Bio of Charles Cao

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	Charles Cao
	Smeal Chair Professor in Finance Department: Finance Office: 338 Business Building Phone: 814-865-7891 Fax: E-mail: charles@loki.smeal.psu.edu Member of Faculty Since: 1993

Personal Homepage:

http://www.personal.psu.edu/qxc2/cao.html

Introduction

Charles Cao is the David McKinley Professor of Business Administration at the Department of Finance, the Smeal College of Business at the Pennsylvania State University. He received his Ph.D. in Finance from the University of Chicago's Graduate School of Business in 1993, M.S. from the University of Kentucky in 1988, and B.S. from Peking University in 1984.

Professor Cao was selected Fellow of the FDIC Center for Financial Research in 2006 and won research grants from FDIC and Morgan Stanley. He serves as an associate editor of Journal of Financial Markets, Review of Quantitative Finance and Accounting, Pacific-Basin Finance Journal, and Annals of Economics and Finance. He has taught M.B.A. and Ph.D. courses at the Smeal College of Business, Penn State University. He also served as program co-chairs of 2005 and 2006 China International Conference in Finance sponsored by Tsinghua University and Sloan School of Management, MIT.

Current Research

Professor Cao's research interests include derivative securities markets, market microstructure, credit risk, mutual funds and hedge funds. His research has been published in a wide range of academic journals, including Journal of Finance, Review of Financial Studies, Journal of Business, Journal of Financial and Quantitative Analysis, Journal of Financial Markets, Journal of Econometrics and Journal of Financial Intermediation. His paper ``Price Discovery without Trading: Evidence from Nasdaq Pre-opening'' (co-authored with Eric Ghysels and Frank Hatheway) received the New York Stock Exchange Award for Best Paper on Equity Trading at Western Finance Association Meetings in 1999.

Last Updated: 8/30/2006

Expertise

Derivative Securities
Market Microstructure
Mutual Funds and Hedge Funds
Credit Risk

Publication List

Charles Cao, Tim Simin and Jing Zhao, "Can Growth Options Explain the Trend in Idiosyncratic Risk?",  Review of Financial Studies, Forthcoming.

Charles Cao, Zhiwu Chen and John Griffin, "Informational Content of Option Volume Prior to Takeovers",  Journal of Business, January 2005, pp 1073-1109.

Charles Cao, Laura Field and Gordon Hanka, "Does Insider Trading Impair Market Liquidity: Evidence From IPO Lockup Expirations",  Journal of Financial and Quantitative Analysis, January 2004, pp 25-46.

Heejoon Ahn, Charles Cao and Hyuk Choe, "Share Repurchase Tender Offers and Bid-Ask Spreads",  Journal of Banking and Finance, January 2001, pp 445-478.

Gurdip Bakshi, Charles Cao and Zhiwu Chen, "Pricing and Hedging Long-Term Options",  Journal of Econometrics, January 2000, pp 277-318.

Gurdip Bakshi, Charles Cao and Zhiwu Chen, "Do Call Prices and the Underlying Stock Always Move in the Same Direction?",  Review of Financial Studies, January 2000, pp 549-584.

Charles Cao, Eric Ghysels and Frank Hatheway, "Price Discovery without Trading: Evidence from Nasdaq Pre-opening",  Journal of Finance, January 2000, pp 1339-1365.

Heejoon Ahn, Charles Cao and Hyuk Choe, "Decimalization and Competition Among Exchanges: Evidence from the Toronto Stock Exchange Cross-listed Securities",  Journal of Financial Markets, January 1998, pp 51-87.

Charles Cao, Hyuk Choe and Frank Hatheway, "`Does the Specialist Matter? Differential Execution Costs and Inter-Security Subsidization on the NYSE",  Journal of Finance, January 1997, pp 1615-1640.

Gurdip Bakshi, Charles Cao and Zhiwu Chen, "Empirical Performance of Alternative Option Pricing Models",  Journal of Finance, January 1997, 2003-2049.

Heejoon Ahn, Charles Cao and Hyuk Choe, "Tick Size, Spread and Volume",  Journal of Financial Intermediation, January 1996, pp 2-22.

Charles Cao and Daniel Nelson, "Inequality Constraints in the Univariate GARCH Model",  Journal of Business & Economic Statistics, January 1992, pp 229-235.

Editorship

Associate Editor, Journal of Financial Markets, 2000--Present
Associate Editor, Review of Quantitative Finance and Accounting, 2006--Present
Associate Editor, Pacific-Basin Finance Journal, 2006--Present
Associate Editor, Annals of Economics and Finance, 2000--Present

Education

Ph.D. , Finance, University of Chicago,  2003 
M.S., Statistics, University of Kentucky,  1998 
B.S., Mathematics, Peking University,  1984 

Courses

Fin. 585, Financial Innovation in Portfolio/Risk Management (MBA)
Fin. 561, Theory of Financial Decisions (Ph.D.)
Fin. 410, Derivative Securities (Undergraduate)
Fin. 571, Advanced Topics on Derivative Securities (Ph.D.)
Fin. 306, Investments (Undergraduate)