Running During the Ltcm Crisis?

FRB International Finance Discussion Paper No. 758
Number of pages: 45 Posted: 09 Jun 2003
Fang Cai
Federal Reserve Board
Downloads 613 (34,251)
Citation 12

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strategic trading, financial crisis, margin constraints, trading behavior, market microstructure

5.

International Diversification at Home and Abroad

Downloads 555 ( 43,273)
Citation 23

International Diversification at Home and Abroad

International Finance Discussion Paper No. 793, Darden Business School Working Paper No. DSWP-05-08-SSRN
Number of pages: 40 Posted: 29 Feb 2004
Francis E. Warnock and Fang Cai
University of Virginia - Darden Business School and Federal Reserve Board
Downloads 484 (50,840)
Citation 23

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home bias, international portfolio allocation, foreign exposure

International Diversification at Home and Abroad

NBER Working Paper No. w12220
Number of pages: 38 Posted: 25 May 2006 Last Revised: 11 May 2007
Fang Cai and Francis E. Warnock
Federal Reserve Board and University of Virginia - Darden Business School
Downloads 63 (320,248)
Citation 23

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International Diversification at Home and Abroad

Bundesbank Series 1 Discussion Paper No. 2005,06
Number of pages: 48 Posted: 08 Jun 2016
Fang Cai and Francis E. Warnock
Federal Reserve Board and University of Virginia - Darden Business School
Downloads 8 (563,218)
Citation 23

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home bias, international portfolio allocation, foreign exposure

6.

Sovereign CDS and Bond Pricing Dynamics in Emerging Markets: Does the Cheapest-to-Deliver Option Matter?

FRB International Finance Discussion Paper No. 912
Number of pages: 49 Posted: 28 Dec 2007
John Ammer and Fang Cai
U.S. Federal Reserve Board of Governors and Federal Reserve Board
Downloads 433 (54,131)
Citation 15

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Credit derivatives, sovereign bonds, yield spreads, emerging markets, liquidity, options

7.

Transmission of Volatility and Trading Activity in the Global Interdealer Foreign Exchange Market: Evidence from Electronic Broking Services (Ebs) Data

FEDS Working Paper No. 863
Number of pages: 39 Posted: 27 Jun 2006
Fang Cai, Jon Wongswan and Edward Howorka
Federal Reserve Board, Phatra Securities and EBS Group Limited
Downloads 147 (170,959)
Citation 1

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Exchange rate, volatility, trading volume, high-frequency data

8.

Informational Linkages Across Trading Regions: Evidence from Foreign Exchange Markets

Number of pages: 47 Posted: 08 Mar 2007
Fang Cai, Edward Howorka and Jon Wongswan
Federal Reserve Board, EBS Group Limited and Phatra Securities
Downloads 106 (217,746)
Citation 7

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exchange rate, volatility, trading activity, trading volume, order flow, high-frequency data

9.

The Impact of Macroeconomic Announcements on Real Time Foreign Exchange Rates in Emerging Markets

FRB International Finance Discussion Paper No. 973
Number of pages: 63 Posted: 18 Jul 2009
Hyunsoo Joo, Zhiwei Huang and Fang Cai
affiliation not provided to SSRN, affiliation not provided to SSRN and Federal Reserve Board
Downloads 62 (257,586)
Citation 1

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exchange rate, emerging market, macroeconomic news, high-frequency data

10.

'Fool Me Once...' Did U.S. Investors Play It Safer in the European Debt Crisis?

FRB International Finance Discussion Paper No. 1088
Number of pages: 46 Posted: 07 Dec 2013
Carol C. Bertaut, Fang Cai and Nyssa Kim
Board of Governors of the Federal Reserve System, Federal Reserve Board and Federal Reserve Board
Downloads 5 (539,513)

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Cross-border investment, financial crisis, portfolio allocation, home bias

11.

"Fool Me Once . . . " Did U.S. Investors Play it Safer in the European Debt Crisis?

FRB International Finance Discussion Paper No. 1088
Number of pages: 41 Posted: 30 May 2017
Carol C. Bertaut, Fang Cai and Nyssa Kim
Board of Governors of the Federal Reserve System, Federal Reserve Board and Federal Reserve Board
Downloads 0 (565,411)

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12.

Quantitative Easing and Bank Lending: Evidence from Japan

FRB International Finance Discussion Paper No. 1018
Posted: 23 Jul 2011
David Bowman, Fang Cai, Sally M. Davies and Steven B. Kamin
Board of Governors of the Federal Reserve, Federal Reserve Board, Government of the United States of America - International Banking Section and U.S. Board of Governors of the Federal Reserve - Division of International Finance (IFDP)

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Quantitative Easing, Japan, Bank Lending, Unconventional Monetary Policy, Central Bank, Credit