Jie Cao

Chinese University of Hong Kong - Department of Finance

Associate Professor of Finance

Room 1242 CYT Building

Shatin, NT

Hong Kong

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

SCHOLARLY PAPERS

10

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7,706

CITATIONS

21

Scholarly Papers (10)

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
Chinese University of Hong Kong - Department of Finance and University of Toronto, Rotman School of Management
Downloads 1,667 (5,907)
Citation 6

Abstract:

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

2.
Downloads 1,017 ( 17,095)
Citation 1

Peer Effects of Corporate Social Responsibility

28th Australasian Finance and Banking Conference Paper
Number of pages: 53 Posted: 23 Jul 2015 Last Revised: 05 Jul 2017
Jie Cao, Hao Liang and Xintong Zhan
Chinese University of Hong Kong - Department of Finance, Singapore Management University, Lee Kong Chian School of Business and Erasmus University Rotterdam
Downloads 885 (20,699)
Citation 1

Abstract:

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

Peer Effects of Corporate Social Responsibility

Number of pages: 53 Posted: 31 Aug 2016 Last Revised: 05 Jul 2017
Jie Cao, Hao Liang and Xintong Zhan
Chinese University of Hong Kong - Department of Finance, Singapore Management University, Lee Kong Chian School of Business and Erasmus University Rotterdam
Downloads 132 (184,508)
Citation 1

Abstract:

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

3.

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
Chinese University of Hong Kong - Department of Finance, Emory University - Department of Finance and The University of Hong Kong - Faculty of Business and Economics
Downloads 650 (17,471)

Abstract:

Strategic alliances, Return predictability, Limited attention

4.

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
Chinese University of Hong Kong - Department of Finance and University of Toronto, Rotman School of Management
Downloads 597 (36,505)
Citation 4

Abstract:

Costly arbitrage; Idiosyncratic risk; Mispricing

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
Chinese University of Hong Kong - Department of Finance, University of Toronto, Rotman School of Management and University of Central Florida - College of Business Administration
Downloads 572 (24,000)
Citation 8

Abstract:

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

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
Chinese University of Hong Kong - Department of Finance
Downloads 261 (97,734)

Abstract:

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
Chinese University of Hong Kong - Department of Finance
Downloads 239 (107,290)

Abstract:

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

7.

On Empirical Likelihood Option Pricing

Journal of Risk, Vol. 19, No. 5, 2017
Number of pages: 14 Posted: 01 Jun 2017
Amazon.com, Chinese University of Hong Kong - Department of Finance, The Hong Kong Polytechnic University - School of Accounting and Finance and Indiana University Purdue University Indianapolis (IUPUI)
Downloads 0 (568,632)
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Abstract:

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

8.

How Do Smart Beta ETFs Affect the Asset Management Industry? Evidence from Mutual Fund Flows

Number of pages: 67 Posted: 03 May 2017 Last Revised: 21 Sep 2017
Chinese University of Hong Kong - Department of Finance, Rayliant Global Advisors, University of British Columbia and Erasmus University Rotterdam
Downloads 0 (57,329)

Abstract:

Mutual fund flows; ETFs; smart beta; asset pricing models; investor behavior

9.

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
Chinese University of Hong Kong - Department of Finance, Chinese University of Hong Kong - Department of Decision Sciences & Managerial Economics and The Hong Kong Polytechnic University - School of Accounting and Finance
Downloads 0 (187,374)
Citation 2

Abstract:

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

10.

Option Return Predictability

27th Annual Conference on Financial Economics and Accounting Paper, Rotman School of Management Working Paper No. 2698267
Number of pages: 60 Posted: 06 Dec 2015 Last Revised: 06 Apr 2017
Chinese University of Hong Kong - Department of Finance, University of Toronto, Rotman School of Management, Singapore Management University - Lee Kong Chian School of Business and Erasmus University Rotterdam
Downloads 0 (12,012)

Abstract:

Equity option returns; delta-neutral call writing; predictability; stock characteristics