Charlie X. Cai

University of Liverpool Management School

Professor

University of Liverpool

Liverpool, L69 7ZA

United Kingdom

  • University of Liverpool Management School

SCHOLARLY PAPERS

26

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SSRN CITATIONS
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Top 39,028

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8

CROSSREF CITATIONS

14

Scholarly Papers (26)

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1.

Predicting VIX with Adaptive Machine Learning

Number of pages: 71 Posted: 16 Jun 2021 Last Revised: 01 Mar 2023
Yunfei Bai and Charlie X. Cai
IEEE and University of Liverpool Management School
Downloads 2,165 (12,418)
Citation 1

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

2.

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 996 (39,866)

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Signaling theory, IPO market

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 807 (53,274)
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 Bath, School of management and Shanghai Jiao Tong University (SJTU)
Downloads 524 (92,647)
Citation 6

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

5.

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 (ULMS), University of Liverpool - Management School (ULMS) and University of Liverpool Management School
Downloads 367 (140,499)

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

6.

Nonlinear Limits to Arbitrage

Number of pages: 52 Posted: 11 May 2011 Last Revised: 10 Feb 2021
Charlie X. Cai, Jingzhi Chen, Robert W. Faff and Yongcheol Shin
University of Liverpool Management School, University of York, University of Queensland and University of York (UK) - Department of Economics and Related Studies
Downloads 364 (141,790)
Citation 1

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

7.

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 Bath, School of management and Shanghai Jiao Tong University (SJTU)
Downloads 263 (200,168)

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

8.

Do Funds with More CAPM Investors Perform Better? And, If So, Why?

Downloads 252 (208,012)

Do Funds with More CAPM Investors Perform Better? And, If So, Why?

Number of pages: 69 Posted: 30 Oct 2019 Last Revised: 09 Jan 2023
You Zhou, Peng Li, Charlie X. Cai and Kevin Keasey
University of Leeds - Division of Accounting and Finance, University of Bath, School of management, University of Liverpool Management School and University of Leeds - Division of Accounting and Finance
Downloads 225 (231,429)

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

Do Funds with More CAPM Investors Perform Better? And, If so, Why?

Number of pages: 117 Posted: 31 Mar 2023
You Zhou, Peng Li, Charlie X. Cai and Kevin Keasey
University of Leeds - Division of Accounting and Finance, University of Bath, School of management, University of Liverpool Management School and University of Leeds - Division of Accounting and Finance
Downloads 27 (841,158)

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

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 231 (226,507)

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

10.

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 Aberdeen - Business School, University of Liverpool and University of Liverpool Management School
Downloads 228 (230,250)

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

11.

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
Charlie X. Cai, David Hillier, Robert Hudson and Kevin Keasey
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 204 (254,334)

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SETS, SEAQ, Trading Friction, Market Structure

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 192 (268,623)
Citation 1

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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 180 (284,310)

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

14.

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 169 (300,221)
Citation 2

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information risk, transaction costs, price discovery, earnings announcements

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
Qi Zhang, Francesco Vallascas, Kevin Keasey and Charlie X. Cai
Independent, Durham University, University of Leeds - Division of Accounting and Finance and University of Liverpool Management School
Downloads 160 (314,526)
Citation 2

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

16.

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 135 (360,697)

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

17.

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 133 (366,898)

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

18.

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 Exeter Business School - Department of Finance and San Diego State University
Downloads 124 (384,733)
Citation 1

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

19.

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 96 (461,552)

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Causality, price leadership, financial crisis, causality factors

20.

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 82 (508,956)

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

21.

Tick-Size and Stock Price Crash Risk: Evidence from SEC’s Tick Size Pilot Program 2016

Number of pages: 58 Posted: 11 Dec 2022
Adnan Ashraf, Baolei Qi and Charlie X. Cai
Xi'an Jiaotong University (XJTU) - School of Management, Xi'an Jiaotong University (XJTU) - School of Management and University of Liverpool Management School
Downloads 59 (607,849)

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stock price crash risk, tick-size pilot program, discretionary accruals, short-selling, algorithmic trading

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 53 (639,463)

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

23.

Tick-Size and Stock Price Crash Risk:Evidence from Sec's Tick Size Pilot Program 2016

Number of pages: 98 Posted: 17 Dec 2022
Adnan Ashraf, Baolei Qi and Charlie X. Cai
Xi'an Jiaotong University (XJTU) - School of Management, Xi'an Jiaotong University (XJTU) - School of Management and University of Liverpool Management School
Downloads 34 (761,146)

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stock price crash risk, tick-size pilot program, discretionary accruals, short-selling, algorithmic trading

24.

Do Funds with More CAPM Investors Perform Better?

Number of pages: 131 Posted: 17 Oct 2023
You Zhou, Peng Li, Charlie X. Cai and Kevin Keasey
University of Leeds - Division of Accounting and Finance, University of Bath, School of management, University of Liverpool Management School and University of Leeds - Division of Accounting and Finance
Downloads 27 (816,494)

Abstract:

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

25.

Salience Theory and Cryptocurrency Returns

Journal of Banking and Finance, Forthcoming
Number of pages: 77 Posted: 15 Dec 2021
Charlie X. Cai and Ran Zhao
University of Liverpool Management School and San Diego State University
Downloads 430

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

26.

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