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

18

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Scholarly Papers (18)

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1.

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 2,258 (6,655)
Citation 7

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

2.

Option Return Predictability

27th Annual Conference on Financial Economics and Accounting Paper, Rotman School of Management Working Paper No. 2698267
Number of pages: 66 Posted: 06 Dec 2015 Last Revised: 08 Jun 2020
Jie Cao, Bing Han, Qing Tong and Xintong Zhan
The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Toronto, Rotman School of Management, School of Business, Renmin University of China and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 2,031 (7,960)
Citation 12

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Cross-section of equity options; delta-neutral call writing; return predictability; stock characteristics; option factor model

3.

Peer Effects of Corporate Social Responsibility

Downloads 1,725 ( 14,135)
Citation 1

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 1,424 (13,863)
Citation 1

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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 301 (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 1,176 (18,907)
Citation 6

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Strategic alliances, Return predictability, Limited attention

5.

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 953 (25,730)
Citation 8

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

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 854 (30,141)
Citation 1

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

7.

ESG Preference, Institutional Trading, and Stock Return Patterns

Number of pages: 42 Posted: 09 Apr 2019 Last Revised: 01 Apr 2020
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 727 (37,608)
Citation 5

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

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 665 (42,376)
Citation 7

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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 545 ( 54,883)
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 274 (121,411)

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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 271 (122,769)
Citation 2

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

10.

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, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 304 (109,277)
Citation 3

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

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 253 (132,605)
Citation 1

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

12.

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

Number of pages: 52 Posted: 16 May 2018 Last Revised: 04 Sep 2019
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 - School of Accounting and Finance, University of Illinois at Urbana-Champaign - Department of Finance and The University of Hong Kong - Faculty of Business and Economics
Downloads 225 (148,839)
Citation 1

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CDS, delta-hedged option return, financial intermediation capacity, option market quality, information spillover

13.

Implied Volatility Changes and Corporate Bond Returns

Swiss Finance Institute Research Paper No. 19-75
Number of pages: 63 Posted: 18 Jun 2019 Last Revised: 17 Jul 2020
Jie Cao, Amit Goyal, Xiao Xiao and Xintong Zhan
The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Lausanne, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 223 (150,106)
Citation 1

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

14.

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 - School of Accounting and Finance
Downloads 200 (166,171)

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

15.

Options Trading and Corporate Debt Structure

Number of pages: 50 Posted: 10 Feb 2020 Last Revised: 30 Apr 2020
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 83 (325,127)

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16.

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 27 (524,583)

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17.

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

Management Science accepted
Number of pages: 59
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 6

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Idiosyncratic volatility, calendar effects, option expiration

18.

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 - School of Accounting and Finance and Indiana University Purdue University Indianapolis (IUPUI)
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Abstract:

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nonparametric, option pricing, empirical likelihood, robust, blocking time series