Cao, Charles Quanwei（曹泉偉）

Biography

Professor Charles Cao is the Yang Ju Mei Professor of Finance at the Chinese University of Hong Kong (CUHK) Business School. Before joining CUHK, he held The Smeal Chair Professor of Finance in the Smeal College of Business at the Pennsylvania State University. He also held chair professor positions at the Chinese University of Hong Kong-Shenzhen and Tsinghua University in the past.

He received his PhD in Finance from University of Chicago’s Graduate School of Business, MS from University of Kentucky, and BS from Peking University. Professor Cao’s research interests include FinTech, cryptocurrencies, hedge funds, mutual funds, derivative securities markets, and market microstructure.  His research has been published in a wide range of academic journals, including the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Management Science, Journal of Financial Markets, and Journal of Econometrics.

Professor Cao’s research has been recognised with several best paper awards, including The Graham and Dodd Award of Excellence, Best Paper Award on Capital Markets from CFA Society Toronto, and New York Stock Exchange Award for Best Paper in Equity Markets at WFA.

He won competitive research grants from the BNP Paribas Hedge Fund Center, the Real Estate Research Institute, the Q-group, Federal Deposit Insurance Corporation-FDIC, and Morgan Stanley. He serves (or has served) as an editor/associate editor of Pacific-Basin Finance Journal, an associate editor of Journal of Financial Markets, and Review of Derivatives Research.  He has taught undergraduate, MBA and PhD courses at the Smeal College of Business, Penn State University, CUHK-Shenzhen and Tsinghua University.

Teaching Areas

Investment
Derivatives Securities Markets
Asset Pricing

Research Interests

FinTech and Cryptocurrencies
Hedge Funds
Mutual Funds
Institutional Investment
Derivative Securities
Market Microstructures

• Publications & Working Papers
  • Charles Cao, Grant Farnsworth, and Hong Zhang (2021), “The Economics of Hedge Fund Startups: Theory and Empirical Evidence,” Journal of Finance, 76, 1427-1469.
  • Charles Cao, David Gempesaw, and Tim Simin (2021), “Information Choice, Uncertainty, and Expected Returns,” Review of Financial Studies, 34, 5977-6031.
  • Gurdip Bakshi, Charles Cao, and Ken Zhong (2021), “Assessing Models of Individual Equity Option Prices,” Review of Quantitative Finance and Accounting, 1-28.
  • Charles Cao, Tim Simin, and Han Xiao (2019), “Predicting the Equity Premium with the Implied Volatility Spread,” Journal of Financial Markets,  1-17.
  • Charles Cao, Matthew Gustafson, and Raisa Velthuis (2018), “Index Membership and Small Firm Financing,” Management Science, 8, 1-23.
  • Charles Cao, Yong Chen, William Goetzmann, and Bing Liang (2018), “Hedge Funds and Stock Price Formation,” Financial Analysts Journal, 3, 54-68. 
  • Charles Cao, David Gempesaw, and Tim Simin (2018), “The Decline of Informed Trading in the Equity and Options Markets,” Journal of Alternative Investments, 16-29.
  • Charles Cao, Bing Liang, Andrew Lo, and Lubomir Petrasek (2017), “Hedge Fund Holdings and Stock Market Efficiency,” Review of Asset Pricing Studies, 8, 77-116.
  • Charles Cao, Grant Farnsworth, Bing Liang, and Andrew Lo (2017), “Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform,” Management Science, 63, 2233-2250.
  • Charles Cao, Peter Iliev, and Raisa Velthuis (2017), “Style Drift: Evidence from Small-Cap Mutual Funds.” Journal of Banking and Finance, 78, 42-57.
  • Charles Cao, Bradley Goldie, Bing Liang, and Lubomir Petrasek (2016), “What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk Arbitrage Strategy,” Journal of Financial and Quantitative Analysis, 51, 929-957.
  • Charles Cao, Brent Ambrose, and Walter D’Lima (2016), “Real Estate Risk and Hedge Fund Returns,” Journal of Real Estate, Finance and Economics, 52, 197-225.
  • Charles Cao and Lubomir Petrasek (2014), “Liquidity Risk and Institutional Ownership,” Journal of Financial Markets, 21, 76-97.
  • Charles Cao and Lubomir Petrasek (2014), “Liquidity Risk in Stock Returns: An Event-study Perspective,” Journal of Banking and Finance, 45, 72-83.
  • Charles Cao, Yong Chen, Bing Liang, and Andrew Lo (2013), “Can Hedge Funds Time Market Liquidity?” Journal of Financial Economics, 109, 493-516.
  • Charles Cao, Tim Simin, and Ying Wang (2013), “Do Mutual Fund Managers Time Market Liquidity?” Journal of Financial Markets, 16, 279-307.
  • Charles Cao, Fan Yu, and Ken Zhong (2011), “Pricing Credit Default Swaps with Option-Implied Volatility,” Financial Analysts Journal, 67, 67-76.
  • Charles Cao, Eric Ghysels, and Frank Hatheway (2011), “Derivatives do Affect Mutual Fund Returns: Evidence from the Financial Crisis of 1998,” Journal of Futures Markets, 31, 629-658.
  • Charles Cao, Fan Yu, and Ken Zhong (2010), “The Information Content of Option-Implied Volatility for Credit Default Swap Valuation,” Journal of Financial Markets, 13, 321-343.
  • Charles Cao, Tim Simin, and Jing Zhao (2008), “Can Growth Options Explain the Trend in Idiosyncratic Risk?” Review of Financial Studies, 21, 2599-2633.
  • Charles Cao, Eric Chang, and Ying Wang (2008), “An Empirical Analysis of the Dynamic Relationship between Mutual Fund Flow and Market Return Volatility,” Journal of Banking and Finance, 32, 2111-2123.
  • Charles Cao, Oliver Hanscah, and Xiaoxin Wang (2008), “The Information Content of an Open Limit Order Book,” Journal of Futures Markets, 29, 16-41.
  • Charles Cao, Oliver Hansch, and Xiaoxin Wang (2008), “Order Placement Strategies in a Pure Limit Order Book Market,” Journal of Financial Research, 31, 113-140.
  • Charles Cao and Jingzhi Huang (2008), “Determinants of S&P 500 Index Option Returns,” Review of Derivatives Research, 10, 1-38.
  • Charles Cao, Zhiwu Chen, and John Griffin (2005), “Informational Content of Option Volume Prior to Takeovers,” Journal of Business, 78, 1073-1109.
  • Charles Cao, Haitiao Li, and Fan Yu (2005), “Is Investor Misreaction Economically Significant? Evidence from Short- and Long-term Index Options,” Journal of Futures Markets, 25, 717-752.
  • Charles Cao, Laura Field, and Gordon Hanka (2004), “Does Insider Trading Impair Market Liquidity: Evidence from IPO Lockup Expirations,” Journal of Financial and Quantitative Analysis, 39, 25-46.
  • Charles Cao, Heejoon Ahn, and Hyuk Choe (2001), “Share Repurchase Tender Offers and Bid-Ask Spreads,” Journal of Banking and Finance, 25, 445-478.
  • Charles Cao, Eric Ghysels, and Frank Hatheway (2000), “Price Discovery without Trading: Evidence from Nasdaq Pre-opening,” Journal of Finance, 56, 1339-1365.
  • Gurdip Bakshi, Charles Cao, and Zhiwu Chen (2000), “Do Call Prices and the Underlying Stock Always Move in the Same Direction?” Review of Financial Studies, 13, 549-584.
  • Gurdip Bakshi, Charles Cao, and Zhiwu Chen (2000), “Pricing and Hedging Long-Term Options,” Journal of Econometrics, 94, 277-318.
  • Gurdip Bakshi, Charles Cao, and Zhiwu Chen (1997), “Empirical Performance of Alternative Option Pricing Models,” Journal of Finance, 52, 2003-2049.
  • Charles Cao, Hyuk Choe, and Frank Hatheway (1997), “Does the Specialist Matter? Differential Execution Costs and Inter-Security Subsidization on the NYSE,” Journal of Finance, 52, 1615-1640.
  • Charles Cao, Heejoon Ahn, and Hyuk Choe (1998), “Decimalization and Competition Among Exchanges: Evidence from the Toronto Stock Exchange Cross-listed Securities,” Journal of Financial Markets, 1998, 51-87.
  • Charles Cao and Hyuk Choe (1997), “Evolution of Transitory Volatility over the Week,” Annals of Economics and Finance, 1997, 49-78.
  • Charles Cao, Hyuk Choe, and Frank Hatheway (1997), “What is Special about the Opening: Evidence from NASDAQ,” Seoul Journal of Business, 1997, 1-36.
  • Charles Cao, Heejoon Ahn, and Hyuk Choe (1996), “Tick Size, Spread and Volume,” Journal of Financial Intermediation, 5, 2-22.
  • Charles Cao and Ruey Tsay (1992), “Nonlinear Time Series Analysis of Stock Return Volatility,” Journal of Applied Econometrics, 7, 165-185.
  • Charles Cao and Daniel Nelson (1992), “Inequality Constraints in the Univariate GARCH Model,” Journal of Business & Economic Statistics, 10, 229-235.

• Awards & Honours
  • The Graham and Dodd Award of Excellence, 2018
  • Best Paper Award on Capital Markets, CFA Society Toronto, NFA, 2013
  • New York Stock Exchange Award for Best Paper in Equity Markets, WFA, 1999
  • Competitive Paper Award in Financial Institutions, FMA, 1996

• Academic/Professional Services
  • Editorial Board Member, Pacific-Basin Finance Journal, 2016-Present
  • Co-Editor, Pacific-Basin Finance Journal, 2009-2016
  • Associate Editor, Review of Derivatives Research, 2007-Present
  • Associate Editor, Review of Quantitative Finance and Accounting, 2006-Present
  • Associate Editor, Pacific-Basin Finance Journal, 2006-2008
  • Associate Editor, Journal of Financial Markets, 2000-Present