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Details about Charles Quanwei Cao

Homepage:http://www.pbcsf.tsinghua.edu.cn/content/details167_3446_x.html
Workplace:PBC School of Finance, Tsinghua University, (more information at EDIRC)
Smeal College of Business Administration, Pennsylvania State University, (more information at EDIRC)

Access statistics for papers by Charles Quanwei Cao.

Last updated 2015-02-06. Update your information in the RePEc Author Service.

Short-id: pca1069


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Working Papers

2014

  1. Hedge fund holdings and stock market efficiency
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads

2011

  1. Liquidity risk and hedge fund ownership
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads

2003

  1. Informational Content of Option Volume Prior to Takeovers
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (2)
    See also Journal Article in The Journal of Business (2005)

2001

  1. Derivatives Do Affect Mutual Funds Returns: How and When?
    CIRANO Working Papers, CIRANO Downloads

1999

  1. Do Call Prices and the Underlying Stock Always Move in the Same Direction?
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (1)
    See also Journal Article in Review of Financial Studies (2000)

1998

  1. Pricing and Hedging Long-Term Options
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (2000)
  2. Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening
    CIRANO Working Papers, CIRANO Downloads View citations (1)

1997

  1. Empirical Performance of Alternative Option Pricing Models
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (638)
    Also in Yale School of Management Working Papers, Yale School of Management (1997) Downloads View citations (635)

    See also Journal Article in Journal of Finance (1997)

Journal Articles

2013

  1. Can hedge funds time market liquidity?
    Journal of Financial Economics, 2013, 109, (2), 493-516 Downloads View citations (53)
  2. Do mutual fund managers time market liquidity?
    Journal of Financial Markets, 2013, 16, (2), 279-307 Downloads View citations (17)

2010

  1. The information content of option-implied volatility for credit default swap valuation
    Journal of Financial Markets, 2010, 13, (3), 321-343 Downloads View citations (77)

2008

  1. An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility
    Journal of Banking & Finance, 2008, 32, (10), 2111-2123 Downloads View citations (29)
  2. Can Growth Options Explain the Trend in Idiosyncratic Risk?
    Review of Financial Studies, 2008, 21, (6), 2599-2633 Downloads View citations (58)
  3. ORDER PLACEMENT STRATEGIES IN A PURE LIMIT ORDER BOOK MARKET
    Journal of Financial Research, 2008, 31, (2), 113-140 Downloads View citations (22)

2007

  1. Determinants of S&P 500 index option returns
    Review of Derivatives Research, 2007, 10, (1), 1-38 Downloads View citations (2)

2005

  1. Informational Content of Option Volume Prior to Takeovers
    The Journal of Business, 2005, 78, (3), 1073-1109 Downloads View citations (89)
    See also Working Paper (2003)

2004

  1. Does Insider Trading Impair Market Liquidity? Evidence from IPO Lockup Expirations
    Journal of Financial and Quantitative Analysis, 2004, 39, (1), 25-46 Downloads View citations (32)

2001

  1. Share repurchase tender offers and bid-ask spreads
    Journal of Banking & Finance, 2001, 25, (3), 445-478 Downloads View citations (5)

2000

  1. Do Call Prices and the Underlying Stock Always Move in the Same Direction?
    Review of Financial Studies, 2000, 13, (3), 549-84 View citations (56)
    See also Working Paper (1999)
  2. Evolution of Transitory Volatility over the Week
    Annals of Economics and Finance, 2000, 1, (1), 49-77 Downloads
  3. Price Discovery without Trading: Evidence from the Nasdaq Preopening
    Journal of Finance, 2000, 55, (3), 1339-1365 Downloads View citations (67)
  4. Pricing and hedging long-term options
    Journal of Econometrics, 2000, 94, (1-2), 277-318 Downloads View citations (76)
    See also Working Paper (1998)

1998

  1. Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities
    Journal of Financial Markets, 1998, 1, (1), 51-87 Downloads View citations (38)

1997

  1. Does the Specialist Matter? Differential Execution Costs and Intersecurity Subsidization on the New York Stock Exchange
    Journal of Finance, 1997, 52, (4), 1615-40 Downloads View citations (15)
  2. Empirical Performance of Alternative Option Pricing Models
    Journal of Finance, 1997, 52, (5), 2003-49 Downloads View citations (639)
    See also Working Paper (1997)

1996

  1. Tick Size, Spread, and Volume
    Journal of Financial Intermediation, 1996, 5, (1), 2-22 Downloads View citations (46)

1992

  1. Inequality Constraints in the Univariate GARCH Model
    Journal of Business & Economic Statistics, 1992, 10, (2), 229-35 View citations (181)
  2. Nonlinear Time-Series Analysis of Stock Volatilities
    Journal of Applied Econometrics, 1992, 7, (S), S165-85 Downloads View citations (33)
 
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