Charles Cao
Cited by
Cited by
Empirical performance of alternative option pricing models
G Bakshi, C Cao, Z Chen
The Journal of finance 52 (5), 2003-2049, 1997
Inequality constraints in the univariate GARCH model
DB Nelson, CQ Cao
Journal of Business & Economic Statistics 10 (2), 229-235, 1992
Informational content of option volume prior to takeovers
C Cao, Z Chen, JM Griffin
The Journal of Business 78 (3), 1073-1109, 2005
The information content of an open limit‐order book
C Cao, O Hansch, X Wang
Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2009
Can growth options explain the trend in idiosyncratic risk?
C Cao, T Simin, J Zhao
The Review of Financial Studies 21 (6), 2599-2633, 2008
Pricing and hedging long-term options
G Bakshi, C Cao, Z Chen
Journal of Econometrics 94 (1-2), 277-318, 2000
Can hedge funds time market liquidity?
C Cao, Y Chen, B Liang, AW Lo
Journal of Financial Economics 109 (2), 493-516, 2013
Price discovery without trading: Evidence from the Nasdaq preopening
C Cao, E Ghysels, F Hatheway
The Journal of Finance 55 (3), 1339-1365, 2000
The information content of option-implied volatility for credit default swap valuation
C Cao, F Yu, Z Zhong
Journal of financial markets 13 (3), 321-343, 2010
Nonlinear time‐series analysis of stock volatilities
CQ Cao, RS Tsay
Journal of Applied Econometrics 7 (S1), S165-S185, 1992
Tick size, spread, and volume
HJ Ahn, CQ Cao, H Choe
Journal of Financial Intermediation 5 (1), 2-22, 1996
Do call prices and the underlying stock always move in the same direction?
G Bakshi, C Cao, Z Chen
The Review of Financial Studies 13 (3), 549-584, 2000
Does insider trading impair market liquidity? Evidence from IPO lockup expirations
C Cao, LC Field, G Hanka
Journal of Financial and Quantitative Analysis 39 (1), 25-46, 2004
Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities
HJ Ahn, CQ Cao, H Choe
Journal of Financial Markets 1 (1), 51-87, 1998
An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility
C Cao, EC Chang, Y Wang
Journal of Banking & Finance 32 (10), 2111-2123, 2008
Hedge fund holdings and stock market efficiency
C Cao, B Liang, AW Lo, L Petrasek
The Review of Asset Pricing Studies 8 (1), 77-116, 2018
Do mutual fund managers time market liquidity?
C Cao, TT Simin, Y Wang
Journal of Financial Markets 16 (2), 279-307, 2013
Does the specialist matter? Differential execution costs and intersecurity subsidization on the New York Stock Exchange
C Cao, H Choe, F Hatheway
The Journal of Finance 52 (4), 1615-1640, 1997
Order placement strategies in a pure limit order book market
C Cao, O Hansch, X Wang
Journal of Financial Research 31 (2), 113-140, 2008
Hedge funds and stock price formation
C Cao, Y Chen, WN Goetzmann, B Liang
Financial Analysts Journal 74 (3), 54-68, 2018
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