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

SCHOLARLY PAPERS

27

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9,936

CITATIONS
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Top 2,817

in Total Papers Citations

199

Scholarly Papers (27)

1.

The Informational Content of an Open Limit Order Book

AFA 2005 Philadelphia Meetings; EFA 2004 Maastricht Meetings Paper No. 4311
Number of pages: 38 Posted: 19 Jul 2004
Pennsylvania State University, Pennsylvania State University and Southern Illinois University
Downloads 1,473 (7,373)
Citation 36

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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: 18 Feb 2015
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) - Sloan School of Management
Downloads 1,429 (10,241)
Citation 23

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

3.

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 University and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 1,143 (13,317)
Citation 35

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

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

Number of pages: 40 Posted: 27 Apr 2003
Pennsylvania State University, University of Delaware - Alfred Lerner College of Business and Economics and University of Texas at Austin - Department of Finance
Downloads 862 (22,024)
Citation 22

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Initial Public Offerings, Lockups, Insider Trading

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

Journal of Financial and Quantitative Analysis, Forthcoming
Posted: 27 Apr 2003
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

5.

Informational Content of Option Volume Prior to Takeovers

Yale SOM Working Paper No. ES-31
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
Downloads 746 (23,188)
Citation 68

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6.
Downloads 605 ( 36,655)
Citation 1

Hedge Fund Holdings and Stock Market Efficiency

FEDS Working Paper No. 2014-36
Number of pages: 61 Posted: 25 May 2014
Pennsylvania State University, University of Massachusetts Amherst - Department of Finance, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Federal Reserve Board
Downloads 446 (53,439)
Citation 1

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Hedge funds, institutional investors, market efficiency

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
Pennsylvania State University, University of Massachusetts Amherst - Department of Finance, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Federal Reserve Board
Downloads 159 (161,322)
Citation 1

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

7.

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 502 (42,272)
Citation 4

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Liquidity timing, mutual fund performance, market liquidity, bootstrap

8.

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 418 (54,450)
Citation 6

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

9.

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, Saint Louis University - John Cook School of Business and Washington University in St. Louis - Olin School of Business
Downloads 258 (57,473)
Citation 2

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

10.

Assessing Models of Individual Equity Option Prices

Number of pages: 34 Posted: 11 Apr 2012
Gurdip Bakshi, Charles Cao and Zhaodong Zhong
University of Maryland - Robert H. Smith School of Business, Pennsylvania State University and Rutgers University
Downloads 253 (81,337)
Citation 1

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

11.

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
Pennsylvania State University, Miami University, University of Massachusetts Amherst - Department of Finance and Federal Reserve Board
Downloads 228 (64,162)

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

12.

The Role of Hedge Funds in the Security Price Formation Process

Number of pages: 53 Posted: 02 Aug 2012 Last Revised: 01 Mar 2016
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 202 (50,267)
Citation 1

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Hedge funds, stock mispricing, investment value, costly arbitrage

13.

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 Federal Reserve Board
Downloads 188 (119,071)

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Liquidity risk, institutional investors, hedge funds

14.

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, Pennsylvania State University and University of Notre Dame
Downloads 128 (147,456)

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

15.

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 0 (205,334)

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

16.

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, Pennsylvania State University and University of Notre Dame - Department of Finance

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Hedge funds; Real estate; Perofrmance analysis; Portfolio theory

17.

Index Membership and Small Firm Financing

Number of pages: 49 Posted: 23 Dec 2015 Last Revised: 04 Oct 2017
Pennsylvania State University, Pennsylvania State University - Smeal College of Business and Villanova University - Department of Finance
Downloads 0 (181,553)

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

18.

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

Asian Finance Association (AsFA) 2013 Conference
Posted: 24 May 2013
Pennsylvania State University, Texas Christian University, University of Massachusetts Amherst - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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19.

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 University

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

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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21.

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

Review of Financial Studies
Posted: 14 Oct 1999
Zhiwu Chen, Gurdip Bakshi and Charles Cao
University of Hong Kong, University of Maryland - Robert H. Smith School of Business and Pennsylvania State University

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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

Journal of Finance
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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23.

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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24.

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, University of Maryland - Robert H. Smith School of Business and Pennsylvania State University

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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, Pennsylvania State University and University of Maryland - Robert H. Smith 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, Pennsylvania State University and University of Maryland - Robert H. Smith School of Business

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26.

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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27.

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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