Publications
Selected publications
- Market reaction to earnings news: A unified test of information risk and transaction costs (Journal article - 2013)
- Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors? (Journal article - 2015)
- Value-enhancing Learning from Industry-wide Diversification Experience (Journal article - 2015)
- The Cost of Multiple Large Shareholders (Journal article - 2016)
- High-Frequency Exchange Rate Forecasting (Journal article - 2016)
- Market Development, Information Diffusion and the Global Anomaly Puzzle (Journal article - 2023)
- Do Funds with More CAPM Investors Perform Better? And, If So, Why? (Journal article - 2023)
2024
Aggregate Loan Loss Provision and Intermediary Asset Pricing
Xing, L., Ye, X., & Cai, C. X. (2024). Aggregate Loan Loss Provision and Intermediary Asset Pricing. doi:10.2139/ssrn.4957710
Trended Momentum
Cai, C. X., L, P., & Keasey, K. (2024). Trended Momentum.
Salience theory and cryptocurrency returns
Cai, C. X., & Zhao, R. (2024). Salience theory and cryptocurrency returns. Journal of Banking & Finance, 159, 107052. doi:10.1016/j.jbankfin.2023.107052
Trended Momentum
2023
Economic uncertainty: Mispricing and ambiguity premium
Cai, C. X. X., Fu, X., & Kerestecioglu, S. (2022). Economic uncertainty: Mispricing and ambiguity premium. EUROPEAN FINANCIAL MANAGEMENT. doi:10.1111/eufm.12403
Information content of sustainability index recomposition: A synthetic portfolio approach
Rudkin, W., & Cai, C. X. (2023). Information content of sustainability index recomposition: A synthetic portfolio approach. International Review of Financial Analysis, 88, 102676. doi:10.1016/j.irfa.2023.102676
The determinants and value-relevance of voluntary disclosure of supply chain information
Cai, C. X., Teng, F., Xia, X., & Xin, Y. (2023). The determinants and value-relevance of voluntary disclosure of supply chain information. Accounting and Business Research, 53(4), 439-477. doi:10.1080/00014788.2022.2030668
Predicting VIX with Adaptive Machine Learning
Bai, Y., & Cai, C. X. (2023). Predicting VIX with Adaptive Machine Learning.
Market Development, Information Diffusion and the Global Anomaly Puzzle
Cai, C. X. X., Keasey, K., Li, P., & Zhang, Q. (2023). Market Development, Information Diffusion, and the Global Anomaly Puzzle. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 58(1), 104-147. doi:10.1017/S0022109022000643
Do Funds with More CAPM Investors Perform Better? And, If So, Why?
Zhou, Y., Li, P., Cai, C. X., & Keasey, K. (2023). Do Funds with More CAPM Investors Perform Better? And, If So, Why?.
Do Funds with More CAPM Investors Perform Better?
Do Funds with More CAPM Investors Perform Better? And, If so, Why?
Predicting VIX with Adaptive Machine Learning
2022
Tick-Size and Stock Price Crash Risk: Evidence from SEC’s Tick Size Pilot Program 2016
Nonlinear limits to arbitrage
Chen, J., Cai, C. X., Faff, R., & Shin, Y. (2022). Nonlinear limits to arbitrage. Journal of Futures Markets. doi:10.1002/fut.22320
Informational Friction, Economic Uncertainty and CDS-Bond Basis
Cai, C. X., Ye, X., & Zhao, R. (n.d.). Informational Friction, Economic Uncertainty and CDS-Bond Basis. SSRN Electronic Journal. doi:10.2139/ssrn.3746637
Opportunistic CSR Assurance
Ag, Y., Ahmad, S., & Cai, C. X. (2022). Opportunistic CSR Assurance.
Tick-Size and Stock Price Crash Risk:Evidence from Sec's Tick Size Pilot Program 2016
2021
Cross-Autocorrelation, Risk Transmission and Contagion in the Global CDS Markets
Cai, C. X., Hu, M., & Ye, X. (2021). Cross-Autocorrelation, Risk Transmission and Contagion in the Global CDS Markets.
2020
Why do firms manage their stock price levels?
Amini, S., Buchner, A., Cai, C. X., & Mohamed, A. (2020). Why do firms manage their stock price levels?. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 67. doi:10.1016/j.intfin.2020.101220
2019
FARVaR: Functional Autoregressive Value-at-Risk
Cai, X., Kim, M., Shin, Y., & Zhang, Q. (2019). FARVaR: Functional Autoregressive Value-at-Risk. Journal of Financial Econometrics, 17(2), 284-337. doi:10.1093/jjfinec/nby031
FARVaR: Functional Autoregressive Value-at-Risk
Cai, C. X., Kim, M., Shin, Y., & Zhang, Q. (2019). FARVaR: Functional Autoregressive Value-at-Risk. JOURNAL OF FINANCIAL ECONOMETRICS, 17(2), 284-337. doi:10.1093/jjfinec/nby031
2018
Overreaction to growth opportunities: An explanation of the asset growth anomaly
Cai, C. X., Li, P., & Zhang, Q. (2018). Overreaction to growth opportunities: An explanation of the asset growth anomaly. European Financial Management, 25(4), 747-776. doi:10.1111/eufm.12188
Credit scores and the performance of newly-listed stocks: an exploration of the Chinese A-share market
Cai, C. X., McGuinness, P. B., & Zhang, Q. (2018). Credit scores and the performance of newly-listed stocks: an exploration of the Chinese A-share market. REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, 51(1), 79-111. doi:10.1007/s11156-017-0664-7
Understanding the Evolution of the Share Price Norm
Amini, S., & Cai, C. X. (2018). Understanding the Evolution of the Share Price Norm. Leeds University Business School Working Paper, (18).
Noise Momentum Around the World
Cai, C. X., Faff, R., & Shin, Y. (2018). Noise Momentum Around the World. ABACUS-A JOURNAL OF ACCOUNTING FINANCE AND BUSINESS STUDIES, 54(1), 79-104. doi:10.1111/abac.12101
2017
International stock market leadership and its determinants
Cai, C. X., Mobarek, A., & Zhang, Q. (2017). International stock market leadership and its determinants. JOURNAL OF FINANCIAL STABILITY, 33, 150-162. doi:10.1016/j.jfs.2016.10.002
Capital account reform and short- and long-run stock price leadership
Cai, C. X., McGuinness, P. B., & Zhang, Q. (2017). Capital account reform and short- and long-run stock price leadership. EUROPEAN JOURNAL OF FINANCE, 23(10), 916-945. doi:10.1080/1351847X.2015.1105272
How firms manage their cash flows: an examination of diversification’s effect
Nguyen, T., Cai, C. X., & McColgan, P. (2017). How firms manage their cash flows: an examination of diversification’s effect. Review of Quantitative Finance and Accounting, 48(3), 701-724. doi:10.1007/s11156-016-0565-1
Paying Too Much for Growth: A Limited Attention Effect
Cai, C. X., Keasey, K., Li, P., & Zhang, Q. (n.d.). Paying Too Much for Growth: A Limited Attention Effect. SSRN Electronic Journal. doi:10.2139/ssrn.2909659
2016
The Cost of Multiple Large Shareholders
Cai, C. X., Hillier, D., & Wang, J. (2016). The Cost of Multiple Large Shareholders. Financial Management, 45(2), 401-430. doi:10.1111/fima.12090
High-Frequency Exchange Rate Forecasting
Cai, C. X., & Zhang, Q. (2016). High-Frequency Exchange Rate Forecasting. EUROPEAN FINANCIAL MANAGEMENT, 22(1), 120-141. doi:10.1111/eufm.12052
2015
Value-enhancing Learning from Industry-wide Diversification Experience
Nguyen, T., & Cai, C. X. (2015). Value-enhancing Learning from Industry-wide Diversification Experience. BRITISH JOURNAL OF MANAGEMENT, 27(2), 323-337. doi:10.1111/1467-8551.12151
Do audit committees reduce the agency costs of ownership structure?
Cai, C. X., Hillier, D., Tian, G., & Wu, Q. (2015). Do audit committees reduce the agency costs of ownership structure?. PACIFIC-BASIN FINANCE JOURNAL, 35, 225-240. doi:10.1016/j.pacfin.2015.01.002
Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?
Zhang, Q., Vallascas, F., Keasey, K., & Cai, C. X. (2015). Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?. JOURNAL OF MONEY CREDIT AND BANKING, 47(7), 1403-1442. doi:10.1111/jmcb.12249
Nominal Price Level and Noise Trading
Amini, S., & Cai, C. X. (n.d.). Nominal Price Level and Noise Trading. SSRN Electronic Journal. doi:10.2139/ssrn.2938417
Informed Trading and Market Structure
Cai, C. X., Harris, J. H., Hudson, R. S., & Keasey, K. (2015). Informed Trading and Market Structure. EUROPEAN FINANCIAL MANAGEMENT, 21(1), 148-177. doi:10.1111/eufm.12003
2014
Are Market-Based Rankings of Global Systemically Important Financial Institutions Useful for Regulators?
Zhang, Q., Vallascas, F., Keasey, K., & Cai, C. X. (2014). Are Market-Based Rankings of Global Systemically Important Financial Institutions Useful for Regulators?.
The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy
Zhang, Q., Cai, C. X., & Keasey, K. (2014). The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy. Review of Quantitative Finance and Accounting, 43(3), 605-625. doi:10.1007/s11156-013-0386-4
The role of venture capitalists in small and medium-sized enterprise initial public offerings: Evidence from China
Jiang, P., Cai, C. X., Keasey, K., Wright, M., & Zhang, Q. (2014). The role of venture capitalists in small and medium-sized enterprise initial public offerings: Evidence from China. INTERNATIONAL SMALL BUSINESS JOURNAL, 32(6), 619-643. doi:10.1177/0266242613496262
2013
Market reaction to earnings news: A unified test of information risk and transaction costs
Zhang, Q., Cai, C. X., & Keasey, K. (2013). Market reaction to earnings news: A unified test of information risk and transaction costs. JOURNAL OF ACCOUNTING & ECONOMICS, 56(2-3), 251-266. doi:10.1016/j.jacceco.2013.08.002
Consequences of the Capital Asset Pricing Model (CAPM)a Critical and Broad Perspective
Cai, C. X., Clacher, I., & Keasey, K. (2013). Consequences of the Capital Asset Pricing Model (CAPM)a Critical and Broad Perspective. ABACUS-A JOURNAL OF ACCOUNTING FINANCE AND BUSINESS STUDIES, 49, 51-61. doi:10.1111/j.1467-6281.2012.00384.x
2012
Stock index return forecasting: The information of the constituents
Cai, C. X., Kyaw, K., & Zhang, Q. (2012). Stock index return forecasting: The information of the constituents. ECONOMICS LETTERS, 116(1), 72-74. doi:10.1016/j.econlet.2012.01.014
2011
The pricing dynamics of cross-listed securities: The case of Chinese A- and H-shares
Cai, C. X., McGuinness, P. B., & Zhang, Q. (2011). The pricing dynamics of cross-listed securities: The case of Chinese A- and H-shares. JOURNAL OF BANKING & FINANCE, 35(8), 2123-2136. doi:10.1016/j.jbankfin.2011.01.010
2010
Interim Evaluation of Emerging Market Investments: Time Aggregation of Utilities
Cai, C. X., Kim, M., & Shin, Y. (2010). Interim Evaluation of Emerging Market Investments: Time Aggregation of Utilities.
Determinants of the component structure of intraday return distributions
Cai, C. X., Keasey, K., & Tian, G. (2010). Determinants of the component structure of intraday return distributions. Applied Financial Economics, 20(4), 317-322. doi:10.1080/09603100903357390
2009
Information Transmission across Stock and Bond Markets
Cai, C., Hillier, D., Faff, R., & Lhaopadchan, S. (2009). Information Transmission across Stock and Bond Markets. In Chapman & Hall/CRC Finance Series (pp. 293-310). Chapman and Hall/CRC. doi:10.1201/9781420099553.ch15
Chinese investment goes global: the China Investment Corporation
Cai, C., & Clacher, I. (2009). Chinese investment goes global: the China Investment Corporation. Journal of Financial Regulation and Compliance, 17(1), 9-15. doi:10.1108/13581980910934009
Forecasting Using High-Frequency Data: A Comparison of Asymmetric Financial Duration Models
Zhang, Q., Cai, C. X., & Keasey, K. (2009). Forecasting Using High-Frequency Data: A Comparison of Asymmetric Financial Duration Models. JOURNAL OF FORECASTING, 28(5), 371-386. doi:10.1002/for.1100
Information Transmission across Stock and Bond Markets <i>International Evidence</i>
Cai, C. X., Faff, R., Hillier, D., & Lhaopadchan, S. (2009). Information Transmission across Stock and Bond Markets <i>International Evidence</i>. In STOCK MARKET VOLATILITY (pp. 293-310). Retrieved from https://www.webofscience.com/
2008
A Practical Guide to Gold as an Investment Asset
Cai, C. X., Clacher, I., Faff, R., & Hillier, D. (2008). A Practical Guide to Gold as an Investment Asset. In Unknown Book (pp. 712-735). Wiley. doi:10.1002/9781118267004.ch31
Trading frictions and market structure: An empirical analysis
Cai, C. X., Hillier, D., Hudson, R., & Keasey, K. (2008). Trading frictions and market structure: An empirical analysis. JOURNAL OF BUSINESS FINANCE & ACCOUNTING, 35(3-4), 563-579. doi:10.1111/j.1468-5957.2008.02076.x
2007
Influence of cultural factors on price clustering and price resistance in China's stock markets
Cai, B. M., Cai, C. X., & Keasey, K. (2007). Influence of cultural factors on price clustering and price resistance in China's stock markets. ACCOUNTING AND FINANCE, 47(4), 623-641. doi:10.1111/j.1467-629x.2007.00221.x
Trading Frictions and Market Structure: An Empirical Analysis
Cai, C. X., Hillier, D., Hudson, R., & Keasey, K. (2007). Trading Frictions and Market Structure: An Empirical Analysis. Journal of Business Finance & Accounting, Vol. 35, (3).
A New Test of Signaling Theory
Cai, C. X., Duxbury, D., & Keasey, K. (2007). A New Test of Signaling Theory. Finance Letters, 5(2), 1-5.
EXPLORING THE LINK BETWEEN INFORMATION QUALITY AND SYSTEMATIC RISK
Cai, C. X., Faff, R. W., Hillier, D., & Mohamed, S. (2007). EXPLORING THE LINK BETWEEN INFORMATION QUALITY AND SYSTEMATIC RISK. Journal of Financial Research, 30(3), 335-353. doi:10.1111/j.1475-6803.2007.00217.x
2006
Corporate governance and information efficiency in security markets
Cai, C. X., Keasey, K., & Short, H. (2006). Corporate governance and information efficiency in security markets. In EUROPEAN FINANCIAL MANAGEMENT Vol. 12 (pp. 763-787). doi:10.1111/j.1468-036X.2006.00276.x
Which trades move prices in emerging markets?: Evidence from China's stock market
Cai, B. M., Cai, C. X., & Keasey, K. (2006). Which trades move prices in emerging markets?: Evidence from China's stock market. Pacific-Basin Finance Journal, 14(5), 453-466. doi:10.1016/j.pacfin.2006.05.001
Modelling return and conditional volatility exposures in global stock markets
Cai, C. X., Faff, R. W., Hillier, D. J., & McKenzie, M. D. (2006). Modelling return and conditional volatility exposures in global stock markets. Review of Quantitative Finance and Accounting, 27(2), 125-142. doi:10.1007/s11156-006-8793-4
2005
Market Efficiency and Returns to Simple Technical Trading Rules: Further Evidence from U.S., U.K., Asian and Chinese Stock Markets
Cai, B. M., Cai, C. X., & Keasey, K. (2005). Market Efficiency and Returns to Simple Technical Trading Rules: Further Evidence from U.S., U.K., Asian and Chinese Stock Markets. Asia-Pacific Financial Markets, 12(1), 45-60. doi:10.1007/s10690-006-9012-y
The predictive ability and profitability of technical trading rules: does company size matter?
Bokhari, J., Cai, C., Hudson, R., & Keasey, K. (2005). The predictive ability and profitability of technical trading rules: does company size matter?. ECONOMICS LETTERS, 86(1), 21-27. doi:10.1016/j.econlet.2004.03.037
2004
Intra Day Bid‐Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange
Cai, C. X., Hudson, R., & Keasey, K. (2004). Intra Day Bid‐Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange. Journal of Business Finance & Accounting, 31(5-6), 647-676. doi:10.1111/j.0306-686x.2004.00552.x
Intra Day Bid-Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange
Keasey, K., Cai, C. X., & Hudson, R. (2004). Intra Day Bid-Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange. Journal of Business Finance & Accounting, Vol. 31, (5).
2003
Trading frequency and the compass rose
Cai, C., Hudson, R., & Keasey, K. (2003). Trading frequency and the compass rose. APPLIED ECONOMICS LETTERS, 10(8), 511-517. doi:10.1080/1350485032000100288
Undated
Do Funds with More CAPM Investors Perform Better?
Zhou, Y., Li, P., Cai, C. X., & Keasey, K. (n.d.). Do Funds with More CAPM Investors Perform Better?.
Do Funds with More CAPM Investors Perform Better? And, If so, Why?
Zhou, Y., Li, P., Cai, C. X., & Keasey, K. (n.d.). Do Funds with More CAPM Investors Perform Better? And, If so, Why?.