2024
Salience theory and cryptocurrency returns (Journal article)
Cai, C. X., & Zhao, R. (2024). Salience theory and cryptocurrency returns. Journal of Banking & Finance, 159, 107052. doi:10.1016/j.jbankfin.2023.107052DOI: 10.1016/j.jbankfin.2023.107052
2023
Cai, C. X. X., Fu, X., & Kerestecioglu, S. (2022). Economic uncertainty: Mispricing and ambiguity premium. EUROPEAN FINANCIAL MANAGEMENT. doi:10.1111/eufm.12403DOI: 10.1111/eufm.12403
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.2023.102676DOI: 10.1016/j.irfa.2023.102676
The determinants and value-relevance of voluntary disclosure of supply chain information (Journal article)
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:10.1080/00014788.2022.2030668DOI: 10.1080/00014788.2022.2030668
Predicting VIX with Adaptive Machine Learning (Journal article)
Bai, Y., & Cai, C. X. (2023). Predicting VIX with Adaptive Machine Learning.
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? (Journal article)
Zhou, Y., Li, P., Cai, C. X., & Keasey, K. (2023). Do Funds with More CAPM Investors Perform Better? And, If So, Why?.
2022
Tick-Size and Stock Price Crash Risk: Evidence from SEC’s Tick Size Pilot Program 2016 (Preprint)
Chen, J., Cai, C. X., Faff, R., & Shin, Y. (2022). Nonlinear limits to arbitrage. Journal of Futures Markets. doi:10.1002/fut.22320DOI: 10.1002/fut.22320
Informational Friction, Economic Uncertainty and CDS-Bond Basis (Journal article)
Cai, C. X., Ye, X., & Zhao, R. (n.d.). Informational Friction, Economic Uncertainty and CDS-Bond Basis. SSRN Electronic Journal. doi:10.2139/ssrn.3746637DOI: 10.2139/ssrn.3746637
Opportunistic CSR Assurance (Journal article)
Ag, Y., Ahmad, S., & Cai, C. X. (2022). Opportunistic CSR Assurance.
2021
Cross-Autocorrelation, Risk Transmission and Contagion in the Global CDS Markets (Journal article)
Cai, C. X., Hu, M., & Ye, X. (2021). Cross-Autocorrelation, Risk Transmission and Contagion in the Global CDS Markets.
2020
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.2020.101220DOI: 10.1016/j.intfin.2020.101220
2019
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/nby031DOI: 10.1093/jjfinec/nby031
FARVaR: Functional Autoregressive Value-at-Risk (Journal article)
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/nby031DOI: 10.1093/jjfinec/nby031
2018
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.12188DOI: 10.1111/eufm.12188
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/s11156-017-0664-7DOI: 10.1007/s11156-017-0664-7
Amini, S., & Cai, C. X. (2018). Understanding the Evolution of the Share Price Norm. Leeds University Business School Working Paper, (18).
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.12101DOI: 10.1111/abac.12101
2017
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.2016.10.002DOI: 10.1016/j.jfs.2016.10.002
Capital account reform and short- and long-run stock price leadership (Journal article)
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.2015.1105272DOI: 10.1080/1351847X.2015.1105272
How firms manage their cash flows: an examination of diversification’s effect (Journal article)
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/s11156-016-0565-1DOI: 10.1007/s11156-016-0565-1
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 (Journal article)
Cai, C. X., Hillier, D., & Wang, J. (2016). The Cost of Multiple Large Shareholders. Financial Management, 45(2), 401-430. doi:10.1111/fima.12090DOI: 10.1111/fima.12090
High-Frequency Exchange Rate Forecasting (Journal article)
Cai, C. X., & Zhang, Q. (2016). High-Frequency Exchange Rate Forecasting. EUROPEAN FINANCIAL MANAGEMENT, 22(1), 120-141. doi:10.1111/eufm.12052DOI: 10.1111/eufm.12052
2015
Value-enhancing Learning from Industry-wide Diversification Experience (Journal article)
Nguyen, T., & Cai, C. X. (2015). Value-enhancing Learning from Industry-wide Diversification Experience. BRITISH JOURNAL OF MANAGEMENT, 27(2), 323-337. doi:10.1111/1467-8551.12151DOI: 10.1111/1467-8551.12151
Do audit committees reduce the agency costs of ownership structure? (Journal article)
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.2015.01.002DOI: 10.1016/j.pacfin.2015.01.002
Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors? (Journal article)
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.12249DOI: 10.1111/jmcb.12249
Nominal Price Level and Noise Trading (Journal article)
Amini, S., & Cai, C. X. (n.d.). Nominal Price Level and Noise Trading. SSRN Electronic Journal. doi:10.2139/ssrn.2938417DOI: 10.2139/ssrn.2938417
Informed Trading and Market Structure (Journal article)
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.12003DOI: 10.1111/eufm.12003
2014
Are Market-Based Rankings of Global Systemically Important Financial Institutions Useful for Regulators? (Journal article)
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 (Journal article)
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/s11156-013-0386-4DOI: 10.1007/s11156-013-0386-4
The role of venture capitalists in small and medium-sized enterprise initial public offerings: Evidence from China (Journal article)
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:10.1177/0266242613496262DOI: 10.1177/0266242613496262
2013
Market reaction to earnings news: A unified test of information risk and transaction costs (Journal article)
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.2013.08.002DOI: 10.1016/j.jacceco.2013.08.002
Consequences of the Capital Asset Pricing Model (CAPM)a Critical and Broad Perspective (Journal article)
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.xDOI: 10.1111/j.1467-6281.2012.00384.x
2012
Stock index return forecasting: The information of the constituents (Journal article)
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.2012.01.014DOI: 10.1016/j.econlet.2012.01.014
2011
The pricing dynamics of cross-listed securities: The case of Chinese A- and H-shares (Journal article)
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.2011.01.010DOI: 10.1016/j.jbankfin.2011.01.010
2010
Interim Evaluation of Emerging Market Investments: Time Aggregation of Utilities (Journal article)
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 (Journal article)
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:10.1080/09603100903357390DOI: 10.1080/09603100903357390
2009
Chinese investment goes global: the China Investment Corporation (Journal article)
Cai, C., & Clacher, I. (2009). Chinese investment goes global: the China Investment Corporation. Journal of Financial Regulation and Compliance, 17(1), 9-15. doi:10.1108/13581980910934009DOI: 10.1108/13581980910934009
Forecasting Using High-Frequency Data: A Comparison of Asymmetric Financial Duration Models (Journal article)
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.1100DOI: 10.1002/for.1100
Information Transmission across Stock and Bond Markets <i>International Evidence</i> (Chapter)
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 (Chapter)
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.ch31DOI: 10.1002/9781118267004.ch31
Trading frictions and market structure: An empirical analysis (Journal article)
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.xDOI: 10.1111/j.1468-5957.2008.02076.x
2007
Influence of cultural factors on price clustering and price resistance in China's stock markets (Journal article)
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.xDOI: 10.1111/j.1467-629x.2007.00221.x
Trading Frictions and Market Structure: An Empirical Analysis (Journal article)
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 (Journal article)
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 (Journal article)
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.xDOI: 10.1111/j.1475-6803.2007.00217.x
2006
Corporate governance and information efficiency in security markets (Conference Paper)
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.xDOI: 10.1111/j.1468-036X.2006.00276.x
Which trades move prices in emerging markets?: Evidence from China's stock market (Journal article)
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.2006.05.001DOI: 10.1016/j.pacfin.2006.05.001
Modelling return and conditional volatility exposures in global stock markets (Journal article)
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/s11156-006-8793-4DOI: 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 (Journal article)
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-yDOI: 10.1007/s10690-006-9012-y
The predictive ability and profitability of technical trading rules: does company size matter? (Journal article)
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.2004.03.037DOI: 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 (Journal article)
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.xDOI: 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 (Journal article)
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 (Journal article)
Cai, C., Hudson, R., & Keasey, K. (2003). Trading frequency and the compass rose. APPLIED ECONOMICS LETTERS, 10(8), 511-517. doi:10.1080/1350485032000100288DOI: 10.1080/1350485032000100288
Undated
Do Funds with More CAPM Investors Perform Better? And, If so, Why? (Journal article)
Zhou, Y., Li, P., Cai, C. X., & Keasey, K. (n.d.). Do Funds with More CAPM Investors Perform Better? And, If so, Why?.
Tick-Size and Stock Price Crash Risk:Evidence from Sec's Tick Size Pilot Program 2016 (Preprint)
