Details about Charles Quanwei Cao

Access statistics for papers by Charles Quanwei Cao.

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

Short-id: pca1069

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.)

2011

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

2003

3. Informational Content of Option Volume Prior to Takeovers
   Yale School of Management Working Papers, Yale School of Management View citations (4)
   See also Journal Article Informational Content of Option Volume Prior to Takeovers, The Journal of Business, University of Chicago Press (2005) View citations (156) (2005)

2001

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

1999

5. Do Call Prices and the Underlying Stock Always Move in the Same Direction?
   Yale School of Management Working Papers, Yale School of Management View citations (1)
   See also Journal Article Do Call Prices and the Underlying Stock Always Move in the Same Direction?, The Review of Financial Studies, Society for Financial Studies (2000) View citations (77) (2000)

1998

6. Pricing and Hedging Long-Term Options
   Yale School of Management Working Papers, Yale School of Management View citations (9)
   See also Journal Article Pricing and hedging long-term options, Journal of Econometrics, Elsevier (2000) View citations (86) (2000)
7. Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening
   CIRANO Working Papers, CIRANO View citations (2)

1997

8. Empirical Performance of Alternative Option Pricing Models
   Yale School of Management Working Papers, Yale School of Management View citations (872)
   Also in Yale School of Management Working Papers, Yale School of Management (1997) View citations (869)
   See also Journal Article Empirical Performance of Alternative Option Pricing Models, Journal of Finance, American Finance Association (1997) View citations (868) (1997)

Journal Articles

2013

1. Can hedge funds time market liquidity?
   Journal of Financial Economics, 2013, 109, (2), 493-516 View citations (106)
2. Do mutual fund managers time market liquidity?
   Journal of Financial Markets, 2013, 16, (2), 279-307 View citations (38)

2010

3. The information content of option-implied volatility for credit default swap valuation
   Journal of Financial Markets, 2010, 13, (3), 321-343 View citations (112)

2008

4. An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility
   Journal of Banking & Finance, 2008, 32, (10), 2111-2123 View citations (50)
5. Can Growth Options Explain the Trend in Idiosyncratic Risk?
   The Review of Financial Studies, 2008, 21, (6), 2599-2633 View citations (105)
6. ORDER PLACEMENT STRATEGIES IN A PURE LIMIT ORDER BOOK MARKET
   Journal of Financial Research, 2008, 31, (2), 113-140 View citations (29)

2007

7. Determinants of S&P 500 index option returns
   Review of Derivatives Research, 2007, 10, (1), 1-38 View citations (5)

2005

8. Informational Content of Option Volume Prior to Takeovers
   The Journal of Business, 2005, 78, (3), 1073-1109 View citations (156)
   See also Working Paper Informational Content of Option Volume Prior to Takeovers, Yale School of Management Working Papers (2003) View citations (4) (2003)

2004

9. Does Insider Trading Impair Market Liquidity? Evidence from IPO Lockup Expirations
   Journal of Financial and Quantitative Analysis, 2004, 39, (1), 25-46 View citations (43)

2001

10. Share repurchase tender offers and bid-ask spreads
    Journal of Banking & Finance, 2001, 25, (3), 445-478 View citations (7)

2000

11. Do Call Prices and the Underlying Stock Always Move in the Same Direction?
    The Review of Financial Studies, 2000, 13, (3), 549-84 View citations (77)
    See also Working Paper Do Call Prices and the Underlying Stock Always Move in the Same Direction?, Yale School of Management Working Papers (1999) View citations (1) (1999)
12. Evolution of Transitory Volatility over the Week
    Annals of Economics and Finance, 2000, 1, (1), 49-77
13. Price Discovery without Trading: Evidence from the Nasdaq Preopening
    Journal of Finance, 2000, 55, (3), 1339-1365 View citations (111)
14. Pricing and hedging long-term options
    Journal of Econometrics, 2000, 94, (1-2), 277-318 View citations (86)
    See also Working Paper Pricing and Hedging Long-Term Options, Yale School of Management Working Papers (1998) View citations (9) (1998)

1998

15. Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities
    Journal of Financial Markets, 1998, 1, (1), 51-87 View citations (48)

1997

16. Does the Specialist Matter? Differential Execution Costs and Intersecurity Subsidization on the New York Stock Exchange
    Journal of Finance, 1997, 52, (4), 1615-40 View citations (23)
17. Empirical Performance of Alternative Option Pricing Models
    Journal of Finance, 1997, 52, (5), 2003-49 View citations (868)
    See also Working Paper Empirical Performance of Alternative Option Pricing Models, Yale School of Management Working Papers (1997) View citations (872) (1997)

1996

18. Tick Size, Spread, and Volume
    Journal of Financial Intermediation, 1996, 5, (1), 2-22 View citations (59)

1992

19. Inequality Constraints in the Univariate GARCH Model
    Journal of Business & Economic Statistics, 1992, 10, (2), 229-35 View citations (229)
20. Nonlinear Time-Series Analysis of Stock Volatilities
    Journal of Applied Econometrics, 1992, 7, (S), S165-85 View citations (48)