Details about Jie Cao

Access statistics for papers by Jie Cao.

Last updated 2026-07-20. Update your information in the RePEc Author Service.

Short-id: pca1805

Working Papers

2024

1. Opioid Crisis and Firm Downside Tail Risks: Evidence from the Option Market
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)

2021

2. Unlocking ESG Premium from Options
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)

2020

3. ESG Preference, Institutional Trading, and Stock Return Patterns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
   See also Journal Article ESG Preference, Institutional Trading, and Stock Return Patterns, Journal of Financial and Quantitative Analysis, Cambridge University Press (2023) View citations (24) (2023)

2019

4. Implied Volatility Changes and Corporate Bond Returns
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article Implied Volatility Changes and Corporate Bond Returns, Management Science, INFORMS (2023) View citations (8) (2023)
5. Option Trading and Stock Price Informativeness
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)
   See also Journal Article Options Trading and Stock Price Informativeness, Journal of Financial and Quantitative Analysis, Cambridge University Press (2024) View citations (7) (2024)

Journal Articles

2026

1. Beyond Green: Impacts of Green Bond Issuance on Conventional Bonds in China
   Asian Economic Policy Review, 2026, 21, (1), 72-82 View citations (1)
2. Carbon Emissions, Mutual Fund Trading, and the Liquidity of Corporate Bonds
   Management Science, 2026, 72, (3), 1959-1986
3. Greenness in the Eye of Bond Short Sellers
   International Review of Finance, 2026, 26, (2)

2025

4. Smart beta, “smarter” flows
   Journal of Empirical Finance, 2025, 81, (C)

2024

5. Options Trading and Stock Price Informativeness
   Journal of Financial and Quantitative Analysis, 2024, 59, (4), 1516-1540 View citations (7)
   See also Working Paper Option Trading and Stock Price Informativeness, Swiss Finance Institute Research Paper Series (2019) View citations (3) (2019)

2023

6. ESG Preference, Institutional Trading, and Stock Return Patterns
   Journal of Financial and Quantitative Analysis, 2023, 58, (5), 1843-1877 View citations (24)
   See also Working Paper ESG Preference, Institutional Trading, and Stock Return Patterns, NBER Working Papers (2020) View citations (9) (2020)
7. Implied Volatility Changes and Corporate Bond Returns
   Management Science, 2023, 69, (3), 1375-1397 View citations (8)
   See also Working Paper Implied Volatility Changes and Corporate Bond Returns, Swiss Finance Institute Research Paper Series (2019) (2019)
8. Option price implied information and REIT returns
   Journal of Empirical Finance, 2023, 71, (C), 13-28 View citations (4)
9. The return predictability of carbon emissions: Evidence from Hong Kong and Singapore
   Pacific-Basin Finance Journal, 2023, 82, (C) View citations (3)
10. Why Does Volatility Uncertainty Predict Equity Option Returns?
    Quarterly Journal of Finance (QJF), 2023, 13, (01), 1-35 View citations (4)

2022

11. Option Return Predictability
    The Review of Financial Studies, 2022, 35, (3), 1394-1442 View citations (22)

2021

12. The Calendar Effects of the Idiosyncratic Volatility Puzzle: A Tale of Two Days?
    Management Science, 2021, 67, (12), 7866-7887 View citations (5)

2019

13. Peer Effects of Corporate Social Responsibility
    Management Science, 2019, 65, (12), 5487-5503 View citations (182)

2017

14. Institutional Investment Constraints and Stock Prices
    Journal of Financial and Quantitative Analysis, 2017, 52, (2), 465-489 View citations (16)

2016

15. Alliances and Return Predictability
    Journal of Financial and Quantitative Analysis, 2016, 51, (5), 1689-1717 View citations (27)
16. Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns
    Journal of Banking & Finance, 2016, 73, (C), 1-15 View citations (49)

2013

17. Cross section of option returns and idiosyncratic stock volatility
    Journal of Financial Economics, 2013, 108, (1), 231-249 View citations (79)

Undated

18. International diversification through iShares and their rivals
    Journal of Risk
19. On empirical likelihood option pricing
    Journal of Risk