Charlie X. Cai

University of Liverpool Management School

Professor

University of Liverpool

Liverpool, L69 7ZA

United Kingdom

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 11,797

SSRN RANKINGS

Top 11,797

in Total Papers Downloads

6,010

SSRN CITATIONS
Rank 23,866

SSRN RANKINGS

Top 23,866

in Total Papers Citations

6

CROSSREF CITATIONS

34

Scholarly Papers (27)

1.

A New Test of Signaling Theory

Finance Letters, Vol. 5, No. 2, pp. 1-5, 2007
Number of pages: 5 Posted: 13 Jan 2008
Charlie X. Cai, Darren Duxbury and Kevin Keasey
University of Liverpool Management School, Newcastle University Business School and University of Leeds - Division of Accounting and Finance
Downloads 954 (34,980)

Abstract:

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Signaling theory, IPO market

2.

Predicting VIX with Adaptive Machine Learning

Number of pages: 77 Posted: 16 Jun 2021 Last Revised: 07 Feb 2022
Yunfei Bai and Charlie X. Cai
IEEE and University of Liverpool Management School
Downloads 836 (42,040)

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Machine Learning, AutoML, Explainable AI, VIX, Predictability, Forecasting, Quantitative Trading, Big Data, S&P 500, Futures, US markets

3.

Do Audit Committees Reduce the Agency Costs of Ownership Structure?

Number of pages: 59 Posted: 14 Feb 2009 Last Revised: 11 May 2011
Charlie X. Cai, David Hillier, Gao-Liang Tian and Qinghua Wu
University of Liverpool Management School, University of Strathclyde - Department of Accounting and Finance, Xi'an Jiaotong University (XJTU) - School of Management and Fu Dan University
Downloads 782 (45,910)
Citation 2

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Government Owned Enterprises, Corporate Governance, Auditing, Audit Committee, Pyramid Groups

4.

Market Development, Information Diffusion and the Global Anomaly Puzzle

Cai, Charlie Xiaowu and Keasey, Kevin and Li, Peng and Zhang, Qi, 2021,Market Development, Information Diffusion and the Global Anomaly Puzzle, Journal of Financial and Quantitative Analysis, Forthcoming.
Number of pages: 64 Posted: 30 Sep 2016 Last Revised: 04 Feb 2021
Charlie X. Cai, Kevin Keasey, Peng Li and Qi Zhang
University of Liverpool Management School, University of Leeds - Division of Accounting and Finance, University of Leeds - Faculty of Business and Shanghai Jiao Tong University (SJTU)
Downloads 459 (90,291)
Citation 4

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Asset Pricing, Anomalies, Behavioral Finance, Multi-Factor Models, International Evidence

5.

Nonlinear Limits to Arbitrage

Number of pages: 52 Posted: 11 May 2011 Last Revised: 10 Feb 2021
University of Liverpool Management School, University of York, University of Queensland and University of York (UK) - Department of Economics and Related Studies
Downloads 350 (123,035)
Citation 1

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Limited Arbitrage, Noise Momentum, Futures and Spot Prices, Markov Switching Model

6.

Opportunistic CSR Assurance

Number of pages: 50 Posted: 24 Sep 2021 Last Revised: 10 Jan 2022
Yusuf Ag, Sardar Ahmad and Charlie X. Cai
University of Liverpool Management School, University of Liverpool - Management School (ULMS) and University of Liverpool Management School
Downloads 264 (165,661)

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CSR Assurance, ESG disclosure, CSR reporting, Sustainability reporting, Environmental reporting, Nonfinancial reporting, Opportunistic managemen

7.

Salience Theory and Cryptocurrency Returns

Number of pages: 70 Posted: 15 Dec 2021 Last Revised: 19 Jan 2022
Charlie X. Cai and Ran Zhao
University of Liverpool Management School and Claremont Graduate University, Drucker School of Management
Downloads 244 (178,918)

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Salience Theory, Asset Pricing, Behavioral Finance, Cryptocurrency, Portfolio Choice

8.

Paying Too Much for Growth: What have Investors Missed?

Leeds University Business School Working Paper No. 17-09
Number of pages: 64 Posted: 01 Feb 2017 Last Revised: 21 Feb 2018
Charlie X. Cai, Kevin Keasey, Peng Li and Qi Zhang
University of Liverpool Management School, University of Leeds - Division of Accounting and Finance, University of Leeds - Division of Accounting and Finance and Shanghai Jiao Tong University (SJTU)
Downloads 237 (183,280)

Abstract:

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Limited Attention, Investment Growth Anomaly, Expectation Error, US market, International market

9.

Noise Momentum Around the World

Number of pages: 38 Posted: 13 Jul 2014
Charlie X. Cai, Robert W. Faff and Yongcheol Shin
University of Liverpool Management School, University of Queensland and University of York (UK) - Department of Economics and Related Studies
Downloads 208 (207,313)

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limited arbitrage, noise momentum, initial mispricing correction, futures and spot prices

10.

Trading Frictions and Market Structure: An Empirical Analysis

Journal of Business Finance & Accounting, Vol. 35, No. 3-4, pp. 563-579, 2008
Number of pages: 28 Posted: 06 Oct 2010
University of Liverpool Management School, University of Strathclyde - Department of Accounting and Finance, Hull University Business School (HUBS) and University of Leeds - Division of Accounting and Finance
Downloads 193 (221,807)

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SETS, SEAQ, Trading Friction, Market Structure

11.

Economic Uncertainty: Mispricing and Ambiguity Premium

Number of pages: 64 Posted: 25 Aug 2020 Last Revised: 11 Feb 2022
Semih Kerestecioglu, Xi Fu and Charlie X. Cai
University of Liverpool Management School, University of Liverpool and University of Liverpool Management School
Downloads 180 (235,652)

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Economic Uncertainty, Ambiguity Aversion, Risk Premium, Mis-Pricing, Cross-Section of Stock Returns, Return Predictability

12.

FARVaR: Functional Autoregressive Value-at-Risk

Journal of Financial Econometrics, forthcoming
Number of pages: 81 Posted: 23 Mar 2014 Last Revised: 05 Mar 2019
Charlie X. Cai, Minjoo Kim, Yongcheol Shin and Qi Zhang
University of Liverpool Management School, University of Liverpool - Accounting and Finance Division, University of York (UK) - Department of Economics and Related Studies and Independent
Downloads 176 (240,234)

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density forecasts; financial risk management; functional autoregressive model

13.

Forecasting Using High-Frequency Data: A Comparison of Asymmetric Financial Duration Models

Journal of Forecasting, Vol. 28, No. 5, pp. 371–386, August 2009
Number of pages: 35 Posted: 06 Oct 2010
Qi Zhang, Kevin Keasey and Charlie X. Cai
Independent, University of Leeds - Division of Accounting and Finance and University of Liverpool Management School
Downloads 169 (248,634)

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Autoregressive Duration Model (ACD), forecasting, high-frequency data, market microstructure

14.

Which Fund Flow?

Number of pages: 54 Posted: 30 Oct 2019 Last Revised: 24 Jun 2022
You Zhou, Peng Li, Charlie X. Cai and Kevin Keasey
University of Leeds - Division of Accounting and Finance, University of Leeds - Division of Accounting and Finance, University of Liverpool Management School and University of Leeds - Division of Accounting and Finance
Downloads 155 (267,076)

Abstract:

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mutual-fund flows, risk factors, non-risk factors, smart-money effect, CAPM

15.

Are Market-Based Rankings of Global Systemically Important Financial Institutions Useful for Regulators?

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 56 Posted: 11 Aug 2013 Last Revised: 05 Oct 2015
Independent, Durham University, University of Leeds - Division of Accounting and Finance and University of Liverpool Management School
Downloads 135 (298,012)
Citation 2

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systemic risk, systemically important financial institutions, regulation, bank bailouts

16.

Market Reaction to Earnings News: A Unified Test of Information Risk and Transaction Costs

Journal of Accounting and Economics 56 (2013) 251–266
Number of pages: 41 Posted: 12 Aug 2013 Last Revised: 08 Jan 2014
Qi Zhang, Charlie X. Cai and Kevin Keasey
Independent, University of Liverpool Management School and University of Leeds - Division of Accounting and Finance
Downloads 131 (304,848)
Citation 1

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information risk, transaction costs, price discovery, earnings announcements

17.

Determinants of the Component Structure of Intraday Return Distributions

Applied Financial Economics, Vol. 20, No. 4, 2010
Number of pages: 20 Posted: 06 Oct 2010
Charlie X. Cai, Kevin Keasey and Gao-Liang Tian
University of Liverpool Management School, University of Leeds - Division of Accounting and Finance and Xi'an Jiaotong University (XJTU) - School of Management
Downloads 124 (317,467)

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Return Distribution, Intraday, Information Flow, Liquidity, High-frequency Data, Market Microstructure.

18.

Nominal Price Level and Noise Trading

Leeds University Business School Working Paper No. 17-08
Number of pages: 27 Posted: 23 Mar 2017
Shima Amini and Charlie X. Cai
University of Leeds and University of Liverpool Management School
Downloads 107 (352,121)

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Nominal Price Puzzle, Noise Trading, Institutional Ownership, Analyst Coverage

19.

Informational Friction, Economic Uncertainty and CDS-Bond Basis

Number of pages: 69 Posted: 19 Feb 2021 Last Revised: 13 Jan 2022
Charlie X. Cai, Xiaoxia Ye and Ran Zhao
University of Liverpool Management School, University of Liverpool Management School and Claremont Graduate University, Drucker School of Management
Downloads 86 (404,371)
Citation 1

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uncertainty, informational friction, CDS, CDS-bond basis, uncertainty beta

20.

International Stock Market Leadership and its Determinants

Number of pages: 42 Posted: 13 Oct 2015
Charlie X. Cai, Mobarek Asma, Mobarek Asma and Qi Zhang
University of Liverpool Management School, Stockholm Business SchoolStockholm Business School and Independent
Downloads 61 (487,216)

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Causality, price leadership, financial crisis, causality factors

21.

Interim Evaluation of Emerging Market Investments: Time Aggregation of Utilities

Number of pages: 56 Posted: 05 Dec 2009 Last Revised: 16 Dec 2010
Charlie X. Cai, Minjoo Kim and Yongcheol Shin
University of Liverpool Management School, University of Liverpool - Accounting and Finance Division and Independent
Downloads 61 (487,216)

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Stochastic and Spatial Dominance, Subsampling, Emerging and Developed Stock Markets Performance, Currency Risk

22.

Capital Account Reform and Short- and Long-Run Stock Price Leadership

European Journal of Finance, Forthcoming
Number of pages: 45 Posted: 06 Oct 2015 Last Revised: 12 Oct 2015
Charlie X. Cai, Paul Mc Guinness and Qi Zhang
University of Liverpool Management School, Independent and Independent
Downloads 41 (576,847)

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Capital account liberalization, A- and H- share cross listings, short- and long-run price leadership

23.

Intra Day Bid-Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange

Number of pages: 30 Posted: 12 Jul 2004
Kevin Keasey, Charlie X. Cai and Robert Hudson
University of Leeds - Division of Accounting and Finance, University of Liverpool Management School and Hull University Business School (HUBS)
Downloads 27 (661,028)

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24.

Cross-Autocorrelation, Risk Transmission and Contagion in the Global CDS Markets

Number of pages: 55 Posted: 19 Apr 2021 Last Revised: 13 Dec 2021
Charlie X. Cai, May Hu and Xiaoxia Ye
University of Liverpool Management School, RMIT University and University of Liverpool Management School
Downloads 15 (757,650)

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CDS, cross-autocorrelation, VAR, global credit network, risk transmission, contagion risk, network centrality

25.

Corporate Governance and Information Efficiency in Security Markets

European Financial Management, Vol. 12, No. 5, pp. 763-787, November 2006
Number of pages: 25 Posted: 23 Oct 2006
Charlie X. Cai, Kevin Keasey and Helen Short
University of Liverpool Management School, University of Leeds - Division of Accounting and Finance and University of Leeds - Division of Accounting and Finance
Downloads 13 (776,518)
Citation 2

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26.

Overreaction to Growth Opportunities: An Explanation of the Asset Growth Anomaly

European Financial Management, Vol. 25, Issue 4, pp. 747-776, 2019
Number of pages: 30 Posted: 19 May 2020
Charlie X. Cai, Peng Li and Qi Zhang
University of Liverpool Management School, University of Leeds - Division of Accounting and Finance and Shanghai Jiao Tong University (SJTU)
Downloads 2 (898,095)

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anomaly, asset growth, growth opportunities, overreaction, US market

27.

Understanding the Evolution of the Share Price Norm

Leeds University Business School Working Paper No. 18-07
Posted: 11 Jun 2018
Shima Amini and Charlie X. Cai
University of Leeds and University of Liverpool Management School

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Institutional ownership; Share price puzzle; IPO; Stock split; Norm hypothesis; Catering hypothesis