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

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

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SCHOLARLY PAPERS

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Scholarly Papers (21)

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1.

Option Return Predictability

Review of Financial Studies accepted, 27th Annual Conference on Financial Economics and Accounting Paper, Rotman School of Management Working Paper No. 2698267
Number of pages: 80 Posted: 06 Dec 2015 Last Revised: 12 Jun 2021
Jie Cao, Bing Han, Xintong Zhan and Qing Tong
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 Shanghai LiLi Technology Co.,Ltd.
Downloads 2,678 (5,939)
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 2,411 (7,016)
Citation 17

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

3.

Peer Effects of Corporate Social Responsibility

Downloads 1,889 ( 13,986)
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 The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 1,572 (13,738)
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 The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 317 (110,069)
Citation 13

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

4.

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 1,231 (20,360)
Citation 9

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Strategic alliances, Return predictability, Limited attention

5.

ESG Preference, Institutional Trading, and Stock Return Patterns

Downloads 1,171 ( 21,982)
Citation 11

ESG Preference, Institutional Trading, and Stock Return Patterns

Number of pages: 58 Posted: 09 Apr 2019 Last Revised: 12 Apr 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, The Chinese University of Hong Kong (CUHK) - CUHK Business School and The Chinese University of Hong Kong (CUHK)
Downloads 1,161 (21,876)
Citation 11

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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: 07 Jun 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, The Chinese University of Hong Kong (CUHK) - CUHK Business School and The Chinese University of Hong Kong (CUHK)
Downloads 10 (728,830)
Citation 1
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6.

Smart Beta, 'Smarter' Flows

Number of pages: 39 Posted: 03 May 2017 Last Revised: 26 May 2020
Jie Cao, Jason C. Hsu, Zhanbing Xiao and Xintong Zhan
The Chinese University of Hong Kong (CUHK) - CUHK Business School, Rayliant Global Advisors, The University of British Columbia and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 981 (28,392)
Citation 2

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Smart beta ETFs; financial innovation; asset pricing models; mutual fund flows; 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 974 (28,684)
Citation 10

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

8.

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 681 (47,002)
Citation 8

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Costly arbitrage; Idiosyncratic risk; Mispricing

9.

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

Downloads 553 ( 61,401)
Citation 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 281 (133,193)

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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 272 (137,754)
Citation 2

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

10.

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 The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 477 (74,241)
Citation 1

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

11.

Options Trading and Stock Price Informativeness

Swiss Finance Institute Research Paper No. 19-74
Number of pages: 65 Posted: 18 Jun 2019 Last Revised: 30 Apr 2020
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 The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 462 (76,671)

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

12.

Volatility Uncertainty and the Cross-Section of Option Returns

Number of pages: 53 Posted: 25 May 2018 Last Revised: 28 Dec 2019
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 The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 454 (78,254)
Citation 6

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Delta-hedged option returns; volatility estimates; uncertainty of volatility

13.

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

Management Science forthcoming
Number of pages: 59 Posted: 14 Oct 2020 Last Revised: 12 Apr 2021
Jie Cao, Tarun Chordia and Xintong Zhan
The Chinese University of Hong Kong (CUHK) - CUHK Business School, Emory University - Department of Finance and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 374 (98,043)

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Idiosyncratic volatility, calendar effects, option expiration

14.

Options Trading and Corporate Debt Structure

Number of pages: 55 Posted: 10 Feb 2020 Last Revised: 12 Jun 2021
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 The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 268 (141,672)

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

15.

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 268 (140,573)
Citation 3

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

16.

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 215 (174,192)

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

17.

Unlocking ESG Premium from Options

Swiss Finance Institute Research Paper No. 21-39
Number of pages: 63 Posted: 08 Jul 2021 Last Revised: 22 Jul 2021
Jie Cao, Amit Goyal, Xintong Zhan and Weiming Elaine Zhang
The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Lausanne, The Chinese University of Hong Kong (CUHK) - CUHK Business School and The Chinese University of Hong Kong (CUHK)
Downloads 91 (348,925)

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ESG, implied volatility, delta-hedged option return

18.

Option Price Implied Information and REIT Returns

Rotman School of Management Working Paper No. 3788744
Number of pages: 48 Posted: 23 Feb 2021 Last Revised: 31 Mar 2021
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 The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 88 (348,925)

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

19.

Carbon Emissions, Institutional Trading, and the Liquidity of Corporate Bonds

Number of pages: 42 Posted: 08 Jul 2021
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, The Chinese University of Hong Kong (CUHK) - CUHK Business School, The Chinese University of Hong Kong (CUHK) and The Chinese University of Hong Kong (CUHK) - Department of Finance
Downloads 61 (438,194)

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Carbon emissions, corporate bonds, mutual funds, insurance companies, herding, redemption, liquidity

20.

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 35 (536,101)

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21.

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)
Downloads 0 (793,963)
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nonparametric, option pricing, empirical likelihood, robust, blocking time series