Jie Cao

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

Associate Professor of Finance

Cheng Yu Tung Building

12 Chak Cheung Street

Shatin, NT

Hong Kong

http://sites.google.com/site/jiejaycao

SCHOLARLY PAPERS

22

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Top 2,517

in Total Papers Downloads

19,706

SSRN CITATIONS

72

CROSSREF CITATIONS

87

Scholarly Papers (22)

1.

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
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.
Downloads 3,411 (4,667)
Citation 15

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Cross-section of equity options; delta-hedged options; return predictability; stock characteristics; option factor model

2.

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

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Option return; Idiosyncratic volatility; Market imperfections; Limits to arbitrage

3.
Downloads 2,108 ( 13,541)
Citation 2

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

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Corporate social responsibility; peer effects; product markets; shareholder proposal; regression discontinuity

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

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Corporate social responsibility, peer effects, shareholder proposal, regression discontinuity design

ESG Preference, Institutional Trading, and Stock Return Patterns

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

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ESG preference; institutional trading; stock mispricing; stock return patterns

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
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

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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

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Strategic alliances, Return predictability, Limited attention

6.

Smart Beta, 'Smarter' Flows

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

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Smart beta ETFs; mutual fund flows; asset pricing models; financial innovation; investor behavior

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

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Institutional investors, investment constraints, market efficiency, momentum, tracking-error constraints, relative performance evaluation

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
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

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Corporate bonds, implied volatility changes, default risk, information diffusion

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
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

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option trading, price informativeness, stock synchronicity, information acquisition and production

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
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)

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ESG, implied volatility, delta-hedged option return

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

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Costly arbitrage; Idiosyncratic risk; Mispricing

12.

Why Does Volatility Uncertainty Predict Equity Option Returns?

Number of pages: 61 Posted: 25 May 2018 Last Revised: 17 Mar 2022
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
Downloads 603 (62,727)
Citation 7

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Delta-hedged option returns, volatility uncertainty, volatility-of-volatility, model risk, gambling preference

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)

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CEO overconfidence, CEO option exercise, Stock mispricing, Growth

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

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CEO overcon…dence, CEO option exercise, Stock mispricing, Growth

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
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)

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Idiosyncratic volatility, calendar effects, option expiration

15.

Options Trading and Corporate Debt Structure

Number of pages: 60 Posted: 10 Feb 2020 Last Revised: 07 Mar 2022
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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Debt structure; options trading; new debt choice; information asymmetry

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
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

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Credit default swap, delta-hedged option return, demand-based option pricing, financial intermediation capacity, intermediary-based asset pricing

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
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)

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Carbon emissions, corporate bonds, mutual funds, herding, redemption risks, liquidity

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
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)

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informed trading in options; stock return predictability; real estate investment trusts

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)

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International Diversification, Mean Variance Spanning Tests, Exchange Traded Funds, Closed-End Country Funds, ADRs

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)

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Corporate bonds, idiosyncratic volatility, financial intermediaries, Volcker Rule, COVID-19

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)

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22.

On Empirical Likelihood Option Pricing

Journal of Risk, Vol. 19, No. 5, 2017
Number of pages: 14 Posted: 01 Jun 2017
Amazon.com, The Chinese University of Hong Kong (CUHK) - CUHK Business School, The Hong Kong Polytechnic University and Indiana University Purdue University Indianapolis (IUPUI)
Downloads 0 (892,524)
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nonparametric, option pricing, empirical likelihood, robust, blocking time series