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D-Index & Metrics

Economics and Finance

D-Index
34
Citations
11752
World Ranking
2992
National Ranking
1647

Overview

Charles Cao is affiliated with Pennsylvania State University in the United States. Their scholarly work predominantly intersects the fields of Economics, Econometrics and Finance as well as Business, Management and Accounting. Within these broad areas, their research contributions focus primarily on Finance, Accounting, and Economics and Econometrics, with additional work extending to Emergency Medical Services and Radiology, Nuclear Medicine and Imaging.

The main themes of Charles Cao's research encompass Financial Markets and Investment Strategies, Corporate Finance and Governance, and Stochastic Processes and Financial Applications. Other significant topics include Market Dynamics and Volatility, Complex Systems and Time Series Analysis, Financial Literacy, Pension and Retirement Analysis, and Capital Investment and Risk Analysis.

Charles Cao has an extensive publication record, contributing articles to various academic journals. Frequent publication venues for their work include:

  • SSRN Electronic Journal
  • Journal of Financial Markets
  • Review of Quantitative Finance and Accounting
  • Review of Financial Studies
  • The Journal of Finance

Selected recent papers authored by Charles Cao illustrate the range and depth of their research interests:

  • "Predicting the equity premium with the implied volatility spread," 2020, Journal of Financial Markets
  • "Information Choice, Uncertainty, and Expected Returns," 2020, Review of Financial Studies
  • "The Economics of Hedge Fund Startups: Theory and Empirical Evidence," 2021, The Journal of Finance
  • "Liquidity Characteristics of Market Anomalies and Institutional Trading," 2020, SSRN Electronic Journal

Charles Cao also has published collaborative work such as "Assessing models of individual equity option prices," 2021, in the Review of Quantitative Finance and Accounting.

The researcher frequently collaborates with others in the field. Prominent co-authors include:

  • Timothy T. Simin
  • Xiao Han
  • Gurdip Bakshi
  • Zhaodong Zhong

Best Publications

  • Empirical Performance of Alternative Option Pricing Models

    Gurdip Bakshi;Charles Cao;Zhiwu Chen

  • Inequality Constraints in the Univariate GARCH Model

    Daniel B. Nelson;Charles Q. Cao

  • Empirical Performance of Alternative Option Pricing Models

    Zhiwu Chen;Zhiwu Chen;Charles Cao;Gurdip Bakshi

  • Informational Content of Option Volume Prior to Takeovers

    Charles Cao;Zhiwu Chen;John M. Griffin

  • The information content of an open limit‐order book

    Charles Cao;Oliver Hansch;Xiaoxin Wang

  • Can Growth Options Explain the Trend in Idiosyncratic Risk

    Charles Cao;Timothy Simin;Jing Zhao

  • Pricing and hedging long-term options

    Gurdip Bakshi;Charles Cao;Zhiwu Chen

  • Can hedge funds time market liquidity

    Charles Cao;Yong Chen;Bing Liang;Andrew W. Lo

  • The information content of option-implied volatility for credit default swap valuation

    Charles Cao;Fan Yu;Zhaodong Zhong

  • Price Discovery without Trading: Evidence from the Nasdaq Preopening

    Charles Cao;Eric Ghysels;Frank Hatheway

  • Nonlinear time-series analysis of stock volatilities

    C. Q. Cao;R. S. Tsay

  • Tick Size, Spread, and Volume

    Hee Joon Ahn;Charles Q. Cao;Hyuk Choe

  • Do Call Prices and the Underlying Stock Always Move in the Same Direction

    Gurdip Bakshi;Charles Cao;Zhiwu Chen

  • Inequality Constraints in the Univariate GARCH Model

    Unknown

  • Does Insider Trading Impair Market Liquidity? Evidence from IPO Lockup Expirations

    Charles Cao;Laura Casares Field;Gordon Hanka

  • Informational Content of Option Volume Prior to Takeovers

    Charles Cao;John M. Griffin;Zhiwu Chen;Zhiwu Chen

  • Hedge fund holdings and stock market efficiency

    Charles Cao;Bing Liang;Andrew W. Lo;Lubomir Petrasek

  • Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities

    Hee Joon Ahn;Charles Q. Cao;Hyuk Choe

  • An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility

    Charles Cao;Eric C. Chang;Ying Wang

  • The Informational Content of an Open Limit Order Book

    Charles Cao;Oliver Hansch;Xiaoxin Wang Beardsley

  • Price Discovery Without Trading: Evidence from the NASDAQ Pre-Opening

    Charles Cao;Eric Ghysels;Frank Hatheway

Frequent Co-Authors

Gurdip Bakshi
Gurdip Bakshi Temple University
Bing Liang
Bing Liang University of Massachusetts Amherst
Eric Ghysels
Eric Ghysels University of North Carolina at Chapel Hill
John M. Griffin
John M. Griffin The University of Texas at Austin
William N. Goetzmann
William N. Goetzmann Yale University
Brent W. Ambrose
Brent W. Ambrose Pennsylvania State University
Eric C. Chang
Eric C. Chang Shanghai Jiao Tong University
Guofu Zhou
Guofu Zhou Washington University in St. Louis
David E. Rapach
David E. Rapach Saint Louis University

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