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Jie Cao

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jie Cao & Amit Goyal & Yajing (Stella) Wang & Xintong Zhan & Weiming Elaine Zhang, 2024. "Opioid Crisis and Firm Downside Tail Risks: Evidence from the Option Market," Swiss Finance Institute Research Paper Series 24-74, Swiss Finance Institute.

    Cited by:

    1. Quan, Siying & Cheng, Peng & Zhai, Jia, 2025. "Diabetes burden and firm value: The role of labor," International Review of Financial Analysis, Elsevier, vol. 103(C).

  2. Jie Cao & Amit Goyal & Xintong Zhan & Weiming Elaine Zhang, 2021. "Unlocking ESG Premium from Options," Swiss Finance Institute Research Paper Series 21-39, Swiss Finance Institute.

    Cited by:

    1. Gao, Yumeng & Hoepner, Andreas G.F. & Prokopczuk, Marcel & Rouxelin, Florent & Wuersig, Christoph, 2025. "Responsible investing: Upside potential and downside protection?," International Review of Financial Analysis, Elsevier, vol. 97(C).
    2. Faccini, Renato & Matin, Rastin & Skiadopoulos, George, 2023. "Dissecting climate risks: Are they reflected in stock prices?," Journal of Banking & Finance, Elsevier, vol. 155(C).

  3. Jie Cao & Sheridan Titman & Xintong Zhan & Weiming Zhang, 2020. "ESG Preference, Institutional Trading, and Stock Return Patterns," NBER Working Papers 28156, National Bureau of Economic Research, Inc.

    Cited by:

    1. Balazs J. Csillag & Marcell P. Granat & Gabor Neszveda, 2022. "Media Attention to Environmental Issues and ESG Investing," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 21(4), pages 129-149.
    2. Huang, Qiping & Lin, Meimei, 2022. "Do climate risk beliefs shape corporate social responsibility?," Global Finance Journal, Elsevier, vol. 53(C).
    3. Guochao Wan & Ahmad Yahya Dawod, 2022. "ESG Rating and Northbound Capital Shareholding Preferences: Evidence from China," Sustainability, MDPI, vol. 14(15), pages 1-19, July.
    4. Thanh D. Huynh & Ying Xia, 2023. "Panic Selling When Disaster Strikes: Evidence in the Bond and Stock Markets," Management Science, INFORMS, vol. 69(12), pages 7448-7467, December.
    5. David Gilchrist & Jing Yu & Rui Zhong, 2021. "The Limits of Green Finance: A Survey of Literature in the Context of Green Bonds and Green Loans," Sustainability, MDPI, vol. 13(2), pages 1-12, January.
    6. Chen, Zhongfei & Xie, Guanxia, 2022. "ESG disclosure and financial performance: Moderating role of ESG investors," International Review of Financial Analysis, Elsevier, vol. 83(C).
    7. Vitor Azevedo & Christoph Kaserer & Lucila M. S. Campos, 2021. "Investor sentiment and the time-varying sustainability premium," Journal of Asset Management, Palgrave Macmillan, vol. 22(7), pages 600-621, December.
    8. Jun Duanmu & Qiping Huang & Yongjia Li & Garrett A. McBrayer, 2021. "Can hedge funds benefit from corporate social responsibility investment?," The Financial Review, Eastern Finance Association, vol. 56(2), pages 251-278, May.
    9. Ho, Ly & Bai, Min & Lu, Yue & Qin, Yafeng, 2021. "The effect of corporate sustainability performance on leverage adjustments," The British Accounting Review, Elsevier, vol. 53(5).

  4. Jie Cao & Amit Goyal & Xiao Xiao & Xintong Zhan, 2019. "Implied Volatility Changes and Corporate Bond Returns," Swiss Finance Institute Research Paper Series 19-75, Swiss Finance Institute.

    Cited by:

    1. DICKERSON, Alexander & NOZAWA, Yoshio & ROBOTTI, Cesare, 2025. "Factor Investing with Delays," Discussion Paper Series 771, Institute of Economic Research, Hitotsubashi University.
    2. Qianwen Chen & Jaewon Choi, 2024. "Reaching for Yield and the Cross Section of Bond Returns," Management Science, INFORMS, vol. 70(8), pages 5226-5245, August.
    3. Bouri, Elie & Alsagr, Naif, 2024. "Hedging investment-grade and high-yield bonds with credit VIX," Economics Letters, Elsevier, vol. 237(C).
    4. Amin, Md Ruhul & Ben-Nasr, Hamdi & Masum, Abdullah-Al, 2026. "Oil price uncertainty and corporate debt choice: International evidence," International Review of Economics & Finance, Elsevier, vol. 105(C).
    5. Doshi, Hitesh & Ericsson, Jan & Fournier, Mathieu & Seo, Sang Byung, 2024. "The risk and return of equity and credit index options," Journal of Financial Economics, Elsevier, vol. 161(C).
    6. Feng, Guanhao & He, Xin & Wang, Yanchu & Wu, Chunchi, 2025. "Predicting individual corporate bond returns," Journal of Banking & Finance, Elsevier, vol. 171(C).
    7. Chen, Xi & Wang, Junbo & Wu, Chunchi & Wu, Di, 2024. "Extreme illiquidity and cross-sectional corporate bond returns," Journal of Financial Markets, Elsevier, vol. 68(C).
    8. Ojha, Divesh & Patel, Pankaj C. & Chirico, Francesco & Dhir, Amandeep, 2025. "Managing uncertainty under sudden operational closures: The role of implied volatility, positive sentiment, and productivity," Technological Forecasting and Social Change, Elsevier, vol. 219(C).

  5. Jie Cao & Amit Goyal & Sai Ke & Xintong Zhan, 2019. "Option Trading and Stock Price Informativeness," Swiss Finance Institute Research Paper Series 19-74, Swiss Finance Institute.

    Cited by:

    1. Chen, Xiaoyan & Ling, Xin & Linnenluecke, Martina & Rajabi, Mona Mashhadi & Smith, Tom, 2026. "Informed trading and the fossil fuel industry's influence over UN climate meetings," Energy Economics, Elsevier, vol. 153(C).
    2. Haoyi Yang & Shikong Luo, 2023. "A dark side to options trading? Evidence from corporate default risk," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 531-564, February.
    3. Kim, Da-Hea, 2026. "Does options trading stabilize stock prices? : Evidence from a natural experiment," Journal of Banking & Finance, Elsevier, vol. 185(C).
    4. Da‐Hea Kim, 2025. "Effects of Social Media‐Based Peer Opinions on the Prices of Cryptocurrency Options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(10), pages 1512-1543, October.
    5. Wang, Jian & Wu, Lin & Wu, Xinpei & Hwang, Youngjin & Nam, Yunjae & Kwak, Soobin & Lee, Taehui & Kim, Junseok, 2025. "A second-order finite difference method for the Black–Scholes model without far-field boundary conditions," Journal of Financial Stability, Elsevier, vol. 81(C).
    6. Xin Li & Xingyuan He & Lu Zhou & Shushu Xie, 2022. "Impact of Epidemics on Enterprise Innovation: An Analysis of COVID-19 and SARS," Sustainability, MDPI, vol. 14(9), pages 1-28, April.
    7. Abinzano, Isabel & Corredor, Pilar & Mansilla-Fernández, José Manuel, 2026. "Physical climate risk and banks’ credit risk: Worldwide evidence," The North American Journal of Economics and Finance, Elsevier, vol. 81(C).
    8. Wang, Li, 2026. "Option introduction, short-sale constraints, and stock price efficiency: New evidence from IPO lockup periods," Journal of Banking & Finance, Elsevier, vol. 184(C).
    9. Inmoo Lee & Rex Wang Renjie & Patrick Verwijmeren, 2023. "How Do Options Add Value? Evidence from the Convertible Bond Market," Review of Finance, European Finance Association, vol. 27(1), pages 189-222.
    10. Jimmy E. Hilliard & Jitka Hilliard & Yufei Wu, 2026. "Do short-lived options reveal information asymmetry? Evidence from open interest and volume signals," Review of Quantitative Finance and Accounting, Springer, vol. 66(3), pages 965-992, April.

Articles

  1. Xintong Zhan & Junting Liu & Jie Cao & Ruijing Yang & Linyu Zhou, 2026. "Beyond Green: Impacts of Green Bond Issuance on Conventional Bonds in China," Asian Economic Policy Review, Japan Center for Economic Research, vol. 21(1), pages 72-82, January.

    Cited by:

    1. Caroline Flammer, 2026. "Sustainable Finance: Tools, Effectiveness, and Challenges," Asian Economic Policy Review, Japan Center for Economic Research, vol. 21(1), pages 14-19, January.

  2. Cao, Jie & Goyal, Amit & Ke, Sai & Zhan, Xintong, 2024. "Options Trading and Stock Price Informativeness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 59(4), pages 1516-1540, June.
    See citations under working paper version above.
  3. Cao, Jie & Han, Bing & Song, Linjia & Zhan, Xintong, 2023. "Option price implied information and REIT returns," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 13-28.

    Cited by:

    1. George D. Cashman & David M. Harrison & Hainan Sheng, 2026. "Dynamic Incentives in REIT Option Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 72(1), pages 191-234, January.
    2. Tosin B. Fateye & Oluwaseun D. Ajayi & Cyril A. Ajayi & Abel Olaleye & Richard B. Peiser, 2024. "Causal Behavior of Dynamic Dividend Yield of Property Stock in Information Asymmetric Market: Evidence from South African Listed Property Stock Market," International Real Estate Review, Global Social Science Institute, vol. 27(4), pages 501-520.
    3. Li, Zhe & Shen, Jiashuang & Xiao, Weilin, 2024. "Volatility risk premium, good volatility and bad volatility: Evidence from SSE 50 ETF options," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    4. Ozcelebi, Oguzhan & Yoon, Seong-Min, 2025. "Impact of financial stress on the REIT market stability," International Review of Economics & Finance, Elsevier, vol. 100(C).

  4. Jie Cao & Amit Goyal & Xiao Xiao & Xintong Zhan, 2023. "Implied Volatility Changes and Corporate Bond Returns," Management Science, INFORMS, vol. 69(3), pages 1375-1397, March.
    See citations under working paper version above.
  5. Cao, Jie & Titman, Sheridan & Zhan, Xintong & Zhang, Weiming, 2023. "ESG Preference, Institutional Trading, and Stock Return Patterns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 58(5), pages 1843-1877, August.

    Cited by:

    1. Li, Suyang & Qiao, Lu & Ren, Boru & Wang, Zilong, 2025. "Financing sustainability: Sustainable institutional investors and bank loan access," Journal of International Money and Finance, Elsevier, vol. 157(C).
    2. Meng, Qingbin & Wang, Yujia & Wang, Solomon, 2025. "ESG performance and seasoned equity offering discount – Evidence from investor share subscriptions in China," International Review of Financial Analysis, Elsevier, vol. 103(C).
    3. Azzone, Michele & Barucci, Emilio & Stocco, Davide, 2026. "Asset management with an ESG mandate," Journal of Banking & Finance, Elsevier, vol. 184(C).
    4. Zeyuan Huang & Yi Si & Gaoliang Tian & Chongwu Xia & Lei Zhang, 2024. "Learning ESG from stock prices: Evidence from a quasi‐natural experiment in China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(5), pages 4619-4646, December.
    5. Qingyu Hu & Qi Wang, 2025. "Does investor sentiment enhance the impact of ESG ratings on firms' financial performance? Evidence from China," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 39(1), pages 188-215, May.
    6. Li, Yuanshun & Liu, Liang & Li, Xinyuan & Zhang, Aoran, 2025. "From social networks to sustainable solutions: Unpacking the influence of social capital on green innovation," China Economic Review, Elsevier, vol. 93(C).
    7. Chen, Jianqiang & Hsieh, Pei-Fang & Hsu, Po-Hsuan & Levine, Ross, 2025. "Environmental liabilities, borrowing costs, and pollution prevention activities: The nationwide impact of the Apex Oil ruling," Journal of Corporate Finance, Elsevier, vol. 91(C).
    8. Sirin, Selahattin Murat & Yilmaz, Berna N., 2025. "Tech firms and the renewable energy sector: Exploring the moderating effects of institutional ownership on financial connectedness," Research in International Business and Finance, Elsevier, vol. 80(C).
    9. Lin, Jiayu & Pan, Dongliang & Sha, Yezhou, 2025. "The impact of ESG investment on fund performance: Evidence from mutual fund style drift," Pacific-Basin Finance Journal, Elsevier, vol. 91(C).
    10. Wang, Jianli & Xiao, Xiao & Dong, Minghua & Li, Jingyuan, 2025. "Does ESG rating disagreement discourage corporate green innovation? Evidence from China," Research in International Business and Finance, Elsevier, vol. 80(C).
    11. Ali, Shoaib & Al-Nassar, Nassar S. & Sindhu, Muzammal Ilyas & Naveed, Muhammad, 2025. "Sustainable synergy: Static and dynamic nexus between ESG and BRICS equity markets," Research in International Business and Finance, Elsevier, vol. 74(C).
    12. Kim, Sehoon & Kumar, Nitish & Lee, Jongsub & Oh, Junho, 2025. "ESG lending," Journal of Financial Economics, Elsevier, vol. 173(C).
    13. Agoraki, Maria-Eleni K. & Kouretas, Georgios P. & Wu, Haoran & Zhao, Binru, 2025. "Imbalanced ESG investing?," Journal of Corporate Finance, Elsevier, vol. 93(C).
    14. Yang, Xin & Zhang, Jiatong & Lin, Xian & Zhang, Yun, 2025. "Escaping the gavel: How environmental courts drive firms' cross-regional investment," International Review of Financial Analysis, Elsevier, vol. 108(PB).
    15. Xueqin Hu & Hua Song & Yuan Mi & Xiaoye Yang, 2025. "Unveiling the path to sustainable carbon reduction: a comparative analysis of bank-led vs. firm-led carbon finance strategies," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-18, December.
    16. Chiah, Mardy & Tian, Xiao & Zhong, Angel, 2025. "Nature's impact: Do extreme natural disasters influence retail investors?," Journal of Economic Behavior & Organization, Elsevier, vol. 232(C).
    17. Qian, Binsheng & Poshakwale, Sunil & Tan, Yusen, 2024. "‘E’ of ESG and firm performance: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    18. Dallocchio, Maurizio & D’Ercole, Francesco & Frascati, Domenico & Mariani, Massimo, 2025. "Climate transition and the speed of leverage adjustment," International Review of Financial Analysis, Elsevier, vol. 102(C).
    19. Bachner, Felix, 2025. "Decoding market reactions: Analysis of divergent signals of ESG ratings," International Review of Financial Analysis, Elsevier, vol. 103(C).
    20. Chang, Hao-Wen & Chi, Pei-Yu & Lin, Chin-Ho, 2025. "Superiority of ESG-oriented portfolios in Taiwan stock market: Quantile-on-quantile with GARCH approach," The North American Journal of Economics and Finance, Elsevier, vol. 80(C).
    21. Liu, Dianhao & Zhou, Jun, 2025. "Do ESG rating changes matter? Evidence from Chinese stock market," Global Finance Journal, Elsevier, vol. 67(C).
    22. Alharbi, Samar S. & Naveed, Muhammad & Ali, Shoaib & Moussa, Faten, 2025. "Sailing towards sustainability: Connectedness between ESG stocks and green cryptocurrencies," International Review of Economics & Finance, Elsevier, vol. 98(C).
    23. Chen, Linquan & Chen, Yao & Kumar, Alok & Leung, Woon Sau, 2024. "Firm-level ESG information and active fund management," Journal of Financial Intermediation, Elsevier, vol. 60(C).
    24. Jie Cao & Yi Li & Xintong Zhan & Weiming Zhang & Linyu Zhou, 2026. "Carbon Emissions, Mutual Fund Trading, and the Liquidity of Corporate Bonds," Management Science, INFORMS, vol. 72(3), pages 1959-1986, March.

  6. Cao, Jie & Zhan, Xintong & Zhang, Weiming & Zhang, Yaojia, 2023. "The return predictability of carbon emissions: Evidence from Hong Kong and Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).

    Cited by:

    1. Fei Wang & Changlong Sun & Si Chen & Qiang Zhou & Changjian Wang, 2025. "Energy-Related Carbon Emissions in Mega City in Developing Country: Patterns and Determinants Revealed by Hong Kong," Sustainability, MDPI, vol. 17(15), pages 1-25, July.
    2. Zhou, Qi & Ni, Jiajun & Yang, Cunyi, 2025. "Climate transition risk and industry returns: The impact of green innovation and carbon market uncertainty," Technological Forecasting and Social Change, Elsevier, vol. 214(C).
    3. Zhao, Mingyu & Zhang, Yatao & Thompson, Aaron & Tan, Chun Liang & Chen, Yang & Qiu, Waishan & Li, Wenjing, 2026. "Is Net Carbon Goal an accounting game? Insights from supply-demand interactions in carbon sequestration service," Land Use Policy, Elsevier, vol. 161(C).

  7. Jie Jay Cao & Aurelio Vasquez & Xiao Xiao & Xintong Eunice Zhan, 2023. "Why Does Volatility Uncertainty Predict Equity Option Returns?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-35, March.

    Cited by:

    1. Kevin Aretz & Adnan Gazi, 2025. "The Early Exercise Risk Premium," Management Science, INFORMS, vol. 71(2), pages 1824-1845, February.
    2. Yuxiang Huang & Zhuo Wang & Zhengyan Xiao, 2025. "Option Return Predictability via Machine Learning: New Evidence From China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(9), pages 1232-1252, September.
    3. Yoontae Jeon & Raymond Kan & Gang Li, 2025. "Stock Return Autocorrelations and Expected Option Returns," Management Science, INFORMS, vol. 71(6), pages 4895-4914, June.
    4. Hyung Joo Kim & Dong Hwan Oh, 2025. "Local Estimation for Option Pricing: Improving Forecasts with Market State Information," Finance and Economics Discussion Series 2025-076, Board of Governors of the Federal Reserve System (U.S.).

  8. Xintong (Eunice) Zhan & Bing Han & Jie Cao & Qing Tong, 2022. "Option Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1394-1442.

    Cited by:

    1. Wang, Jianqiu & Wu, Ke & Yang, Sijie & Zhou, Dexin, 2024. "Asymmetry and the Cross-section of Option Returns," Journal of Financial Markets, Elsevier, vol. 71(C).
    2. Yuan, Jianglei & Liu, Dehong & Chen, Carl R. & Hu, Sen, 2024. "Option trading volume and the cross-section of option returns," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    3. Simon Fritzsch & Felix Irresberger & Gregor Weiß, 2026. "Predicting option prices from their price history via machine learning," Review of Derivatives Research, Springer, vol. 29(1), pages 1-38, December.
    4. Siu Kai Choy & Jason Wei, 2022. "Option trading and returns versus the 52‐week high and low," The Financial Review, Eastern Finance Association, vol. 57(3), pages 691-726, August.
    5. Li, Boyan & Wu, Chongfeng, 2026. "Beyond delta neutrality: Confidence-scaled hedging with machine learning forecasts," Finance Research Letters, Elsevier, vol. 87(C).
    6. Kevin Aretz & Adnan Gazi, 2025. "The Early Exercise Risk Premium," Management Science, INFORMS, vol. 71(2), pages 1824-1845, February.
    7. Dörries, Julian & Korn, Olaf & Power, Gabriel J., 2023. "How should the long-term investor harvest variance risk premiums?," CFR Working Papers 23-06, University of Cologne, Centre for Financial Research (CFR).
    8. Chen, Ding & Guo, Biao & Zhou, Guofu, 2023. "Firm fundamentals and the cross-section of implied volatility shapes," Journal of Financial Markets, Elsevier, vol. 63(C).
    9. Lo, Chien-Ling & Liu, Wen-Rang, 2025. "Low risk, high return: Improving option writing performance with put-call ratios in Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 90(C).
    10. Yoontae Jeon & Raymond Kan & Gang Li, 2025. "Stock Return Autocorrelations and Expected Option Returns," Management Science, INFORMS, vol. 71(6), pages 4895-4914, June.
    11. Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2023. "Stock illiquidity and option returns," Journal of Financial Markets, Elsevier, vol. 63(C).
    12. David Weinbaum & Andrew Fodor & Dmitriy Muravyev & Martijn Cremers, 2023. "Option Trading Activity, News Releases, and Stock Return Predictability," Management Science, INFORMS, vol. 69(8), pages 4810-4827, August.
    13. Atanasova, Christina & Miao, Terrel & Segarra, Ignacio & Willeboordse, Frederick, 2025. "Aggregate illiquidity and crypto option returns," Finance Research Letters, Elsevier, vol. 85(PC).
    14. Christian Keller & Michael C. Tseng, 2026. "An Infinite-Dimensional Insider Trading Game," Papers 2602.21125, arXiv.org, revised Mar 2026.
    15. Thach Pham & Deepa Bannigidadmath & Robert Powell, 2025. "Industry return predictability using health policy uncertainty," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-42, December.
    16. Feldman, David & Kang, Chang-Mo & Zhao, Yifan, 2026. "Idiosyncratic volatility," Finance Research Letters, Elsevier, vol. 92(C).
    17. Martin Wallmeier, 2024. "Quality issues of implied volatilities of index and stock options in the OptionMetrics IvyDB database," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 854-875, May.
    18. Lee, Geul & Chen, Jing & Ryu, Doojin, 2026. "Effectiveness of domain stabilization: A broader perspective," International Review of Economics & Finance, Elsevier, vol. 105(C).
    19. Siu Kai Choy & Jason Wei, 2023. "Investor Attention and Option Returns," Management Science, INFORMS, vol. 69(8), pages 4845-4863, August.
    20. Christian Keller & Michael C. Tseng, 2023. "Arrow-Debreu Meets Kyle: Price Discovery Across Derivatives," Papers 2302.13426, arXiv.org, revised Mar 2026.
    21. Hyung Joo Kim & Dong Hwan Oh, 2025. "Local Estimation for Option Pricing: Improving Forecasts with Market State Information," Finance and Economics Discussion Series 2025-076, Board of Governors of the Federal Reserve System (U.S.).
    22. Aurelio Vasquez & Xiao Xiao, 2024. "Default Risk and Option Returns," Management Science, INFORMS, vol. 70(4), pages 2144-2167, April.

  9. Jie Cao & Tarun Chordia & Xintong Zhan, 2021. "The Calendar Effects of the Idiosyncratic Volatility Puzzle: A Tale of Two Days?," Management Science, INFORMS, vol. 67(12), pages 7866-7887, December.

    Cited by:

    1. Alexander Barinov, 2025. "On the Robustness of Idiosyncratic Volatility Effect," Management Science, INFORMS, vol. 71(3), pages 2565-2582, March.
    2. Xuejun Jin & Hongze Li & Bin Yu, 2023. "The day‐of‐the‐month effect and the performance of the dollar cost averaging strategy: Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 797-815, April.
    3. Duanmu, Jun & Hur, Jungshik & Li, Yongjia, 2024. "Diversification and idiosyncratic volatility puzzle: Evidence from ETFs," Research in International Business and Finance, Elsevier, vol. 71(C).
    4. Cheng, Zhuo (June) & Fang, Jing & Zhang, Yinglei, 2026. "Idiosyncratic volatility and return: A finite mixture approach," The British Accounting Review, Elsevier, vol. 58(2).
    5. Ingomar Krohn & Philippe Mueller & Paul Whelan, 2021. "Foreign Exchange Fixings and Returns Around the Clock," Staff Working Papers 21-48, Bank of Canada.

  10. Jie Cao & Hao Liang & Xintong Zhan, 2019. "Peer Effects of Corporate Social Responsibility," Management Science, INFORMS, vol. 65(12), pages 5487-5503, December.

    Cited by:

    1. Martins, Henrique Castro, 2022. "Competition and ESG practices in emerging markets: Evidence from a difference-in-differences model," Finance Research Letters, Elsevier, vol. 46(PA).
    2. Xu, Shen & Yin, Bichao & Lou, Chunjie, 2022. "Minority shareholder activism and corporate social responsibility," Economic Modelling, Elsevier, vol. 116(C).
    3. Cohen, Shira & Kadach, Igor & Ormazabal, Gaizka & Reichelstein, Stefan, 2022. "Executive compensation tied to ESG performance: International evidence," ZEW Discussion Papers 22-051, ZEW - Leibniz Centre for European Economic Research.
    4. Ana Paula Pereira dos Passos & Jeferson Lana & Rosilene Marcon, 2023. "Social and political capabilities as nonmarket activities: What are they and how do firms develop them?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(6), pages 2718-2730, November.
    5. Xinyue Fan & Zishen Tang & Yelin Fu & Jiayi Yan, 2024. "Environmental information disclosure and corporate financial performance: Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(S1), pages 5039-5068, December.
    6. Chien Chi Chu & Xiu‐Fen Su & Yu‐En Lin & Akihiro Omura & Bin Li & Adrian Wai‐Kong Cheung, 2023. "Love thy neighbour: Evidence from capital structure decisions," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(3), pages 2907-2933, September.
    7. Yu, Qing & Hui, Eddie Chi-Man & Shen, Jianfu, 2024. "The real impacts of third-party certification on green bond issuances: Evidence from the Chinese green bond market," Journal of Corporate Finance, Elsevier, vol. 89(C).
    8. Alona Bilokha & Mingying Cheng & Mengchuan Fu & Iftekhar Hasan, 2025. "Understanding CSR champions: a machine learning approach," Annals of Operations Research, Springer, vol. 347(1), pages 761-774, April.
    9. C. S. Agnes Cheng & Xiaohui (Fiona) Li & Jing Xie & Yuxiang Zhong, 2023. "Accounting conservatism and common ownership by dedicated institutional blockholders," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 50(9-10), pages 1943-1983, October.
    10. Karavitis, Panagiotis & Kazakis, Pantelis & Xu, Tianyue, 2025. "Overconfident CEOs, corporate social responsibility, and tax avoidance: Evidence from China," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 59(C).
    11. Jiang, Zhiqian & Xu, Yue & Fang, Mei & Tang, Ziling & Tao, Chunhua, 2023. "How does the bond market price corporate ESG engagement? Evidence from China," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 1406-1423.
    12. Grieser, William & Hadlock, Charles & LeSage, James & Zekhnini, Morad, 2022. "Network effects in corporate financial policies," Journal of Financial Economics, Elsevier, vol. 144(1), pages 247-272.
    13. Li, Junbao & Shi, Zhanzhong & He, Chengying & Lv, Chengshuang, 2023. "Peer effects on corporate R&D investment policies: A spatial panel model approach," Journal of Business Research, Elsevier, vol. 158(C).
    14. Feng, Yiqiang & Jin, Xingye & Liu, Zhe & Zhang, Zhanyu, 2025. "Technological links among firms and the peer effect of ESG responsibility performance," Finance Research Letters, Elsevier, vol. 72(C).
    15. Xu Chen & Xuyang Dong & Chao Ma, 2024. "RETRACTED ARTICLE: Investing with Purpose: The Role of CSR in Enhancing Chinese Firms’ Performance in Japan," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(4), pages 20135-20171, December.
    16. Jianjun Zhang & Li Tong & Kunyuan Qiao, 2024. "Mimicry Dynamics: A Study of Multinational Enterprises’ Philanthropy in China," Journal of Business Ethics, Springer, vol. 194(3), pages 501-521, October.
    17. Wang, Zi & Zheng, Dechang, 2025. "Media heterogeneity and corporate ESG performance: evidence from China," International Review of Economics & Finance, Elsevier, vol. 101(C).
    18. Wang, Xiaoqiong & Zhen, Hongxian & Zhu, Feifei, 2023. "Voting with their feet: Controlling shareholders' share pledging and other major shareholders' strategic response," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    19. Canil, Jean & Karpavičius, Sigitas, 2020. "Compensation consultants: Does reputation matter?," Journal of Corporate Finance, Elsevier, vol. 64(C).
    20. Wang, Shaolin & Cheng, Ho Cheung & Wang, Jianli & Yick, Ho Yin, 2025. "The performance of ESG portfolios: Evidence from the Chinese market under COVID-19," Economic Modelling, Elsevier, vol. 143(C).
    21. Li, Chengming & Guo, Guanyu & Gu, Huangying & Dong, Xiaoqi, 2025. "How green bonds exert a demonstration effect on firms within the same region," Economic Analysis and Policy, Elsevier, vol. 86(C), pages 117-136.
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    152. Dong, Yusen & Li, Donghong & Ma, Pengcheng & Choi, Yoona, 2025. "Investee peer effect on firm Innovation: An uncertainty-reduction perspective," Technovation, Elsevier, vol. 146(C).
    153. Hui Li & Ting Sun & Jinquan Zhang, 2024. "Prediction of corporate financial distress based on corporate social responsibility: New evidence from DANP, VWP and MEOWA weights methodologies," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(5), pages 4537-4565, December.
    154. Giulio Cornelli & Magdalena Erdem & Egon Zakrajsek, 2024. "CEO turnover risk and firm environmental performance," BIS Working Papers 1190, Bank for International Settlements.
    155. Khoo, Joye & Cheung, Adrian (Wai Kong), 2024. "Firms' organisation capital: Do peers matter?," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    156. Meng-Ju Wu & Chung-Hsien Hung & Yuan Chang, 2026. "Directors’ and Officers’ Liability Insurance, Directors’ and Managerial Overconfidence, and ESG Performance," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 16(1), pages 1-5.
    157. Han-Hsing Lee & Woan-lih Liang & Quynh-Nhu Tran & Quang-Thai Truong, 2024. "Do Old Board Directors Promote Corporate Social Responsibility?," Journal of Business Ethics, Springer, vol. 195(1), pages 67-93, November.
    158. Patrick J. Callery, 2024. "Strategic motivations for corporate social responsibility: profitability or legitimacy?," Journal of Business Economics, Springer, vol. 94(6), pages 947-974, August.
    159. Zhao, Tianjiao & Wang, Hanyu, 2024. "The industry peer effect of enterprise ESG performance: the moderating effect of customer concentration," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1499-1525.
    160. Ma, Wenchao & Pan, Yongkai & Min, Haolun, 2025. "Corporate R&D intensity, fund network connectivity, and green fund concern: analysis and test of R&D from listed corporates in China," Energy Policy, Elsevier, vol. 206(C).
    161. Xinhao Qiao & Jinyu He & Xueying Bian & Yan Ling, 2026. "Investee Peers and Corporate Social Responsibility: Evidence from U.S. Listed Firms," Journal of Business Ethics, Springer, vol. 203(1), pages 141-163, January.
    162. Ginglinger, Edith & Raskopf, Caroline, 2023. "Women directors and E&S performance: Evidence from board gender quotas," Journal of Corporate Finance, Elsevier, vol. 83(C).
    163. Yoshida, Kenichi & Iino, Yoshiaki & Managi, Shunsuke, 2022. "Do Japanese keiretsu promote better CSR activities?," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 452-475.
    164. Shen, Xieyang & Yang, Sijie & Chen, Yulin & Zeng, Jianyu, 2022. "How does economic policy uncertainty influence managers' learning from peers' stock prices? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    165. Shu, Ying & Zhuang, Xiaobin & Xu, Guanghua & Zhang, Shanfei & Ying, Rui, 2024. "Peer effects, environmental regulation and environmental financial integration—Empirical evidence from listed companies in heavily polluting industries," Economic Analysis and Policy, Elsevier, vol. 82(C), pages 1446-1458.
    166. Ying Li & Tianyu Zhang & Yu-En Lin, 2025. "Managerial Catering and Peer Influence on Dividend Payments," SAGE Open, , vol. 15(4), pages 21582440251, October.
    167. Sakkakom Maneenop & Chaiyuth Padungsaksawasdi & Sirimon Treepongkaruna, 2024. "Co‐opted board, environment, social and governance," Business Strategy and the Environment, Wiley Blackwell, vol. 33(2), pages 1161-1172, February.
    168. Mallory Elise Flowers & Daniel C. Matisoff & Douglas S. Noonan, 2020. "In the LEED: Racing to the Top in Environmental Self‐Regulation," Business Strategy and the Environment, Wiley Blackwell, vol. 29(6), pages 2842-2856, September.
    169. Andrea Pawliczek & A. Nicole Skinner & Laura A. Wellman, 2021. "A new take on voice: the influence of BlackRock’s ‘Dear CEO’ letters," Review of Accounting Studies, Springer, vol. 26(3), pages 1088-1136, September.
    170. Li, Panni & Lin, Zhongguo & Peng, Binbin & Du, Huibin, 2023. "Do CEOs’ social networks affect carbon emissions in China? The moderating role of CEO reputation," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 1122-1137.
    171. Lei, Xiao & Tu, Qin, 2025. "ESG performance and innovation in listed manufacturing companies–A prospect theory perspective," Finance Research Letters, Elsevier, vol. 72(C).
    172. Li, Mangmang & Tang, Jinghua & Wu, Dingwen, 2025. "Beyond borders and industries: How cross-ownership drives ESG performance in China’ low-polluting firms after environmental regulation," Energy Economics, Elsevier, vol. 148(C).
    173. Minh, Thanh Nguyen & Ngoc, Anh Mai & Tuan, Anh Nguyen & Dao, Tung Nguyen, 2022. "Corporate social responsibility, market rivalry and firm leverage: new evidence from a fixed-effect quantile regression approach," Finance Research Letters, Elsevier, vol. 47(PB).
    174. Reyes Calderón & María Ortiz De Urbina & Luis Expósito, 2023. "Follow the genuine leader: The “green imitation”," Business Ethics, the Environment & Responsibility, John Wiley & Sons, Ltd., vol. 32(2), pages 570-581, April.
    175. Zhang, Jian & Wang, Ningzhi & Wu, Wenruo & Zhu, Xinyu, 2025. "Tax information and corporate environmental investment," International Review of Financial Analysis, Elsevier, vol. 97(C).
    176. Chang, Yuyuan & Foss, Nicolai J. & Li, Shuping & Xie, Jing, 2024. "Compensation peer effects of corporate social responsibility," Journal of Corporate Finance, Elsevier, vol. 89(C).
    177. Xingping Jia & Shudi Liao & Beatrice Van der Heijden & Wenqian Li, 2022. "Power and responsibility: How different sources of CEO power affect firms' corporate social responsibility practices," Business Ethics, the Environment & Responsibility, John Wiley & Sons, Ltd., vol. 31(3), pages 682-701, July.
    178. Xi, Zhen & Xia, Yawen & Yang, Rubi & Hu, Ran & Zhao, Jing, 2024. "Contagious corporate reputation risk: Uncovering the pandemic's impact," Finance Research Letters, Elsevier, vol. 67(PB).
    179. Liu Yi & Duan Ruikun, 2023. "It is time for optimal distinctiveness: Corporate social responsibility engagement under dynamic competitive effects during the COVID‐19 crisis," Business Ethics, the Environment & Responsibility, John Wiley & Sons, Ltd., vol. 32(1), pages 4-23, January.
    180. Jiang, Yan & Luo, Le & Tsang, Albert & Zhang, Yueheng, 2025. "Carbon emission trading scheme and carbon performance: The role of carbon management system," The British Accounting Review, Elsevier, vol. 57(3).

  11. Cao, Jie & Han, Bing & Wang, Qinghai, 2017. "Institutional Investment Constraints and Stock Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(2), pages 465-489, April.

    Cited by:

    1. Peng Han & Feng Niu & Wunhong Su, 2021. "Influencing Factors of Institutional Investors Shareholding Stability," SAGE Open, , vol. 11(4), pages 21582440211, October.
    2. Rakowski, David & Shirley, Sara E. & Stark, Jeffrey R., 2017. "Tail-risk hedging, dividend chasing, and investment constraints: The use of exchange-traded notes by mutual funds," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 91-107.
    3. Gebka, Bartosz & Jin, Han & Kallinterakis, Vasileios & Karaa, Rabaa & Slim, Skander, 2026. "Herding and informed trading: Evidence from Chinese equity markets," Journal of Economic Behavior & Organization, Elsevier, vol. 241(C).
    4. Jun Du & Dashan Huang & Yu-Jane Liu & Yushui Shi & Avanidhar Subrahmanyam & Huacheng Zhang, 2026. "Nominal Prices, Retail Investor Participation, and Return Momentum," Management Science, INFORMS, vol. 72(3), pages 2064-2089, March.
    5. Boyao Wu & Difang Huang & Muzi Chen, 2024. "Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect," Papers 2404.04335, arXiv.org.
    6. Fink, Josef, 2021. "A review of the Post-Earnings-Announcement Drift," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    7. Fan, Yunqi & Fu, Hui, 2020. "Institutional investors, selling pressure and crash risk: Evidence from China," Emerging Markets Review, Elsevier, vol. 42(C).
    8. Heng (Emily) Wang & Xiaoyang Zhu, 2024. "Can institutional investors influence media sentiment?," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 20(5), pages 1295-1319, April.
    9. Ping‐Wen Sun & Zipeng Wen, 2023. "Stock return predictability of the cumulative abnormal returns around the earnings announcement date: Evidence from China," International Review of Finance, International Review of Finance Ltd., vol. 23(1), pages 58-86, March.
    10. Ning Wang & Shanhui Ke & Yibo Chen & Tao Yan & Andrew Lim, 2019. "Textual Sentiment of Chinese Microblog Toward the Stock Market," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 649-671, March.
    11. Zhang, Cheng & Gao, Bin & Xu, Xiangrong & Qin, Mimi, 2025. "MFA RPC news sentiment and stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 92(C).
    12. Rizzo, Emanuele, 2018. "Essays on corporate governance and the impact of regulation on financial markets," Other publications TiSEM b5158260-ea13-4763-b992-6, Tilburg University, School of Economics and Management.
    13. Angel Zhong, 2022. "Institutional trading in stock market anomalies in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(1), pages 893-930, March.
    14. Martineau, Charles, 2021. "Rest in Peace Post-Earnings Announcement Drift," SocArXiv z7k3p, Center for Open Science.

  12. Cao, Jie & Chordia, Tarun & Lin, Chen, 2016. "Alliances and Return Predictability," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(5), pages 1689-1717, October.

    Cited by:

    1. Reyes, Tomas & Batista, Julian A. & Chacon, Alvaro & Martinez, Diego & Kausel, Edgar E., 2023. "Attention-driven reaction to extreme earnings surprises," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 230-248.
    2. Jianping Qi & Ninon K. Sutton & Qiancheng Zheng, 2020. "The value of innovation and the spillover effect on alliance partners," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1427-1457, November.
    3. Eric McKee & Yuanyang Liu & Gautam Pant & Shagun Pant, 2025. "Human capital migration networks and stock returns," Review of Financial Economics, John Wiley & Sons, vol. 43(3), pages 297-316, July.
    4. Qi Xu & Yang Ye, 2023. "Commodity network and predictable returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1423-1449, October.
    5. Ling Cen & Michael Hertzel & Christoph Schiller, 2025. "Speed Matters: Limited Attention and Supply Chain Information Diffusion," Management Science, INFORMS, vol. 71(10), pages 8642-8669, October.
    6. Zareei, Abalfazl, 2021. "Cross-momentum: Tracking idiosyncratic shocks," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 177-199.
    7. Ge, Shuyi & Li, Shaoran & Zheng, Hanyu, 2025. "Diamond cuts diamond: News co-mention momentum spillover prevails in China," Journal of Banking & Finance, Elsevier, vol. 171(C).
    8. Chenchen Li & Rui Li & Xundi Diao & Chongfeng Wu, 2020. "Market segmentation and supply‐chain predictability: evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(2), pages 1531-1562, June.
    9. Box, Travis, 2018. "Qualitative similarity and stock price comovement," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 49-69.
    10. Zou, Ying & Zhang, Mingjing & Zhang, Mingyuan, 2024. "The impact of company participation in supply chain alliances on the cost of equity capital: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 94(C).
    11. Dragos Gorduza & Yaxuan Kong & Xiaowen Dong & Stefan Zohren, 2024. "Extracting Alpha from Financial Analyst Networks," Papers 2410.20597, arXiv.org.
    12. Shi, Jinyan & Yu, Conghui & Liu, Xiangkun & Li, Yanxi, 2020. "Predicting firm stock returns with customer stock returns: Moderating effects of customer characteristics," Research in International Business and Finance, Elsevier, vol. 54(C).
    13. Feng, Jian & Huo, Xiaolin & Liu, Xin & Mao, Yifei & Xiang, Hong, 2025. "Economic links from bonds and cross-stock return predictability," Journal of Financial Economics, Elsevier, vol. 171(C).
    14. Xin Wang & Haofei Zhang, 2023. "The cross‐predictability of industry returns in international financial markets," International Review of Finance, International Review of Finance Ltd., vol. 23(4), pages 859-885, December.
    15. Chava, Sudheer & Hsu, Alex & Zeng, Linghang, 2020. "Does history repeat itself? Business cycle and industry returns," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 201-218.
    16. Cao, Jie & Han, Bing, 2016. "Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 1-15.
    17. Huang, Shiyang & Lin, Tse-Chun & Xiang, Hong, 2021. "Psychological barrier and cross-firm return predictability," Journal of Financial Economics, Elsevier, vol. 142(1), pages 338-356.
    18. Chang, Ran & Gonzalez, Angelica & Sarkissian, Sergei & Tu, Jun, 2022. "Internal capital markets and predictability in complex ownership firms," Journal of Corporate Finance, Elsevier, vol. 74(C).
    19. Yuan, Ying & Qu, Yong & Wang, Tianyang, 2025. "Predicting risk premiums: A constraint-based model," Journal of Empirical Finance, Elsevier, vol. 83(C).
    20. Lee, Charles M.C. & Shi, Terrence Tianshuo & Sun, Stephen Teng & Zhang, Ran, 2024. "Production complementarity and information transmission across industries," Journal of Financial Economics, Elsevier, vol. 155(C).
    21. Chen, Long & Zhang, Gaiyan & Zhang, Weina, 2016. "Return predictability in the corporate bond market along the supply chain," Journal of Financial Markets, Elsevier, vol. 29(C), pages 66-86.
    22. Lin, Huiting & Wen, Jiayu & Li, Wei & He, Yurun, 2025. "Strategic alliances and corporate ESG performance," International Review of Economics & Finance, Elsevier, vol. 98(C).
    23. Lee, Charles M.C. & Sun, Stephen Teng & Wang, Rongfei & Zhang, Ran, 2019. "Technological links and predictable returns," Journal of Financial Economics, Elsevier, vol. 132(3), pages 76-96.
    24. Huang, Huichi & Weinbaum, David & Yehuda, Nir, 2023. "Financial reporting quality and investment efficiency: The role of strategic alliances," Journal of Contemporary Accounting and Economics, Elsevier, vol. 19(3).
    25. Schwenkler, G. & Zheng, H., 2025. "News-driven peer co-movement in crypto markets," Journal of Corporate Finance, Elsevier, vol. 93(C).
    26. Wu, Mian & Huang, Wenli & Liu, Xiaoquan & Meng, Qingxin, 2026. "Firm connection and equity return predictability – Graph-based machine learning methods," The British Accounting Review, Elsevier, vol. 58(2).

  13. Cao, Jie & Han, Bing, 2016. "Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 1-15.

    Cited by:

    1. Xiong, Xiong & Meng, Yongqiang & Li, Xiao & Shen, Dehua, 2020. "Can overnight return really serve as a proxy for firm-specific investor sentiment? Cross-country evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
    2. Stanislav Bozhkov & Habin Lee & Uthayasankar Sivarajah & Stella Despoudi & Monomita Nandy, 2020. "Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility," Annals of Operations Research, Springer, vol. 294(1), pages 419-452, November.
    3. Hsin, Chin-Wen & Peng, Shu-Cing, 2023. "Investor propensity to speculate and price delay in emerging markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
    4. R. Jared DeLisle & Mengying Wang & H. Zafer Yüksel & Gulnara R. Zaynutdinova, 2024. "The effects of import competition on domestic financial markets: The role of limits-to-arbitrage," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 55(2), pages 212-234, March.
    5. Jing‐Chi Chen & Li‐Kai (Connie) Liao, 2024. "Stock returns and earnings persistence following equity financing and earnings announcement: Considering managerial characteristics," Review of Financial Economics, John Wiley & Sons, vol. 42(3), pages 291-315, July.
    6. Kelley Bergsma & Andy Fodor & Vijay Singal & Jitendra Tayal, 2020. "Option trading after the opening bell and intraday stock return predictability," Financial Management, Financial Management Association International, vol. 49(3), pages 769-804, September.
    7. Su, Xuan-Qi, 2023. "Directors' and Officers' liability insurance and cross section of expected stock returns: A mispricing explanation," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    8. Yao, Shouyu & Wang, Chunfeng & Cui, Xin & Fang, Zhenming, 2019. "Idiosyncratic skewness, gambling preference, and cross-section of stock returns: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 464-483.
    9. Wang, Chuyu & Li, Junye, 2024. "Volatility-managed portfolios in the Chinese equity market," Pacific-Basin Finance Journal, Elsevier, vol. 88(C).
    10. Jie Cao & Tarun Chordia & Xintong Zhan, 2021. "The Calendar Effects of the Idiosyncratic Volatility Puzzle: A Tale of Two Days?," Management Science, INFORMS, vol. 67(12), pages 7866-7887, December.
    11. Liyun Zhou & Chunpeng Yang, 2020. "Investor sentiment, investor crowded-trade behavior, and limited arbitrage in the cross section of stock returns," Empirical Economics, Springer, vol. 59(1), pages 437-460, July.
    12. Massimo Guidolin & Andrea Ricci, 2018. "Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence," BAFFI CAREFIN Working Papers 1888, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    13. Yuxiang Huang & Zhuo Wang & Zhengyan Xiao, 2025. "Option Return Predictability via Machine Learning: New Evidence From China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(9), pages 1232-1252, September.
    14. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza & Zhang, Hengbin, 2023. "The effect of equity market uncertainty on informational efficiency: Cross-sectional evidence," Global Finance Journal, Elsevier, vol. 57(C).
    15. Lee, Seunghyup, 2022. "Political orientation and compensation for idiosyncratic risk," Economics Letters, Elsevier, vol. 218(C).
    16. Guidolin, Massimo & Ricci, Andrea, 2020. "Arbitrage risk and a sentiment as causes of persistent mispricing: The European evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 1-11.
    17. Liu, Yakun & Chen, Yan & Zhang, Lei & Deng, Xi, 2026. "Forecasting stock return: The role of idiosyncratic asymmetry risk," Journal of International Money and Finance, Elsevier, vol. 160(C).
    18. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    19. Huang, Tao & Li, Junye, 2019. "Option-Implied variance asymmetry and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 21-36.
    20. Xiang Zhang & Han Zhou, 2020. "Leverage structure and stock price synchronicity: Evidence from China," PLOS ONE, Public Library of Science, vol. 15(7), pages 1-15, July.
    21. Brockman, Paul & Guo, Tao & Vivero, Maria Gabriela & Yu, Wayne, 2022. "Is idiosyncratic risk priced? The international evidence," Journal of Empirical Finance, Elsevier, vol. 66(C), pages 121-136.
    22. Ma, Yao & Yang, Baochen & Su, Yunpeng, 2020. "Technical trading index, return predictability and idiosyncratic volatility," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 879-900.
    23. Bergbrant, Mikael & Kassa, Haimanot, 2021. "Is idiosyncratic volatility related to returns? Evidence from a subset of firms with quality idiosyncratic volatility estimates," Journal of Banking & Finance, Elsevier, vol. 127(C).
    24. Oleg Rytchkov & Xun Zhong, 2020. "Information Aggregation and P-Hacking," Management Science, INFORMS, vol. 66(4), pages 1605-1626, April.
    25. Zhaobo Zhu & Licheng Sun & Jun Tu & Qiang Ji, 2022. "Oil price shocks and stock market anomalies," Financial Management, Financial Management Association International, vol. 51(2), pages 573-612, June.
    26. Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2020. "Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns," Journal of Financial Economics, Elsevier, vol. 135(3), pages 725-753.
    27. Li, Yi & Urquhart, Andrew & Wang, Pengfei & Zhang, Wei, 2021. "MAX momentum in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 77(C).
    28. de la Fuente, Gabriel & Ortiz, Margarita & Velasco, Pilar, 2025. "Business diversification and ESG engagement: Riding tandem to risk reduction and value creation?," Journal of Business Research, Elsevier, vol. 200(C).
    29. Bo Li & Sabri Boubaker & Zhenya Liu & Waël Louhichi & Yao Yao, 2023. "Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 527-559, August.
    30. Oehler, Andreas & Horn, Matthias, 2025. "Contemporaneous ESG ratings and idiosyncratic stock risk: Empirical evidence on measures of market consensus and dispersion," International Review of Economics & Finance, Elsevier, vol. 103(C).
    31. Yang, Baochen & Duan, Xianli & Ma, Yao, 2023. "Web search volume acceleration and cross-sectional returns," Research in International Business and Finance, Elsevier, vol. 66(C).
    32. R. Jared DeLisle & H. Zafer Yüksel & Gulnara R. Zaynutdinova, 2020. "What'S In A Name? A Cautionary Tale Of Profitability Anomalies And Limits To Arbitrage," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(2), pages 305-344, May.
    33. Benoit Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The political reception of innovations," Cahiers de recherche 2107, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
    34. Pham, Quyen & Pham, Huy & Pham, Tra & Tiwari, Aviral Kumar, 2025. "Revisiting the role of investor sentiment in the stock market," International Review of Economics & Finance, Elsevier, vol. 100(C).
    35. Yang, Baochen & Ma, Yao, 2021. "Value at risk, mispricing and expected returns," International Review of Financial Analysis, Elsevier, vol. 78(C).
    36. Ping‐Wen Sun & Zipeng Wen, 2023. "Stock return predictability of the cumulative abnormal returns around the earnings announcement date: Evidence from China," International Review of Finance, International Review of Finance Ltd., vol. 23(1), pages 58-86, March.
    37. Tsai, Chia-Fen & Chang, Jung-Hsien & Tsai, Feng-Tse, 2021. "Lottery preferences and retail short selling," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    38. Chuxuan Xiao & Winifred Huang & David P. Newton, 2024. "Predicting expected idiosyncratic volatility: Empirical evidence from ARFIMA, HAR, and EGARCH models," Review of Quantitative Finance and Accounting, Springer, vol. 63(3), pages 979-1006, October.
    39. Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The RQE-CAPM : New insights about the pricing of idiosyncratic risk," CIRANO Working Papers 2021s-28, CIRANO.
    40. Xiaoyue Chen & Bin Li & Andrew C. Worthington, 2022. "Realised volatility and industry momentum returns," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 9(1), pages 1-12, December.
    41. DeLisle, R. Jared & Ferguson, Michael F. & Kassa, Haimanot & Zaynutdinova, Gulnara R., 2021. "Hazard stocks and expected returns," Journal of Banking & Finance, Elsevier, vol. 125(C).
    42. Kelley Bergsma & Jitendra Tayal, 2019. "Short Interest and Lottery Stocks," Financial Management, Financial Management Association International, vol. 48(1), pages 187-227, March.
    43. Hongwei Xing & Hanying Wang & Feiyang Cheng & Shouyu Yao, 2023. "Mispricing: failure to capture the risk preferences dependent on market states," Annals of Operations Research, Springer, vol. 330(1), pages 1-26, November.
    44. Hai, Hoang Van & Park, Jong Won & Tsai, Ping-Chen & Eom, Cheoljun, 2020. "Lottery mindset, mispricing and idiosyncratic volatility puzzle: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    45. Qiao, Tongshuai & Ding, Wenjie & Han, Liyan & Li, Donghui, 2024. "RMB exchange rate volatility and the cross-section of Chinese A-share returns," Journal of International Money and Finance, Elsevier, vol. 142(C).
    46. Goel, Garima & Ahluwalia, Eshan, 2021. "Do pricing efficiencies in Indian equity ETF market impact its performance?," Global Finance Journal, Elsevier, vol. 49(C).
    47. Khasawneh, Maher & McMillan, David G. & Kambouroudis, Dimos, 2024. "Left-tail risk and UK stock return predictability: Underreaction, overreaction, and arbitrage difficulties," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    48. Matthias Horn, 2023. "The Influence of ESG Ratings On Idiosyncratic Stock Risk: The Unrated, the Good, the Bad, and the Sinners," Schmalenbach Journal of Business Research, Springer, vol. 75(3), pages 415-442, September.

  14. Cao, Jie & Han, Bing, 2013. "Cross section of option returns and idiosyncratic stock volatility," Journal of Financial Economics, Elsevier, vol. 108(1), pages 231-249.

    Cited by:

    1. Wang, Jianqiu & Wu, Ke & Yang, Sijie & Zhou, Dexin, 2024. "Asymmetry and the Cross-section of Option Returns," Journal of Financial Markets, Elsevier, vol. 71(C).
    2. Javier Vidal-García & Marta Vidal & Sabri Boubaker & Riadh Manita, 2019. "Idiosyncratic risk and mutual fund performance," Annals of Operations Research, Springer, vol. 281(1), pages 349-372, October.
    3. Wei Guo & Xinfeng Ruan & Sebastian A. Gehricke & Jin E. Zhang, 2023. "Term spreads of implied volatility smirk and variance risk premium," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 829-857, July.
    4. Yuan, Jianglei & Liu, Dehong & Chen, Carl R. & Hu, Sen, 2024. "Option trading volume and the cross-section of option returns," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    5. Borochin, Paul & Zhao, Yanhui, 2025. "The economic value of equity implied volatility forecasting with machine learning," Journal of Empirical Finance, Elsevier, vol. 82(C).
    6. Jacobs, Kris & Mai, Anh Thu, 2024. "The role of intermediaries in derivatives markets: Evidence from VIX options," Journal of Empirical Finance, Elsevier, vol. 77(C).
    7. Barardehi, Yashar H. & Bernhardt, Dan & Ruchti, Thomas G., 2019. "A test of speculative arbitrage: is the cross-section of volatility invariant?," The Warwick Economics Research Paper Series (TWERPS) 1204, University of Warwick, Department of Economics.
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