Charles Cao

Pennsylvania State University

Professor of Finance

Department of Finance

Smeal College of Business

University Park, PA 16802

United States

http://www.personal.psu.edu/qxc2/cao.html

  • Pennsylvania State University

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    • Tel: 814-865-7891
    • Fax: 814-865-3362
SCHOLARLY PAPERS

36

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18,988

TOTAL CITATIONS
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Top 3,591

in Total Papers Citations

370

Scholarly Papers (36)

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1.

The Informational Content of an Open Limit Order Book

Number of pages: 38 Posted: 19 Jul 2004
Charles Cao, Oliver Hansch and Xiaoxin Wang Beardsley
Pennsylvania State University, Pennsylvania State University and Southern Illinois University
Downloads 3,182 (8,091)
Citation 74

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Limit order book, price discovery, order placement strategy, demand and supply

2.

Can Hedge Funds Time Market Liquidity?

Journal of Financial Economics (JFE), Forthcoming, AFA 2013 San Diego Meetings Paper
Number of pages: 55 Posted: 22 Jan 2010 Last Revised: 17 Jan 2023
Charles Cao, Yong Chen, Bing Liang and Andrew W. Lo
Pennsylvania State University, Texas A&M University - Department of Finance, University of Massachusetts Amherst - Department of Finance and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,658 (22,743)
Citation 91

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Hedge funds, liquidity timing, investment value, liquidity reaction, performance persistence

3.

Why Does Hedge Fund Alpha Decrease Over Time? Evidence from Individual Hedge Funds

Number of pages: 53 Posted: 25 Mar 2008 Last Revised: 18 Jan 2021
Charles Cao and Zhaodong Zhong
Pennsylvania State University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,554 (25,110)
Citation 10

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hedge funds, performance, alpha, flows, capacity constraints, counter-factual analysis

4.

The Information Content of Option-Implied Volatility for Credit Default Swap Valuation

FDIC Center for Financial Research, Working Paper No. 2007-08
Number of pages: 38 Posted: 11 Mar 2006 Last Revised: 15 Nov 2012
Charles Cao, Zhaodong Zhong and Fan Yu
Pennsylvania State University, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 1,429 (28,420)
Citation 46

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Credit default swap spread, option-implied volatility, volatility risk premium, informed trading

5.

Hedge Fund Holdings and Stock Market Efficiency

Downloads 1,140 (39,516)
Citation 24

Hedge Fund Holdings and Stock Market Efficiency

Review of Asset Pricing Studies (RAPS), Forthcoming
Number of pages: 65 Posted: 14 Jun 2016 Last Revised: 20 Apr 2017
Charles Cao, Bing Liang, Andrew W. Lo and Lubomir Petrasek
Pennsylvania State University, University of Massachusetts Amherst - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Board of Governors of the Federal Reserve System
Downloads 572 (98,363)
Citation 21

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hedge funds, institutional investors, equity holdings, market efficiency, liquidity crises

Hedge Fund Holdings and Stock Market Efficiency

FEDS Working Paper No. 2014-36
Number of pages: 61 Posted: 25 May 2014
Charles Cao, Bing Liang, Andrew W. Lo and Lubomir Petrasek
Pennsylvania State University, University of Massachusetts Amherst - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Board of Governors of the Federal Reserve System
Downloads 568 (99,303)
Citation 3

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Hedge funds, institutional investors, market efficiency

6.

Which Hedge Fund Styles Hedge Against Bad Times?

Number of pages: 55 Posted: 18 Aug 2013 Last Revised: 24 Feb 2015
Charles Cao, David Rapach and Guofu Zhou
Pennsylvania State University, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 1,045 (44,908)
Citation 3

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Asset-based style factors, Multifactor model, Regime switching, Financial stress,Threshold regression, Portfolio performance

7.

Informational Content of Option Volume Prior to Takeovers

Number of pages: 58 Posted: 27 Oct 2003
Charles Cao, John M. Griffin and Zhiwu Chen
Pennsylvania State University, University of Texas at Austin - Department of Finance and University of Hong Kong, Faculty of Business Economics (HKU Business School)
Downloads 1,009 (47,088)
Citation 39

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8.

Does Insider Trading Impair Market Liquidity? Evidence from IPO Lockup Expirations

Downloads 953 (50,979)
Citation 15

Does Insider Trading Impair Market Liquidity? Evidence from IPO Lockup Expirations

Number of pages: 40 Posted: 27 Apr 2003
Charles Cao, Laura Casares Field and Gordon R. Hanka
Pennsylvania State University, University of Delaware - Alfred Lerner College of Business and Economics and University of Texas at Austin - Department of Finance
Downloads 953 (50,167)
Citation 15

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Initial Public Offerings, Lockups, Insider Trading

Does Insider Trading Impair Market Liquidity? Evidence from IPO Lockup Expirations

Posted: 27 Apr 2003
Charles Cao, Laura Casares Field and Gordon R. Hanka
Pennsylvania State University, University of Delaware - Alfred Lerner College of Business and Economics and University of Texas at Austin - Department of Finance

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Initial Public Offerings, Lockups, Insider Trading

9.

Hedge Funds and Stock Price Formation

Financial Analysts Journal, Vol. 74, No. 3, 2018, pp. 54–69
Number of pages: 30 Posted: 02 Aug 2012 Last Revised: 16 Aug 2018
Charles Cao, Yong Chen, William N. Goetzmann and Bing Liang
Pennsylvania State University, Texas A&M University - Department of Finance, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance
Downloads 939 (52,023)
Citation 1

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Hedge funds, stock holdings, stock mispricing, investment value, arbitrage

10.

From Conference Room to Living Room: The Hidden Costs of Remote Work on Mutual Fund Performance

Number of pages: 64 Posted: 04 Sep 2020 Last Revised: 11 Mar 2024
Charles Cao, Timothy T. Simin and Han Xiao
Pennsylvania State University, Pennsylvania State University and Chinese University of Hong Kong, Shenzhen
Downloads 729 (73,145)

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Mutual Funds, Remote Work, Work from Home, COVID-19, Stay-at-home Order

11.

Do Mutual Fund Managers Time Market Liquidity?

Journal of Financial Markets, Vol. 16, Iss. 2, Pg 279–307, 2013
Number of pages: 43 Posted: 03 Jul 2009 Last Revised: 03 Oct 2013
Charles Cao, Timothy T. Simin and Ying Wang
Pennsylvania State University, Pennsylvania State University and State University of New York at Albany - School of Business
Downloads 645 (85,467)
Citation 7

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Liquidity timing, mutual fund performance, market liquidity, bootstrap

12.

An Empirical Analysis of the Dynamic Relationship between Mutual Fund Flow and Market Return Volatility

Journal of Banking and Finance, Vol. 32, No. 10, pp. 2111-2123, 2008
Number of pages: 40 Posted: 10 Nov 2008
Charles Cao, Eric C. Chang and Ying Wang
Pennsylvania State University, University of Hong Kong - School of Business and State University of New York at Albany - School of Business
Downloads 609 (92,024)
Citation 20

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Mutual fund flow, Market volatility, Volatility timing, Fund inflow and fund outflow

13.

What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk Arbitrage Strategy

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 56 Posted: 20 Apr 2012 Last Revised: 01 Aug 2014
Charles Cao, Bradley A. Goldie, Bing Liang and Lubomir Petrasek
Pennsylvania State University, Miami University, University of Massachusetts Amherst - Department of Finance and Board of Governors of the Federal Reserve System
Downloads 541 (106,863)
Citation 6

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Hedge funds, hedge fund holdings, performance evaluation, risk arbitrage strategy

14.

An Anatomy of Cryptocurrency Sentiment

Number of pages: 46 Posted: 10 Jul 2023
Mehmet Canayaz, Charles Cao, Giang Nguyen and Qiang Wang
Pennsylvania State University - Smeal College of Business, Pennsylvania State University, Pennsylvania State University - Smeal College of Business and Pennsylvania State University
Downloads 540 (107,123)

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cryptocurrencies, sentiment, return, volatility, social media, market exuberance

15.

Assessing Models of Individual Equity Option Prices

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 34 Posted: 11 Apr 2012 Last Revised: 28 Nov 2020
Gurdip Bakshi, Charles Cao and Zhaodong Zhong
Temple University-Fox School of Business, Pennsylvania State University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 482 (122,936)
Citation 7

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individual equity option-models, risk-neutral kurtosis, return-jumps, volatility-jumps, stochastic volatility, option-implied return distributions

16.

Information Choice, Uncertainty, and Expected Returns

Review of Financial Studies, Vol. 34, Issue 12, pp. 5977–6031, 2021
Number of pages: 80 Posted: 10 Aug 2019 Last Revised: 03 May 2023
Charles Cao, David Gempesaw and Timothy T. Simin
Pennsylvania State University, Miami University and Pennsylvania State University
Downloads 400 (153,553)
Citation 1

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Information Choice, Learning, Expected Returns, Cross-Section of Stock Returns, Volatility, Risk, Uncertainty

17.

Liquidity Risk and Institutional Ownership

Journal of Financial Markets, Forthcoming, FEDS Working Paper No. 2011-49
Number of pages: 54 Posted: 17 Nov 2011 Last Revised: 20 Oct 2015
Charles Cao and Lubomir Petrasek
Pennsylvania State University and Board of Governors of the Federal Reserve System
Downloads 377 (163,565)
Citation 4

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Liquidity risk, institutional investors, hedge funds

18.

The Economics of Hedge Fund Startups: Theory and Empirical Evidence

Journal of Finance, Forthcoming
Number of pages: 108 Posted: 13 Aug 2020
Charles Cao, Grant V Farnsworth and Hong Zhang
Pennsylvania State University, Texas Christian University and Singapore Management University - Lee Kong Chian School of Business
Downloads 352 (176,461)
Citation 8

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Hedge Funds, Inceptions, Startups, Search Frictions

19.

Predicting the Equity Premium with the Implied Volatility Spread

Journal of Financial Markets, Vol.51, 2020
Number of pages: 53 Posted: 01 Oct 2020 Last Revised: 18 Nov 2020
Charles Cao, Timothy T. Simin and Han Xiao
Pennsylvania State University, Pennsylvania State University and Chinese University of Hong Kong, Shenzhen
Downloads 338 (184,385)

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Implied volatility spread, Equity premium, Prediction

20.

Index Membership and Small Firm Financing

Number of pages: 49 Posted: 23 Dec 2015 Last Revised: 26 Oct 2020
Charles Cao, Matthew Gustafson and Raisa Velthuis
Pennsylvania State University, Pennsylvania State University - Smeal College of Business and Villanova University - Department of Finance
Downloads 310 (202,924)
Citation 9

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Bank Borrowing, Seasoned Equity Offering, Regression Discontinuity, Index Membership, Russell 2000 Index

21.

Style Drift: Evidence from Small-Cap Mutual Funds

Journal of Banking & Finance, Vol. 78, 42-57 (May 2017)
Number of pages: 53 Posted: 11 Mar 2016 Last Revised: 28 Mar 2017
Charles Cao, Peter Iliev and Raisa Velthuis
Pennsylvania State University, Pennsylvania State University - Department of Finance and Villanova University - Department of Finance
Downloads 252 (250,428)
Citation 1

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Mutual Funds; Small-Cap; Investment Objectives; Style Drift

22.

Do Hedge Funds Prefer Safe Stocks? Revisiting Hedge Fund Preferences for Stock Characteristics

Number of pages: 50 Posted: 12 Jun 2014
Charles Cao, Jeremiah Green and Jiahan Li
Pennsylvania State University, Texas A&M University - Department of Accounting and University of Notre Dame
Downloads 235 (268,058)
Citation 2

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hedge funds, stock characteristics, cross-section of returns, safe stocks

23.

Liquidity Characteristics of Market Anomalies and Institutional Trading

Number of pages: 39 Posted: 14 Dec 2020 Last Revised: 31 Dec 2022
Charles Cao, Bing Liang, Tong Yao and Andrew (Jianzhong) Zhang
Pennsylvania State University, University of Massachusetts Amherst - Department of Finance, University of Iowa - Henry B. Tippie College of Business and University of Nevada, Las Vegas - Department of Finance
Downloads 222 (283,305)
Citation 2

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Institutional trading, market anomalies, liquidity characteristics, market efficiency

24.

Revisiting the International Conditional Capital Asset Pricing Model: A Recurrent Neural Network Approach

Number of pages: 47 Posted: 07 Jan 2025
Timothy T. Simin, Charles Cao, Stephen R. Owen and Xiaopeng Wu
Pennsylvania State University, Pennsylvania State University, University of North Texas and University of Toronto - Rotman School of Management
Downloads 47 (820,728)

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machine learning, recurrent neural network method, internationalconditional CAPM, market integration, world covariance risk

25.

The Decline of Informed Trading in the Equity and Options Markets

Journal of Alternative Investments (2018), Volume 21 (2), 16-29
Posted: 02 Mar 2018 Last Revised: 02 Aug 2019
Charles Cao, David Gempesaw and Timothy T. Simin
Pennsylvania State University, Miami University and Pennsylvania State University

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informed trading, hedge funds, implied volatility, stock return predictability

26.

Real Estate Risk and Hedge Fund Returns

Journal of Real Estate Finance and Economics, Vol. 52, No. 3, 2016
Posted: 04 Mar 2016
Brent W. Ambrose, Charles Cao and Walter D'Lima
Pennsylvania State University - Department of Insurance & Real Estate, Pennsylvania State University and Florida International University (FIU) - Hollo School of Real Estate

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Hedge funds; Real estate; Perofrmance analysis; Portfolio theory

27.

Liquidity Costs, Return Smoothing, and Investor Flows: Evidence from a Separate Account Platform

Asian Finance Association (AsFA) 2013 Conference
Posted: 24 May 2013
Charles Cao, Grant V Farnsworth, Bing Liang and Andrew W. Lo
Pennsylvania State University, Texas Christian University, University of Massachusetts Amherst - Department of Finance and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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28.

Pricing Credit Default Swaps with Option-Implied Volatility

Financial Analysts Journal, Vol. 67, No. 4, 2011
Posted: 09 Aug 2011 Last Revised: 11 Sep 2011
Charles Cao, Fan Yu and Zhaodong Zhong
Pennsylvania State University, Claremont McKenna College - Robert Day School of Economics and Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

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Derivatives, Credit Derivatives Markets and Instruments, Modeling and Pricing Credit Derivatives, Options Markets and Instruments, Volatility Issues

29.

Can Growth Options Explain the Trend in Idiosyncratic Risk?

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Can Growth Options Explain the Trend in Idiosyncratic Risk?

Review of Financial Studies, Forthcoming
Posted: 10 Oct 2006
Charles Cao, Timothy T. Simin and Jing Zhao
Pennsylvania State University, Pennsylvania State University and Portland State University - The School of Business

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Idiosyncratic volatility, growth options, real options

Can Growth Options Explain the Trend in Idiosyncratic Risk?

The Review of Financial Studies, Vol. 21, Issue 6, pp. 2599-2633, 2008
Posted: 15 Dec 2008
Charles Cao, Timothy T. Simin and Jing Zhao
Pennsylvania State University, Pennsylvania State University and Portland State University - The School of Business

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30.

Do Call Prices and the Underlying Stock Always Move in the Same Direction?

Posted: 14 Oct 1999
Zhiwu Chen, Gurdip Bakshi and Charles Cao
University of Hong Kong, Faculty of Business Economics (HKU Business School), Temple University-Fox School of Business and Pennsylvania State University

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31.

Price Discovery Without Trading: Evidence from the NASDAQ Pre-Opening

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Price Discovery Without Trading: Evidence from the NASDAQ Pre-Opening

Posted: 11 Oct 1999
Charles Cao, Eric Ghysels and Frank Hatheway
Pennsylvania State University, University of North Carolina Kenan-Flagler Business School and National Association of Securities Dealers, Inc., NASD

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Price Discovery Without Trading: Evidence from the NASDAQ Pre-Opening

Posted: 03 Nov 1999
Charles Cao, Eric Ghysels and Frank Hatheway
Pennsylvania State University, University of North Carolina Kenan-Flagler Business School and National Association of Securities Dealers, Inc., NASD

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32.

Tick Size, Spread and Volume

J. OF FINANCIAL INTERMEDIATION, Vol. 5 No. 1, 1996
Posted: 16 Jun 1998
Charles Cao and Hyuk Choe
Pennsylvania State University and Seoul National University - College of Business Administration

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33.

Pricing and Hedging Long-Term Options

Journal of Econometrics, 1998
Posted: 06 May 1998
Zhiwu Chen, Gurdip Bakshi and Charles Cao
University of Hong Kong, Faculty of Business Economics (HKU Business School), Temple University-Fox School of Business and Pennsylvania State University

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34.

Empirical Performance of Alternative Option Pricing Models

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Empirical Performance of Alternative Option Pricing Models

J. OF FINANCE
Posted: 30 Apr 1997
Zhiwu Chen, Charles Cao and Gurdip Bakshi
University of Hong Kong, Faculty of Business Economics (HKU Business School), Pennsylvania State University and Temple University-Fox School of Business

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Empirical Performance of Alternative Option Pricing Models

Posted: 06 Mar 1997
Zhiwu Chen, Charles Cao and Gurdip Bakshi
University of Hong Kong, Faculty of Business Economics (HKU Business School), Pennsylvania State University and Temple University-Fox School of Business

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35.

Decimalization and Competition Among Exchanges: Evidence from the Toronto Stock Exchange Cross-Listed Securities

Posted: 19 Feb 1997
Charles Cao and Hyuk Choe
Pennsylvania State University and Seoul National University - College of Business Administration

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36.

Does the Specialist Matter? Differential Execution Costs and Inter-Security Subsidization on the NYSE

Posted: 19 Feb 1997
Charles Cao, Hyuk Choe and Frank Hatheway
Pennsylvania State University, Seoul National University - College of Business Administration and National Association of Securities Dealers, Inc., NASD

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