Fang Cai

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

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SCHOLARLY PAPERS

20

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Top 6,403

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108

Scholarly Papers (20)

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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
Board of Governors of the Federal Reserve System and University of California, Irvine - Paul Merage School of Business
Downloads 1,557 (25,388)
Citation 19

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Institutional Trading, Stock Returns, Stock Price

2.

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

Downloads 1,346 (31,520)
Citation 19

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
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 742 (71,489)
Citation 2

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Corporate Bond; Herding; Institutional Investors; 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
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 315 (200,167)
Citation 2

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corporate bond, herding, liquidity, institutional investors

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
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 289 (219,536)
Citation 15

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

3.

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

Number of pages: 54 Posted: 04 Dec 2001
Fang Cai
Board of Governors of the Federal Reserve System
Downloads 1,156 (39,306)
Citation 7

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

4.

Was There Front Running During the Ltcm Crisis?

Number of pages: 45 Posted: 09 Jun 2003
Fang Cai
Board of Governors of the Federal Reserve System
Downloads 815 (64,098)
Citation 15

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

5.

International Diversification at Home and Abroad

Downloads 714 (76,323)
Citation 6

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 Board of Governors of the Federal Reserve System
Downloads 562 (102,104)
Citation 6

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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: 26 Dec 2022
Fang Cai and Francis E. Warnock
Board of Governors of the Federal Reserve System and University of Virginia - Darden Business School
Downloads 98 (570,782)

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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
Board of Governors of the Federal Reserve System and University of Virginia - Darden Business School
Downloads 54 (799,427)

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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
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 549 (106,493)
Citation 33

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

7.

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 Board of Governors of the Federal Reserve System
Downloads 204 (311,774)
Citation 3

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

8.

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
Board of Governors of the Federal Reserve System, Phatra Securities and EBS Group Limited
Downloads 204 (311,774)
Citation 1

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

9.

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
Board of Governors of the Federal Reserve System, EBS Group Limited and Phatra Securities
Downloads 150 (408,932)
Citation 2

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

10.

Liquidity Transformation Risks in U.S. Bank Loan and High-Yield Mutual Funds

Downloads 119 (490,902)
Citation 2

Liquidity Transformation Risks in U.S. Bank Loan and High-Yield Mutual Funds

SRA Notes, Issue Number: 02, August 9, 2019
Number of pages: 11 Posted: 19 Aug 2019
Kenechukwu Anadu and Fang Cai
Federal Reserve Bank of Boston and Board of Governors of the Federal Reserve System
Downloads 119 (493,483)
Citation 2

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leveraged loans, high-yield corporate bonds, open-end mutual funds, liquidity transformation

Liquidity Transformation Risks in U.S. Bank Loan and High-Yield Mutual Funds

FEDS Notes No. 2019-08-09
Posted: 22 Oct 2019
Kenechukwu Anadu and Fang Cai
Federal Reserve Bank of Boston and Board of Governors of the Federal Reserve System

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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: 46 Posted: 07 Dec 2013
Carol C. Bertaut, Fang Cai and Nyssa Kim
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 35 (937,324)

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

12.

"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, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 31 (977,341)

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13.

Liquidity Transformation Risks in U.S. Bank Loan and High-Yield Mutual Funds

FRB of Boston Supervisory Research & Analysis Unit Notes No. 2019-02
Number of pages: 11 Posted: 04 Feb 2025
Kenechukwu Anadu and Fang Cai
Federal Reserve Bank of Boston and Board of Governors of the Federal Reserve System
Downloads 18 (1,130,377)
Citation 1

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leveraged loans; high-yield corporate bonds; open-end mutual funds; liquidity transformation risks

14.

Private Credit: Characteristics and Risks

FEDS Notes No. 2024-02-23-2
Posted: 29 Feb 2024
Fang Cai and Sharjil Haque
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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15.

New Insights from N-CEN: Liquidity Management at Open-End Funds and Primary Market Concentration of ETFs

FEDS Notes No. 2023-01-11
Posted: 12 May 2023
Fang Cai, Grace Chuan, Kevin Henry, Chaehee Shin and Erin Troland
Board of Governors of the Federal Reserve System, Independent, Independent, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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16.

Bank Borrowings by Asset Managers Evidence from U.S. Open-End Mutual Funds and Exchange-Traded Funds

FEDS Notes No. 2021-04-16-2
Posted: 09 Jul 2021
Fang Cai and Chaehee Shin
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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17.

Has International Financial Co-Movement Changed? Emerging Markets in the 2007-2009 Financial Crisis

International Finance Discussion Paper No. 1006
Posted: 09 Jul 2021
John Ammer, Fang Cai and Chiara Scotti
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Bank of Italy

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18.

Bank Borrowings by Asset Managers Evidence from US Open-End Mutual Funds and Exchange-Traded Funds

FEDS Notes No. 2021-04-16-2
https://doi.org/10.17016/2380-7172.2887
Posted: 23 Apr 2021
Fang Cai and Chaehee Shin
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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19.

Household and Business Debt: A Fire-Sale Risk Analysis

FEDS Notes No. 2021-02-01-1
Posted: 09 Feb 2021
Fang Cai, Gene Kang, Gazi Kara, Nathan Swem and Filip Zikes
Board of Governors of the Federal Reserve System, Independent, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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20.

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 System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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