Jie Cao

The Hong Kong Polytechnic University - School of Accounting and Finance

Professor of Finance

Hung Hom, Kowloon

Hong Kong

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

  • The Hong Kong Polytechnic University - School of Accounting and Finance

SCHOLARLY PAPERS

26

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305

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Scholarly Papers (26)

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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
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 Hong Kong Polytechnic University - School of Accounting and Finance and Shanghai LiLi Technology Co.,Ltd.
Downloads 4,342 (4,016)
Citation 36

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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 Hong Kong Polytechnic University - School of Accounting and Finance and University of Toronto, Rotman School of Management
Downloads 2,855 (8,009)
Citation 66

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

3.

ESG Preference, Institutional Trading, and Stock Return Patterns

Downloads 2,779 ( 8,329)
Citation 35

ESG Preference, Institutional Trading, and Stock Return Patterns

Number of pages: 59 Posted: 09 Apr 2019 Last Revised: 14 Mar 2023
Jie Cao, Sheridan Titman, Xintong Zhan and Weiming Elaine Zhang
The Hong Kong Polytechnic University - School of Accounting and Finance, University of Texas at Austin - Department of Finance, Department of Finance, School of Management, Fudan University and IE Business School - IE University
Downloads 2,681 (8,670)
Citation 20

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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 2023
Jie Cao, Sheridan titman, Xintong Zhan and Weiming Elaine Zhang
The Hong Kong Polytechnic University - School of Accounting and Finance, University of Texas at Austin, Department of Finance, School of Management, Fudan University and IE Business School - IE University
Downloads 98 (460,131)
Citation 19

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4.

Peer Effects of Corporate Social Responsibility

Downloads 2,489 (12,916)
Citation 8

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 Hong Kong Polytechnic University - School of Accounting and Finance, Singapore Management University - Lee Kong Chian School of Business and Department of Finance, School of Management, Fudan University
Downloads 2,114 (12,663)
Citation 8

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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 Hong Kong Polytechnic University - School of Accounting and Finance, Singapore Management University - Lee Kong Chian School of Business and Department of Finance, School of Management, Fudan University
Downloads 375 (110,069)
Citation 13

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

5.

Options Trading and Stock Price Informativeness

Swiss Finance Institute Research Paper No. 19-74, Journal of Financial and Quantitative Analysis (JFQA), accepted
Number of pages: 42 Posted: 18 Jun 2019 Last Revised: 13 Jan 2023
Jie Cao, Amit Goyal, Sai Ke and Xintong Zhan
The Hong Kong Polytechnic University - School of Accounting and Finance, University of Lausanne, University of Mississippi - Department of Finance and Department of Finance, School of Management, Fudan University
Downloads 1,459 (22,961)
Citation 5

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

6.

Unlocking ESG Premium from Options

Swiss Finance Institute Research Paper No. 21-39
Number of pages: 48 Posted: 24 Mar 2023 Last Revised: 28 Mar 2023
Jie Cao, Amit Goyal, Xintong Zhan and Weiming Elaine Zhang
The Hong Kong Polytechnic University - School of Accounting and Finance, University of Lausanne, Department of Finance, School of Management, Fudan University and IE Business School - IE University
Downloads 1,431 (23,621)
Citation 4

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ESG, risk premium, delta-hedged option return

7.

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 Hong Kong Polytechnic University - School of Accounting and Finance, Emory University - Department of Finance and The University of Hong Kong - Faculty of Business and Economics
Downloads 1,350 (25,765)
Citation 9

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Strategic alliances, Return predictability, Limited attention

8.

Smart Beta, 'Smarter' Flows

Number of pages: 46 Posted: 03 May 2017 Last Revised: 11 Oct 2023
Jie Cao, Jason C. Hsu, Jason C. Hsu, Linjia Song, Zhanbing Xiao and Xintong Zhan
The Hong Kong Polytechnic University - School of Accounting and Finance, Research AffiliatesRayliant Global Advisors, School of Management, Xiamen University, Harvard University and Department of Finance, School of Management, Fudan University
Downloads 1,259 (28,586)
Citation 2

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

9.

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 Hong Kong Polytechnic University - School of Accounting and Finance, University of Lausanne, City University London - Bayes Business School and Department of Finance, School of Management, Fudan University
Downloads 1,117 (33,917)
Citation 18

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

10.

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 Hong Kong Polytechnic University - School of Accounting and Finance, University of Toronto, Rotman School of Management and University of Central Florida - College of Business Administration
Downloads 1,048 (37,192)
Citation 10

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

11.

Why Does Volatility Uncertainty Predict Equity Option Returns?

Number of pages: 58 Posted: 25 May 2018 Last Revised: 28 Aug 2022
Jie Cao, Aurelio Vasquez, Xiao Xiao and Xintong Zhan
The Hong Kong Polytechnic University - School of Accounting and Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, City University London - Bayes Business School and Department of Finance, School of Management, Fudan University
Downloads 807 (53,431)
Citation 9

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

12.

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 Hong Kong Polytechnic University - School of Accounting and Finance and University of Toronto, Rotman School of Management
Downloads 751 (58,821)
Citation 12

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Costly arbitrage; Idiosyncratic risk; Mispricing

13.

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

Number of pages: 64 Posted: 08 Jul 2021 Last Revised: 12 Jan 2023
Jie Cao, Yi Li, Xintong Zhan, Weiming Elaine Zhang and Linyu (Lucy) Zhou
The Hong Kong Polytechnic University - School of Accounting and Finance, Board of Governors of the Federal Reserve System, Department of Finance, School of Management, Fudan University, IE Business School - IE University and The Hong Kong Polytechnic University, School of Accounting and Finance
Downloads 635 (73,162)
Citation 2

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Climate risks, carbon emissions, corporate bonds, mutual funds, redemption risks, liquidity

14.

Betting Against the Crowd: Option Trading and Market Risk Premium

Number of pages: 58 Posted: 23 Dec 2022 Last Revised: 31 Dec 2022
Jie Cao, Gang Li, Xintong Zhan and Guofu Zhou
The Hong Kong Polytechnic University - School of Accounting and Finance, The Chinese University of Hong Kong, CUHK Business School, Department of Finance, School of Management, Fudan University and Washington University in St. Louis - John M. Olin Business School
Downloads 612 (76,522)

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equity option trading, index option trading, sentiment, time-series market predictability, option-implied information, trading volume

15.

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

Downloads 605 (77,602)
Citation 3

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 Hong Kong Polytechnic University - School of Accounting and Finance
Downloads 306 (170,115)
Citation 2

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

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 Hong Kong Polytechnic University - School of Accounting and Finance
Downloads 299 (174,314)

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CEO overconfidence, CEO option exercise, Stock mispricing, Growth

16.

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 Hong Kong Polytechnic University - School of Accounting and Finance, Emory University - Department of Finance and Department of Finance, School of Management, Fudan University
Downloads 600 (78,759)

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Idiosyncratic volatility, calendar effects, option expiration

17.

Options Trading and Corporate Debt Structure

Number of pages: 53 Posted: 10 Feb 2020 Last Revised: 24 Aug 2023
Jie Cao, Michael G. Hertzel, Jie Xu and Xintong Zhan
The Hong Kong Polytechnic University - School of Accounting and Finance, 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 595 (79,248)

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Debt structure; options trading; new debt choice; information asymmetry

18.

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 Hong Kong Polytechnic University - School of Accounting and Finance, 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 390 (131,676)
Citation 3

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

19.

Option Price Implied Information and REIT Returns

Rotman School of Management Working Paper No. 3788744, Journal of Empirical Finance, Forthcoming
Number of pages: 50 Posted: 23 Feb 2021 Last Revised: 13 Jan 2023
Jie Cao, Bing Han, Linjia Song and Xintong Zhan
The Hong Kong Polytechnic University - School of Accounting and Finance, University of Toronto, Rotman School of Management, School of Management, Xiamen University and Department of Finance, School of Management, Fudan University
Downloads 386 (133,243)

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

20.

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 Hong Kong Polytechnic University - School of Accounting and Finance, Chinese University of Hong Kong - Department of Decision Sciences & Managerial Economics and The Hong Kong Polytechnic University
Downloads 271 (194,074)

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

21.

A New Factor Model for REIT Returns

Number of pages: 43 Posted: 11 Jan 2023
Jie Cao, Linjia Song and Xintong Zhan
The Hong Kong Polytechnic University - School of Accounting and Finance, School of Management, Xiamen University and Department of Finance, School of Management, Fudan University
Downloads 248 (211,861)

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REIT Return, Conditional Factor Model, IPCA Approach

22.

Idiosyncratic Bond Volatility and Funding Liquidity

Number of pages: 103 Posted: 25 Aug 2021 Last Revised: 30 Aug 2023
Jie Cao, Tarun Chordia and Linyu (Lucy) Zhou
The Hong Kong Polytechnic University - School of Accounting and Finance, Emory University - Department of Finance and The Hong Kong Polytechnic University, School of Accounting and Finance
Downloads 198 (262,034)

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Corporate bonds, idiosyncratic volatility, bond dealers, Volcker Rule, COVID-19

23.

The Return Predictability of Carbon Emissions: Evidence from Hong Kong and Singapore

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 49 Posted: 29 Nov 2023
Jie Cao, Xintong Zhan, Weiming Elaine Zhang and Yaojia Zoe Zhang
The Hong Kong Polytechnic University - School of Accounting and Finance, Department of Finance, School of Management, Fudan University, IE Business School - IE University and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 95 (466,206)

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Return predictability, corporate carbon emissions, investor underreaction, environmental incidents

24.

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 Hong Kong Polytechnic University - School of Accounting and Finance
Downloads 55 (630,730)

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25.

Smart Beta, “Smarter” Flows

Number of pages: 46 Posted: 01 Nov 2023
Jie Cao, Jason C. Hsu, Jason C. Hsu, Linjia Song, Zhanbing Xiao and Xintong Zhan
The Hong Kong Polytechnic University - School of Accounting and Finance, Research AffiliatesRayliant Global Advisors, Xiamen University, Harvard University and Department of Finance, School of Management, Fudan University
Downloads 44 (694,539)

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

26.

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, Inc., The Hong Kong Polytechnic University - School of Accounting and Finance, The Hong Kong Polytechnic University and Indiana University Purdue University Indianapolis (IUPUI)
Downloads 0 (1,057,954)
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nonparametric, option pricing, empirical likelihood, robust, blocking time series