Cao, Jay J.（曹杰） BA (Peking U); MS, PhD (Texas at Austin)



Associate Professor
ContactDepartment of Finance

Room 1242, 12/F
Cheng Yu Tung Building
12 Chak Cheung Street
Shatin, N.T., Hong Kong

+852 3943 7757

jiecao@cuhk.edu.hk


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Curriculum Vitae

BiographyProf. Jie (Jay) Cao is an Associate Professor in Department of Finance, The Chinese University of Hong Kong (CUHK) Business School. He received his PhD in Finance from University of Texas at Austin in 2009 and BA in Economics from Peking University in 2002.
His research areas are empirical asset pricing, derivatives, and behavioural finance. His research specifically focuses on the return predictability and quantitative trading strategies using stocks and stock options. His papers are published or forthcoming in Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and Management Science. His works has been presented in major finance conferences such as American Finance Association annual meeting, Western Finance Association annual meeting, European Finance Association annual meeting, and The Financial Intermediation Research Society Conference, and conferences held by institutions such as Federal Deposit Insurance Corporation (FDIC), Deutsche Bank, and Macquarie Group.
He has also been invited by industry professionals for presentation such as Morgan Stanley, Two Sigma, Cubist Systematic Strategies, and Yinghua Fund Management. His papers have received many awards. He is the Principal Investigator of several Hong Kong competitive RGC grants and many other research grants from both academic and industry sponsors such as The Canadian Derivatives Institute (CDI).
He teaches undergraduate Investments, MSc Fixed income, and PhD Empirical Asset Pricing, and has received the Faculty Outstanding Teaching Award of CUHK. He has also provided consulting services for several fintech startups and hedge funds.
Teaching AreasInvestments
Fixed Income
Derivatives
Financial Markets
Empirical Asset Pricing
Research InterestsEmpirical Asset Pricing
Derivatives
Behavioural Finance
ESG Investing
Publications & Working PapersJie Cao, Sheridan Titman, Xintong Zhan, and Weiming Zhang (2021), “ESG Preference, Institutional Trading, and Stock Return Patterns,” Journal of Financial and Quantitative Analysis, conditionally accepted.
Jie Cao, Bing Han, Linjia Song, and Xintong Zhan (2021), “Option Price Implied Information and REIT Returns,” Journal of Empirical Finance, conditionally accepted.
Jie Cao, Amit Goyal, Xiao Xiao, and Xintong Zhan (2021), “Implied Volatility Changes and Corporate Bond Returns,” Management Science, accepted.
Jie Cao, Bing Han, Xintong Zhan, and Qing Tong (2021) “Option Return Predictability,” Review of Financial Studies, accepted.
Jie Cao, Tarun Chordia, and Xintong Zhan (2021), “The Calendar Effects of the Idiosyncratic-Volatility Puzzle: A Tale of Two Days?” Management Science, forthcoming.
Jie Cao, Hao Liang, and Xintong Zhan (2019), “Peer Effects of Corporate Social Responsibility,” Management Science, 65(12), 5676-5696.
Jie Cao, Bing Han, and Qinghai Wang (2017), “Institutional Investment Constraints and Stock Prices,” Journal of Financial and Quantitative Analysis, 52(2), 465-489.
Jie Cao and Bing Han (2016), “Idiosyncratic Risk, Costly Arbitrage, and the Cross-Section of Stock Returns,” Journal of Banking and Finance, 73, 1-15.
Jie Cao, Tarun Chordia and Chen Lin (2016), “Alliances and Return Predictability,” Journal of Financial and Quantitative Analysis, 51(5), 1689-1717.
Jie Cao and Bing Han (2013), “Cross-Section of Option Returns and Idiosyncratic Stock Volatility,” Journal of Financial Economics, 108(1), 231-249.
Jie Cao, Yong Jin, Wei Zheng, and Xiaolong Zhong (2017), “On the Empirical Likelihood Option Pricing,” Journal of Risk, 19(5), 41-53.
Jie Cao, Rao Fu, and Yong Jin (2017), “International Diversification through iShares and Their Rivals,” Journal of Risk, 19 (3), 25-55.

Grants“ESG Performance and Option Market”, General Research Fund awarded by Research Grants Council, 2021-2024
“ESG Preference and Market Efficiency”, Research Grant awarded by Geneva Institute for Wealth Management, 2020
“Advances in Risk Premia and Quantitative Investing”, PROCORE-France/Hong Kong Joint Research Scheme awarded by Research Grants Council, 2020-2021
“Textual Analysis and the Cross-Section of Equity Option Returns”, General Research Fund awarded by Research Grants Council, 2019-2022
“Corporate Social Responsibility, Socially Responsible Investing, and Stock Market Efficiency”, Risk Premia Research Grant awarded by Paris-Dauphine House of Finance and Unigestion, 2019
“The Information in Equity Option Prices and Corporate Bond Returns”, awarded by The Canadian Derivatives Institute (CDI), 2017-2019
“Option Trading and Corporate Debt Structure”, awarded by The Canadian Derivatives Institute (CDI), 2016-2018
“What Drives Option Return Predictability?”, awarded by The Canadian Derivatives Institute (CDI), 2016-2018
“Does the Introduction of One Derivative Affect Another Derivative? The Effect of Credit Default Swaps Trading on Equity Option”, awarded by The Canadian Derivatives Institute (CDI), 2015-2017
“Does Peer Pressure Impact Corporate Social Responsibility? A Regression Discontinuity Analysis (同业压力如何影响企业社会责任？基於断点回归方法的分析)”, General Research Fund awarded by Research Grants Council, 2015-2017
“Does CDS Trading Affect Option Pricing? (信用违约互换的交易是否影响期权定价)”, awarded by Research Grants Council Early Career Scheme, 2012-2014

Awards & HonoursBest Paper Award on Derivatives, Northern Finance Association Annual Conference, 2020
Best Paper Prize, FMA Consortium on Asset Management by University of Cambridge, 2020
AAM-CAMRI Prize in Asset Management, Asia Asset Management and NUS, 2019
Best Paper Award, the 26th Conference on the Theories and Practices of Securities and Financial Markets, Taiwan, 2018
ETF Research Academy Award of the Paris-Dauphine House of Finance (in association with Lyxor Asset Management), 2018
CQA Academic Competition Award, 2017
3rd CQAsia Academic Competition Award, 2016
Zephyr Prize (best corporate finance paper), 28th Australasian Finance & Banking Conference, Sydney, 2015
1st CQAsia Academic Competition Award, 2014
Faculty Outstanding Teaching Award, CUHK Business School, The Chinese University of Hong Kong, 2011-2012
Best Paper Award, the 17th Conference on the Theories and Practices of Securities and Financial Markets, Taiwan, 2009

Academic/Professional ServicesBoard of Directors
Chicago Quantitative Alliance Asia, November 2018-Present
Speakers at Professional and Public Events
Deutsche Bank Annual Global Quantitative Strategy Conference, 2018, New York
Deutsche Bank dbAccess Global Quant Conference, 2017, Hong Kong
2nd Asian ETF Summit, 2017, Hong Kong
Chicago Quantitative Alliance Asia Conference, 2014-2017, Hong Kong
Macquarie Global Quantitative Research Conference, 2016, Hong Kong
Yinghua Fund Management, 2015, Beijing
Two Sigma Investments, 2015, New York
Morgan Stanley, 2015, New York
Deutsche Bank Annual Global Quantitative Strategy Conference, 2015, New York
Cubist Systematic Strategies, 2015, New York
OptionMetrics Research Conference, 2012 and 2015, New York
Advances in the Analysis of Hedge Fund Strategies Conference, 2009 and 2015, London
Contribution to News Article
PROJECT-M Magazine by Allianz Global Investors, “Let the Chinese Buyer Beware”, March 2012
External Examiner
The University of Hong Kong, 2012, 2014, 2015(2), 2017(2), 2018
Hong Kong University of Science and Technology, 2017
City University of Hong Kong, 2017
Singapore Management University, 2017
Hong Kong Polytechnic University, 2017
International Editorial Advisory Board
China Finance Review International, July 2016-Present