Author Page for Jie Cao

Option Return Predictability

Review of Financial Studies, Vol. 35, 2022, 27th Annual Conference on Financial Economics and Accounting Paper, Rotman School of Management Working Paper No. 2698267

Number of pages: 78 Posted: 06 Dec 2015 Last Revised: 01 Mar 2022

Xintong Zhan, Bing Han, Jie Cao and Qing Tong

Department of Finance, School of Management, Fudan University, University of Toronto, Rotman School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Shanghai LiLi Technology Co.,Ltd.

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Citation 15

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Cross-Section of Option Returns and Idiosyncratic Stock Volatility

AFA 2012 Chicago Meetings Paper, Journal of Financial Economics (JFE), Vol. 108, No. 1, 2013, McCombs Research Paper Series No. FIN-15-09

Number of pages: 48 Posted: 17 Mar 2011 Last Revised: 27 Nov 2016

Jie Cao and Bing Han

The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Toronto, Rotman School of Management

Downloads 2,569 (7,452)

Citation 21

Abstract:

3.

Peer Effects of Corporate Social Responsibility

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Citation 2

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Peer Effects of Corporate Social Responsibility

Management Science, Vol. 65, 2019

Number of pages: 57 Posted: 23 Jul 2015 Last Revised: 24 Jul 2020

Jie Cao, Hao Liang and Xintong Zhan

The Chinese University of Hong Kong (CUHK) - CUHK Business School, Singapore Management University - Lee Kong Chian School of Business and Department of Finance, School of Management, Fudan University

Downloads 1,772 (13,317)

Citation 2

Abstract:

Peer Effects of Corporate Social Responsibility

Accepted by Management Science, Forthcoming

Number of pages: 57 Posted: 31 Aug 2016 Last Revised: 23 Jul 2020

Jie Cao, Hao Liang and Xintong Zhan

The Chinese University of Hong Kong (CUHK) - CUHK Business School, Singapore Management University - Lee Kong Chian School of Business and Department of Finance, School of Management, Fudan University

Downloads 336 (110,069)

Citation 13

Abstract:

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ESG Preference, Institutional Trading, and Stock Return Patterns

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Citation 9

2

ESG Preference, Institutional Trading, and Stock Return Patterns

Number of pages: 59 Posted: 09 Apr 2019 Last Revised: 26 Aug 2021

Jie Cao, Sheridan Titman, Xintong Zhan and Weiming Elaine Zhang

The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Texas at Austin - Department of Finance, Department of Finance, School of Management, Fudan University and The Chinese University of Hong Kong (CUHK)

Downloads 1,888 (12,065)

Citation 9

Abstract:

ESG Preference, Institutional Trading, and Stock Return Patterns

NBER Working Paper No. w28156

Number of pages: 53 Posted: 01 Dec 2020 Last Revised: 08 Jun 2022

Jie Cao, Sheridan titman, Xintong Zhan and Weiming Elaine Zhang

The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Texas at Austin, Department of Finance, School of Management, Fudan University and The Chinese University of Hong Kong (CUHK)

Downloads 18 (733,510)

Citation 3

Abstract:

5.

Alliances and Return Predictability

Journal of Financial and Quantitative Analysis (JFQA), Vol. 51, 2016

Number of pages: 64 Posted: 17 Mar 2014 Last Revised: 02 Jan 2017

Jie Cao, Tarun Chordia and Chen Lin

The Chinese University of Hong Kong (CUHK) - CUHK Business School, Emory University - Department of Finance and The University of Hong Kong - Faculty of Business and Economics

Downloads 1,275 (22,325)

Citation 9

Abstract:

6.

Smart Beta, 'Smarter' Flows

Number of pages: 50 Posted: 03 May 2017 Last Revised: 30 Jun 2022

Jie Cao, Jason C. Hsu, Jason C. Hsu, Linjia Song, Zhanbing Xiao and Xintong Zhan

The Chinese University of Hong Kong (CUHK) - CUHK Business School, Research AffiliatesRayliant Global Advisors, The Chinese University of Hong Kong (CUHK) - CUHK Business School, The University of British Columbia and Department of Finance, School of Management, Fudan University

Downloads 1,103 (27,681)

Citation 2

Abstract:

7.

Institutional Investment Constraints and Stock Prices

Journal of Financial and Quantitative Analysis (JFQA), Vol. 52, 2017, Dice Center Working Paper No. 2004-24

Number of pages: 60 Posted: 08 Dec 2004 Last Revised: 04 May 2017

Jie Cao, Bing Han and Qinghai Wang

The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Toronto, Rotman School of Management and University of Central Florida - College of Business Administration

Downloads 999 (31,804)

Citation 10

Abstract:

8.

Implied Volatility Changes and Corporate Bond Returns

Management Science accepted, Swiss Finance Institute Research Paper No. 19-75

Number of pages: 70 Posted: 18 Jun 2019 Last Revised: 03 Jun 2021

Jie Cao, Amit Goyal, Xiao Xiao and Xintong Zhan

The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Lausanne, University of Amsterdam - Amsterdam Business School and Department of Finance, School of Management, Fudan University

Downloads 820 (42,232)

Citation 3

Abstract:

9.

Options Trading and Stock Price Informativeness

Swiss Finance Institute Research Paper No. 19-74

Number of pages: 67 Posted: 18 Jun 2019 Last Revised: 15 Mar 2022

Jie Cao, Amit Goyal, Sai Ke and Xintong Zhan

The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Lausanne, University of Houston - C.T. Bauer College of Business and Department of Finance, School of Management, Fudan University

Downloads 772 (45,437)

Citation 1

Abstract:

10.

Unlocking ESG Premium from Options

Swiss Finance Institute Research Paper No. 21-39

Number of pages: 69 Posted: 08 Jul 2021 Last Revised: 29 Apr 2022

Jie Cao, Amit Goyal, Xintong Zhan and Weiming Elaine Zhang

The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Lausanne, Department of Finance, School of Management, Fudan University and The Chinese University of Hong Kong (CUHK)

Downloads 752 (47,090)

Abstract:

11.

Idiosyncratic Risk, Costly Arbitrage, and the Cross-Section of Stock Returns

Journal of Banking and Finance (JBF), Vol. 73, 2016

Number of pages: 42 Posted: 30 Oct 2008 Last Revised: 28 Nov 2016

Jie Cao and Bing Han

The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Toronto, Rotman School of Management

Downloads 701 (51,692)

Citation 8

Abstract:

12.

Why Does Volatility Uncertainty Predict Equity Option Returns?

Number of pages: 61 Posted: 25 May 2018 Last Revised: 17 Mar 2022

Jie Cao, Aurelio Vasquez, Xiao Xiao and Xintong Zhan

The Chinese University of Hong Kong (CUHK) - CUHK Business School, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Amsterdam - Amsterdam Business School and Department of Finance, School of Management, Fudan University

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Citation 7

Abstract:

13.

CEO Overconfidence or Stock Mispricing and Growth? Reexamining the Effect of CEO Option Exercise Behavior on Corporate Investment

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Citation 2

2

CEO Overconfidence or Stock Mispricing and Growth? Reexamining the Effect of CEO Option Exercise Behavior on Corporate Investment

Number of pages: 50 Posted: 15 Dec 2008 Last Revised: 26 Oct 2011

Jie Cao

The Chinese University of Hong Kong (CUHK) - CUHK Business School

Downloads 289 (146,012)

Abstract:

CEO Overconfidence or Stock Mispricing and Growth? Reexamining the Effect of CEO Option Exercise Behavior on Corporate Investment

17th Conference on the Theories and Practices of Securities and Financial Markets, 2009

Number of pages: 48 Posted: 28 Apr 2010

Jie Cao

The Chinese University of Hong Kong (CUHK) - CUHK Business School

Downloads 287 (147,079)

Citation 2

Abstract:

14.

The Calendar Effects of the Idiosyncratic-Volatility Puzzle: A Tale of Two Days?

Management Science, Vol.67, 2021

Number of pages: 59 Posted: 14 Oct 2020 Last Revised: 31 Jan 2022

Jie Cao, Tarun Chordia and Xintong Zhan

The Chinese University of Hong Kong (CUHK) - CUHK Business School, Emory University - Department of Finance and Department of Finance, School of Management, Fudan University

Downloads 456 (88,731)

Abstract:

15.

Options Trading and Corporate Debt Structure

Number of pages: 60 Posted: 10 Feb 2020 Last Revised: 07 Mar 2022

Jie Cao, Michael G. Hertzel, Jie Xu and Xintong Zhan

The Chinese University of Hong Kong (CUHK) - CUHK Business School, Arizona State University (ASU) - Finance Department, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Department of Finance, School of Management, Fudan University

Downloads 390 (106,082)

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16.

Does the Introduction of One Derivative Affect Another Derivative? The Effect of Credit Default Swaps Trading on Equity Options

Number of pages: 59 Posted: 16 May 2018 Last Revised: 19 May 2021

Jie Cao, Yong Jin, Neil D. Pearson and Dragon Yongjun Tang

The Chinese University of Hong Kong (CUHK) - CUHK Business School, The Hong Kong Polytechnic University, University of Illinois at Urbana-Champaign - Department of Finance and The University of Hong Kong - Faculty of Business and Economics

Downloads 311 (135,791)

Citation 3

Abstract:

17.

Carbon Emissions, Mutual Fund Trading, and the Liquidity of Corporate Bonds

Number of pages: 58 Posted: 08 Jul 2021 Last Revised: 04 Apr 2022

Jie Cao, Yi Li, Xintong Zhan, Weiming Elaine Zhang and Linyu Zhou

The Chinese University of Hong Kong (CUHK) - CUHK Business School, Board of Governors of the Federal Reserve System, Department of Finance, School of Management, Fudan University, The Chinese University of Hong Kong (CUHK) and The Chinese University of Hong Kong (CUHK) - Department of Finance

Downloads 277 (153,121)

Abstract:

18.

Option Price Implied Information and REIT Returns

Rotman School of Management Working Paper No. 3788744

Number of pages: 50 Posted: 23 Feb 2021 Last Revised: 23 Mar 2022

Jie Cao, Bing Han, Linjia Song and Xintong Zhan

The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Toronto, Rotman School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Department of Finance, School of Management, Fudan University

Downloads 238 (178,593)

Abstract:

19.

International Diversification through iShares and Their Rivals

Journal of Risk, Vol.19, 2017

Number of pages: 42 Posted: 16 Aug 2016 Last Revised: 24 Jan 2017

Jie Cao, Rao Fu and Yong Jin

The Chinese University of Hong Kong (CUHK) - CUHK Business School, Chinese University of Hong Kong - Department of Decision Sciences & Managerial Economics and The Hong Kong Polytechnic University

Downloads 235 (180,107)

Abstract:

20.

Idiosyncratic Bond Volatility and Funding Liquidity

Number of pages: 66 Posted: 25 Aug 2021 Last Revised: 31 Jan 2022

Jie Cao, Tarun Chordia and Linyu Zhou

The Chinese University of Hong Kong (CUHK) - CUHK Business School, Emory University - Department of Finance and The Chinese University of Hong Kong (CUHK) - Department of Finance

Downloads 162 (251,040)

Abstract:

21.

Comments on 'Local Currency Bond Returns in Emerging Market Economies and the Role of Foreign Investors'

BIS Paper No. 102j

Number of pages: 3 Posted: 22 May 2019

Jie Cao

The Chinese University of Hong Kong (CUHK) - CUHK Business School

Downloads 42 (556,865)

Abstract:

22.

On Empirical Likelihood Option Pricing

Journal of Risk, Vol. 19, No. 5, 2017

Number of pages: 14 Posted: 01 Jun 2017

Xiaolong Zhong, Jie Cao, Yong Jin and Wei Zheng

Amazon.com, The Chinese University of Hong Kong (CUHK) - CUHK Business School, The Hong Kong Polytechnic University and Indiana University Purdue University Indianapolis (IUPUI)

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Jie Cao

The Chinese University of Hong Kong (CUHK) - CUHK Business School

Associate Professor of Finance

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Scholarly Papers (22)

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On Empirical Likelihood Option Pricing

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