Charles Quanwei Cao : Citation Profile

Are you Charles Quanwei Cao?

Tsinghua University (68% share)
Pennsylvania State University (32% share)

17

H index

17

i10 index

2026

Citations

RESEARCH PRODUCTION:

20

Articles

9

Papers

RESEARCH ACTIVITY:

   22 years (1992 - 2014). See details.
   Cites by year: 92
   Journals where Charles Quanwei Cao has often published
   Relations with other researchers
   Recent citing documents: 204.    Total self citations: 5 (0.25 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca1069
   Updated: 2023-01-08    RAS profile: 2015-02-06    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Charles Quanwei Cao.

Is cited by:

Christoffersen, Peter (29)

Stentoft, Lars (16)

Rombouts, Jeroen (12)

Fengler, Matthias (11)

Renault, Eric (10)

Alexander, Carol (10)

Caporin, Massimiliano (10)

Bollerslev, Tim (9)

Pelizzon, Loriana (9)

Wu, Liuren (9)

Sentana, Enrique (9)

Cites to:

Pedersen, Lasse (9)

Lee, Charles (8)

Chen, Zhiwu (7)

Stambaugh, Robert (7)

merton, robert (6)

Bollerslev, Tim (6)

Ang, Andrew (6)

Mitchell, Mark (5)

Newey, Whitney (5)

Ready, Mark (5)

West, Kenneth (5)

Main data

Where Charles Quanwei Cao has published?

Journals with more than one article published# docs
Journal of Financial Markets3
Journal of Finance3
Review of Financial Studies2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Yale School of Management Working Papers / Yale School of Management5
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Charles Quanwei Cao (2022 and 2021)

YearTitle of citing document
2021An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413.

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2021Hedging with Neural Networks. (2020). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:2004.08891.

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2022A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2021On the RND under Hestons stochastic volatility model. (2021). Boukai, Ben. In: Papers. RePEc:arx:papers:2101.03626.

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2021Perpetual callable American volatility options in a mean-reverting volatility model. (2021). Liu, Hsuan-Ku. In: Papers. RePEc:arx:papers:2104.01127.

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2021Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455.

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2021The Generalized Gamma distribution as a useful RND under Hestons stochastic volatility model. (2021). Boukai, Ben. In: Papers. RePEc:arx:papers:2108.07937.

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2021Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

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2021Pricing S&P 500 Index Options with L\evy Jumps. (2021). Liang, Nan ; Xie, Bin. In: Papers. RePEc:arx:papers:2111.10033.

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2022Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308.

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2022A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources. (2022). Durante, Fabrizio ; Gianfreda, Angelica ; Rossini, Luca ; Ravazzolo, Francesco. In: Papers. RePEc:arx:papers:2201.01132.

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2022Option Volume Imbalance as a predictor for equity market returns. (2022). Howison, Sam ; Cucuringu, Mihai ; Michael, Nikolas. In: Papers. RePEc:arx:papers:2201.09319.

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2022Are all Credit Default Swap Databases equal?. (2022). Mayordomo, Sergio ; Schwartz, Eduardo S ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02273.

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2022Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model. (2022). Ratnayake, Isuru ; Samaranayake, V A. In: Papers. RePEc:arx:papers:2202.03351.

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2022Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2022Hedging option books using neural-SDE market models. (2022). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2205.15991.

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2022Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217.

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2022Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Nibbering, Didier ; Maheu, John ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios. In: Papers. RePEc:arx:papers:2212.03471.

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2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20154.

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2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21154.

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2021Brexit: Cyclical dependence in market neutral hedge funds. (2021). Galvez, Julio ; Crego, Julio A. In: Working Papers. RePEc:bde:wpaper:2141.

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2021A composite indicator of sovereign bond market liquidity in the euro area. (2021). Taboga, Marco ; Poli, Riccardo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_663_21.

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2021Volatility Bursts: A discrete-time option model with multiple volatility components. (2021). Lilla, Francesca. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1336_21.

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2022Ofertas Públicas de Adquisición y su efecto sobre las rentabilidades en el mercado accionario: El caso de NUTRESA y SURA en Colombia. (2022). Parra-Amado, Daniel ; Melo-Velandia, Luis ; Orozco-Vanegas, Camilo Andres. In: Borradores de Economia. RePEc:bdr:borrec:1195.

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2022Misvaluation and the Asset Growth Anomaly. (2022). Lambertides, Neophytos. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:1:p:105-141.

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2021Implied volatility smirk in the Australian dollar market. (2021). Ruan, Xinfeng ; Zhang, Jin E ; Gehricke, Sebastian A. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4573-4599.

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2021Liquidity Formation and Preopening Periods in Financial Markets. (2021). Pouget, Sebastien ; Hong, Jieying. In: Economica. RePEc:bla:econom:v:88:y:2021:i:351:p:697-723.

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2022Shorting activity and stock return predictability: Evidence from a mandatory disclosure shock. (2022). Kim, Jeongbon ; Kalcheva, Ivalina ; Hong, Hyun A ; Griffin, Paul A. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:27-71.

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2022The role of credit default swaps in determining corporate payout policy. (2022). Oh, Frederick Dongchuhl ; Lee, Hwang Hee. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:2:p:635-661.

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2022Should hedge funds deviate from the benchmark?. (2022). Voukelatos, Nikolaos ; Panopoulou, Ekaterini. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:767-795.

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2021Informed options trading prior to insider trades. (2021). Li, Keming ; Hao, Qing. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:3:p:459-480.

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2022Dealers incentives to reveal their names. (2022). Karam, Arze. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:27-44.

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2022Disagreement between hedge funds and other institutional investors and the cross?section of expected stock returns. (2022). Sonaer, Gokhan ; Celiker, Umut ; Caglayan, Mustafa O. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:663-689.

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2021The Sarbanes?Oxley act and informed trading in the options market: Evidence from share repurchase announcements. (2021). Badshah, Ihsan ; Kolari, James ; Koerniadi, Hardjo. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:645-652.

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2022COVID?19 and hedge fund equity ownership. (2022). Singh, Amanjot ; Samarbakhsh, Laleh. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:2:p:356-364.

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2022Informed options trading prior to FDA announcements. (2022). Patel, Vinay. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:7-8:p:1211-1236.

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2022Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Journal of Common Market Studies. RePEc:bla:jcmkts:v:60:y:2022:i:4:p:1019-1046.

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2022Liquidity measurement: A comparative review of the literature with a focus on high frequency. (2022). Ekinci, Cumhur ; Guloglu, Zeynep Cobandag. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:1:p:41-74.

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2021The Economics of Hedge Fund Startups: Theory and Empirical Evidence. (2021). Zhang, Hong ; Farnsworth, Grant ; Cao, Charles. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:3:p:1427-1469.

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2021Sentiment Trading and Hedge Fund Returns. (2021). han, bing ; Chen, Yong ; Pan, Jing. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:4:p:2001-2033.

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2022Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence. (2022). Liu, Yan ; Harvey, Campbell R. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1921-1966.

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2022Informed trading of out?of?the?money options and market efficiency. (2022). Kim, Dong Hyun ; Kang, Changmo ; Lee, Geul. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:2:p:247-279.

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2021Option Trading and REIT Returns. (2021). Sheng, Hainan ; Harrison, David M ; Cashman, George D. In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:1:p:332-389.

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2022Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc. (2022). Hertrich, Markus. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:450-489.

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2022FX option volume. (2022). Wang, Tianyu ; Huang, Shiyang ; Della Corte, Pasquale ; Czech, Robert. In: Bank of England working papers. RePEc:boe:boeewp:0964.

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2021Risk modeling with option-implied correlations and score-driven dynamics. (2021). Herrera, Rodrigo ; Pia, Marco. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:932.

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2021A Simple Options Trading Strategy based on Technical Indicators. (2021). Carlier, Francesco. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2021-02-12.

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2021A novel air separation unit with energy storage and generation and its energy efficiency and economy analysis. (2021). Wang, LI ; Rehman, Ali ; Liu, Yunong ; He, Xiufen. In: Applied Energy. RePEc:eee:appene:v:281:y:2021:i:c:s0306261920314264.

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2021A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model. (2021). He, Xin-Jiang ; Lin, Sha. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:144:y:2021:i:c:s0960077920310353.

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2021Major shareholders’ trust and market risk: Substituting weak institutions with trust. (2021). Batten, Jonathan ; Aysan, Ahmet ; Chantziaras, Antonios ; Abdelsalam, Omneya. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302285.

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2021Outsourcing flexibility under financial constraints. (2021). Zhang, Xiaotian Tina ; Trigeorgis, Lenos ; Ju, Ming ; Choi, Jongmoo Jay. In: Journal of Corporate Finance. RePEc:eee:corfin:v:67:y:2021:i:c:s0929119921000109.

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2021CEO mobility and corporate policy risk. (2021). Korkeamaki, Timo ; Olak, Gonul. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921001590.

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2021Option-implied skewness: Insights from ITM-options. (2021). Schneider, Judith C ; Mohrschladt, Hannes. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001627.

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2022The stock implied volatility and the implied dividend volatility. (2022). Tunaru, Radu ; Quaye, Enoch. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002116.

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2021What determines volatility smile in China?. (2021). Lin, Yan ; Xian, Aichuan. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:326-335.

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2021Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach. (2021). Ravazzolo, Francesco ; GUPTA, RANGAN ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302291.

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2022Pricing vulnerable options with stochastic liquidity risk. (2022). Wang, Xingchun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940821002278.

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2022Does investor sentiment affect fund crashes? Evidence from Chinese open-end funds. (2022). Jiang, Shuyang ; Ma, Yuyin ; Li, Shouwei ; Wang, HU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000213.

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2021A novel explanation for idiosyncratic volatility anomaly: An asset decomposition perspective. (2021). Zhang, Qun ; Wan, Wei ; Chen, Yue ; Liu, Hao. In: Economics Letters. RePEc:eee:ecolet:v:206:y:2021:i:c:s0165176521002718.

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2021Closed-form implied volatility surfaces for stochastic volatility models with jumps. (2021). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:364-392.

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2022The Fama-French model for estimating the cost of equity capital: The impact of real options of investment projects. (2022). Zarzecki, Dariusz ; Urbaski, Stanisaw. In: Economic Systems. RePEc:eee:ecosys:v:46:y:2022:i:1:s0939362521000224.

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2021Option pricing with conditional GARCH models. (2021). Stentoft, Lars ; Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Rastegari, Javad. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:350-363.

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2021Option valuation under no-arbitrage constraints with neural networks. (2021). Zhai, Jia ; Liu, Xiaoquan ; Cao, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:361-374.

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2022Optimal liquidation problem in illiquid markets. (2022). Vecer, Jan ; Sadoghi, Amirhossein. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:3:p:1050-1066.

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2021On the prediction of financial distress in emerging markets: What matters more? Empirical evidence from Arab spring countries. (2021). Elbannan, Mona A. In: Emerging Markets Review. RePEc:eee:ememar:v:47:y:2021:i:c:s1566014121000145.

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2021Ability parity model for optimal fund allocation: Evidence from Chinas mutual fund markets. (2021). Ding, Yue ; Luo, Ronghua ; Liu, Yangyi. In: Emerging Markets Review. RePEc:eee:ememar:v:48:y:2021:i:c:s1566014121000121.

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2021Timing is money: The factor timing ability of hedge fund managers. (2021). , Remco ; Osinga, Albert Jakob. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:266-281.

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2021Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution. (2021). Rakowski, David ; Yamani, Ehab. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:247-271.

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2021Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data. (2021). Ewald, Christian-Oliver ; Zou, Yihan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:37-52.

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2022Non-marketability and one-day selling lockup. (2022). Wang, Jun ; Su, Tie ; Bian, Jiangze. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:1-23.

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2022Mispricing chasing and hedge fund returns. (2022). Tee, Kai-Hong ; Li, Baibing ; Ma, Tianyi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:34-49.

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2021Risk premia in electricity derivatives markets. (2021). Leccadito, Arturo ; Algieri, Bernardina ; Tunaru, Diana. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100205x.

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2022Oil uncertainty and firms risk-taking. (2022). Lu, Man ; Yin, Libo. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322001025.

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2022Chinas energy stock market jumps: To what extent does the COVID-19 pandemic play a part?. (2022). Wang, Qunwei ; Bi, Xiaoyi ; Dai, Xingyu ; Tong, Yuan. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001153.

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2021Electricity price modelling with stochastic volatility and jumps: An empirical investigation. (2021). Ignatieva, Katja ; Gudkov, Nikolay. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001651.

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2021The financial conglomerate discount: Insights from stock return skewness. (2021). Weissensteiner, Alex ; Bressan, Silvia. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000065.

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2021Trading off accuracy for speed: Hedge funds decision-making under uncertainty. (2021). Dragomirescu-Gaina, Catalin ; Tsionas, Mike G ; Philippas, Dionisis. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000715.

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2021Firm age and realized idiosyncratic return volatility in China: The role of short-sales constraints. (2021). Zhang, Qun ; Liu, Hao. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000879.

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2021Trump vs. Paris: The impact of climate policy on U.S. listed oil and gas firm returns and volatility. (2021). Gehricke, Sebastian A ; Diaz-Rainey, Ivan ; Zhang, Renzhu ; Roberts, Helen. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921000880.

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2021VCRIX — A volatility index for crypto-currencies. (2021). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Kim, Alisa. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002416.

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2022Timing the volatility risk of beta anomaly: Evidence from hedge fund strategies. (2022). Li, Baibing ; Tee, Kai-Hong ; Ma, Tianyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000667.

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2022An empirical evaluation of alternative fundamental models of credit spreads. (2022). Headley, Adrian ; Murphy, Austin. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000904.

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2022Flight-to-safety and retail investor behavior. (2022). Lehnert, Thorsten. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922001090.

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2022The liquidity and trading activity effects of acquisition payment methods: Evidence from the announcements of private firms acquisitions. (2022). Zhang, Zeyu ; Monaco, Eleonora ; Ibikunle, Gbenga ; Palumbo, Riccardo. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s105752192200148x.

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2022Hedge fund networks, information dissemination, and stock price comovement: Evidence from China. (2022). Zhu, Hongjun ; Xiao, Tusheng ; Wang, Xueding ; Li, Yihang. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922001855.

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2022Opening price manipulation and its value influences. (2022). Liu, Jia ; Yuan, Lin ; Wu, Chonglin. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002149.

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2022The information content of CDS implied volatility and associated trading strategies. (2022). Yan, Cheng ; Xu, Yaofei ; Guo, Biao ; Chen, Ding ; Shi, Yukun. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002502.

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2021Cokurtosis and the Ability of Mutual Fund Managers. (2021). Padungsaksawasdi, Chaiyuth ; Wattanatorn, Woraphon. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320315919.

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2021Asymmetric relationship between green bonds and commodities: Evidence from extreme quantile approach. (2021). TAGHIZADEH-HESARY, Farhad ; Ngo, Thanh ; Nepal, Rabindra ; Taghizadehhesary, Farhad ; Ha, Thi Thu ; Naeem, Muhammad Abubakr. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000647.

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2022Timing of tick size reduction: Threshold and smooth transition model analysis. (2022). Tabata, Tomoaki ; Maruyama, Hiroyuki. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002233.

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2022Can the portfolio excess growth rate explain the predictive power of idiosyncratic volatility?. (2022). Aldana-Galindo, Julian R ; Malagon, Juliana ; Mantilla-Garcia, Daniel . In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005286.

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2021Financial oligopolies and parallel exclusion in the credit default swap markets. (2021). Perrakis, Stylianos ; Zhong, Rui ; Kryzanowski, Lawrence. In: Journal of Financial Markets. RePEc:eee:finmar:v:56:y:2021:i:c:s1386418120300756.

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2022Options listings and loan contract terms: Information versus risk-shifting. (2022). Vu, Tram ; Truong, Cameron ; Do, Viet. In: Journal of Financial Markets. RePEc:eee:finmar:v:58:y:2022:i:c:s138641812100029x.

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2022Call auction design and closing price manipulation: Evidence from the Hong Kong stock exchange. (2022). Park, Seongkyu (Gilbert) ; Wan, Kam-Ming ; Suen, Wing. In: Journal of Financial Markets. RePEc:eee:finmar:v:58:y:2022:i:c:s1386418121000732.

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2022Price impact versus bid–ask spreads in the index option market. (2022). van Kervel, Vincent ; Seeger, Norman J ; Kaeck, Andreas. In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418121000550.

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2022Price discovery during parallel stocks and options preopening: Information distortion and hints of manipulation. (2022). Milo, Orit ; Kedar-Levy, Haim ; Hauser, Shmuel . In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418122000015.

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2021Short selling patterns in cross-listed stocks. (2021). Zurbruegg, Ralf ; Peranginangin, Yessy ; Mihaylov, George ; Li, Shan. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300545.

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2021Sovereign CDS and mutual funds: Global evidence. (2021). Vivian, Andrew ; Calice, Giovanni ; Alsubaiei, Bader J. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000731.

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2021Corporate social responsibility and the term structure of CDS spreads. (2021). Zhong, Zhaodong ; Wang, Xinjie ; Li, Yubin ; Gao, Feng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001232.

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More than 100 citations found, this list is not complete...

Works by Charles Quanwei Cao:

YearTitleTypeCited
1992Inequality Constraints in the Univariate GARCH Model. In: Journal of Business & Economic Statistics.
[Citation analysis]		article218
1997 Does the Specialist Matter? Differential Execution Costs and Intersecurity Subsidization on the New York Stock Exchange. In: Journal of Finance.
[Full Text][Citation analysis]		article20
1997 Empirical Performance of Alternative Option Pricing Models. In: Journal of Finance.
[Full Text][Citation analysis]		article795
1997Empirical Performance of Alternative Option Pricing Models.(1997) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 795		paper
1997Empirical Performance of Alternative Option Pricing Models.(1997) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 795		paper
2000Price Discovery without Trading: Evidence from the Nasdaq Preopening In: Journal of Finance.
[Full Text][Citation analysis]		article99
2008ORDER PLACEMENT STRATEGIES IN A PURE LIMIT ORDER BOOK MARKET In: Journal of Financial Research.
[Full Text][Citation analysis]		article26
2001Derivatives Do Affect Mutual Funds Returns : How and When? In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper0
1998Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper2
2000Evolution of Transitory Volatility over the Week In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article0
2004Does Insider Trading Impair Market Liquidity? Evidence from IPO Lockup Expirations In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article40
2000Pricing and hedging long-term options In: Journal of Econometrics.
[Full Text][Citation analysis]		article88
1998Pricing and Hedging Long-Term Options.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 88		paper
2010The information content of option-implied volatility for credit default swap valuation In: Journal of Financial Markets.
[Full Text][Citation analysis]		article102
2013Do mutual fund managers time market liquidity? In: Journal of Financial Markets.
[Full Text][Citation analysis]		article30
1998Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities In: Journal of Financial Markets.
[Full Text][Citation analysis]		article48
2001Share repurchase tender offers and bid-ask spreads In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article7
2008An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article46
2013Can hedge funds time market liquidity? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article86
1996Tick Size, Spread, and Volume In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article58
2011Liquidity risk and hedge fund ownership In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
2014Hedge fund holdings and stock market efficiency In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper9
1992Nonlinear Time-Series Analysis of Stock Volatilities. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article45
2007Determinants of S&P 500 index option returns In: Review of Derivatives Research.
[Full Text][Citation analysis]		article4
2000Do Call Prices and the Underlying Stock Always Move in the Same Direction? In: Review of Financial Studies.
[Citation analysis]		article72
1999Do Call Prices and the Underlying Stock Always Move in the Same Direction?.(1999) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 72		paper
2008Can Growth Options Explain the Trend in Idiosyncratic Risk? In: Review of Financial Studies.
[Full Text][Citation analysis]		article89
2005Informational Content of Option Volume Prior to Takeovers In: The Journal of Business.
[Full Text][Citation analysis]		article142
2003Informational Content of Option Volume Prior to Takeovers.(2003) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 142		paper

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