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Charles Quanwei Cao

This is information that was supplied by Charles Cao in registering through RePEc. If you are Charles Quanwei Cao, you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name:Charles
Middle Name:Quanwei
Last Name:Cao
Suffix:
RePEc Short-ID:pca1069
[This author has chosen not to make the email address public]
http://www.pbcsf.tsinghua.edu.cn/content/details167_3446_x.html
State College, Pennsylvania (United States)
http://www.smeal.psu.edu/

:
814/863-8393
University Park, PA 16802-1912
RePEc:edi:bapsuus (more details at EDIRC)
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  1. Cao, Charles & Liang, Bing & Lo, Andrew W. & Petrasek, Lubomir, 2014. "Hedge fund holdings and stock market efficiency," Finance and Economics Discussion Series 2014-36, Board of Governors of the Federal Reserve System (U.S.).
  2. Charles Cao & Lubomir Petrasek, 2011. "Liquidity risk and hedge fund ownership," Finance and Economics Discussion Series 2011-49, Board of Governors of the Federal Reserve System (U.S.).
  3. Charles Quanwei Cao & Zhiwu Chen & John M. Griffin, 2003. "Informational Content of Option Volume Prior to Takeovers," Yale School of Management Working Papers ysm422, Yale School of Management.
  4. Charles Cao & Eric Ghysels & Frank Hatheway, 2001. "Derivatives Do Affect Mutual Funds Returns : How and When?," CIRANO Working Papers 2001s-62, CIRANO.
  5. Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1999. "Do Call Prices and the Underlying Stock Always Move in the Same Direction?," Yale School of Management Working Papers ysm125, Yale School of Management.
  6. Charles Cao & Eric Ghysels & Frank Hatheway, 1998. "Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening," CIRANO Working Papers 98s-14, CIRANO.
  7. Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1998. "Pricing and Hedging Long-Term Options," Yale School of Management Working Papers ysm90, Yale School of Management.
  8. Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers ysm54, Yale School of Management.
  1. Cao, Charles & Simin, Timothy T. & Wang, Ying, 2013. "Do mutual fund managers time market liquidity?," Journal of Financial Markets, Elsevier, vol. 16(2), pages 279-307.
  2. Cao, Charles & Chen, Yong & Liang, Bing & Lo, Andrew W., 2013. "Can hedge funds time market liquidity?," Journal of Financial Economics, Elsevier, vol. 109(2), pages 493-516.
  3. Cao, Charles & Yu, Fan & Zhong, Zhaodong, 2010. "The information content of option-implied volatility for credit default swap valuation," Journal of Financial Markets, Elsevier, vol. 13(3), pages 321-343, August.
  4. Cao, Charles & Chang, Eric C. & Wang, Ying, 2008. "An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2111-2123, October.
  5. Charles Cao & Timothy Simin & Jing Zhao, 2008. "Can Growth Options Explain the Trend in Idiosyncratic Risk?," Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2599-2633, November.
  6. Charles Cao & Oliver Hansch & Xiaoxin Wang, 2008. "Order Placement Strategies In A Pure Limit Order Book Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(2), pages 113-140.
  7. Charles Cao & Jing-Zhi Huang, 2007. "Determinants of S&P 500 index option returns," Review of Derivatives Research, Springer, vol. 10(1), pages 1-38, January.
  8. Charles Cao & Zhiwu Chen & John M. Griffin, 2005. "Informational Content of Option Volume Prior to Takeovers," The Journal of Business, University of Chicago Press, vol. 78(3), pages 1073-1109, May.
  9. Cao, Charles & Field, Laura Casares & Hanka, Gordon, 2004. "Does Insider Trading Impair Market Liquidity? Evidence from IPO Lockup Expirations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(01), pages 25-46, March.
  10. Ahn, Hee-Joon & Cao, Charles & Choe, Hyuk, 2001. "Share repurchase tender offers and bid-ask spreads," Journal of Banking & Finance, Elsevier, vol. 25(3), pages 445-478, March.
  11. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000. "Pricing and hedging long-term options," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 277-318.
  12. Charles Cao & Eric Ghysels & Frank Hatheway, 2000. "Price Discovery without Trading: Evidence from the Nasdaq Preopening," Journal of Finance, American Finance Association, vol. 55(3), pages 1339-1365, 06.
  13. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000. "Do Call Prices and the Underlying Stock Always Move in the Same Direction?," Review of Financial Studies, Society for Financial Studies, vol. 13(3), pages 549-584.
  14. Charles Cao & Hyuk Choe, 2000. "Evolution of Transitory Volatility over the Week," Annals of Economics and Finance, Society for AEF, vol. 1(1), pages 49-77, May.
  15. Ahn, Hee-Joon & Cao, Charles Q. & Choe, Hyuk, 1998. "Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities," Journal of Financial Markets, Elsevier, vol. 1(1), pages 51-87, April.
  16. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 1997. " Empirical Performance of Alternative Option Pricing Models," Journal of Finance, American Finance Association, vol. 52(5), pages 2003-2049, December.
  17. Cao, Charles & Choe, Hyuk & Hatheway, Frank, 1997. " Does the Specialist Matter? Differential Execution Costs and Intersecurity Subsidization on the New York Stock Exchange," Journal of Finance, American Finance Association, vol. 52(4), pages 1615-1640, September.
  18. Ahn, Hee-Joon & Cao, Charles Q. & Choe, Hyuk, 1996. "Tick Size, Spread, and Volume," Journal of Financial Intermediation, Elsevier, vol. 5(1), pages 2-22, January.
  19. Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-235, April.
  20. Cao, C Q & Tsay, R S, 1992. "Nonlinear Time-Series Analysis of Stock Volatilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S165-85, Suppl. De.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (1) 2014-06-22. Author is listed
  2. NEP-IFN: International Finance (1) 2001-12-19. Author is listed
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