Charles Cao

Department	Finance
Position	Emeritus
PSU profile	https://directory.smeal.psu.edu/qxc2
OpenAlex	A5103750423
Works (OpenAlex)	95
Citations	9022
h-index	33
Match confidence	high

Top works

• Empirical Performance of Alternative Option Pricing Models (1997) - The Journal of Finance - cites: 2709
• Empirical Performance of Alternative Option Pricing Models (1997) - The Journal of Finance - cites: 1073
• Inequality Constraints in the Univariate GARCH Model (1992) - Journal of Business and Economic Statistics - cites: 502
• Informational content of option volume prior to takeovers (2005) - The HKU Scholars Hub (University of Hong Kong) - cites: 430
• Can Growth Options Explain the Trend in Idiosyncratic Risk? (2006) - Review of Financial Studies - cites: 368
• Can hedge funds time market liquidity? (2013) - Journal of Financial Economics - cites: 315
• The information content of an open limit‐order book (2008) - Journal of Futures Markets - cites: 268
• Pricing and hedging long-term options (2000) - Journal of Econometrics - cites: 263
• Price Discovery without Trading: Evidence from the Nasdaq Preopening (2000) - The Journal of Finance - cites: 243
• The information content of option-implied volatility for credit default swap valuation (2010) - Journal of Financial Markets - cites: 234
• Inequality Constraints in the Univariate GARCH Model (1992) - Journal of Business and Economic Statistics - cites: 215
• Do Call Prices and the Underlying Stock Always Move in the Same Direction? (2000) - Review of Financial Studies - cites: 201
• Tick Size, Spread, and Volume (1996) - Journal of Financial Intermediation - cites: 172
• Informational Content of Option Volume Prior to Takeovers (2005) - The Journal of Business - cites: 170
• Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities (1998) - Journal of Financial Markets - cites: 129
• Hedge Fund Holdings and Stock Market Efficiency (2015) - The Review of Asset Pricing Studies - cites: 126
• Does Insider Trading Impair Market Liquidity? Evidence from IPO Lockup Expirations (2004) - Journal of Financial and Quantitative Analysis - cites: 115
• The Information Content of Option-Implied Volatility for Credit Default Swap Valuation (2009) - SSRN Electronic Journal - cites: 99
• The Informational Content of an Open Limit Order Book (2004) - SSRN Electronic Journal - cites: 95
• Does the Specialist Matter? Differential Execution Costs and Intersecurity Subsidization on the New York Stock Exchange (1997) - The Journal of Finance - cites: 80
• Do mutual fund managers time market liquidity? (2012) - Journal of Financial Markets - cites: 77
• ORDER PLACEMENT STRATEGIES IN A PURE LIMIT ORDER BOOK MARKET (2008) - The Journal of Financial Research - cites: 73
• Hedge Funds and Stock Price Formation (2018) - Financial Analysts Journal - cites: 71
• Price Discovery Without Trading: Evidence from the NASDAQ Pre-Opening (1999) - - cites: 61
• Style drift: Evidence from small-cap mutual funds (2017) - Journal of Banking & Finance - cites: 56

Topics

Smeal co-authors

• Timothy T. Simin - 2 co-author work(s)
• Peter G. Iliev - 1 co-author work(s)