Charlie X. Cai

University of Liverpool Management School

Professor

University of Liverpool

Liverpool, L69 7ZA

United Kingdom

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 13,484

SSRN RANKINGS

Top 13,484

in Total Papers Downloads

4,479

SSRN CITATIONS
Rank 21,903

SSRN RANKINGS

Top 21,903

in Total Papers Citations

8

CROSSREF CITATIONS

38

Scholarly Papers (26)

1.

A New Test of Signaling Theory

Finance Letters, Vol. 5, No. 2, pp. 1-5, 2007
Number of pages: 5 Posted: 13 Jan 2008
Charlie X. Cai, Darren Duxbury and Kevin Keasey
University of Liverpool Management School, Newcastle University Business School and University of Leeds - Division of Accounting and Finance
Downloads 914 (31,434)

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Signaling theory, IPO market

2.

Do Audit Committees Reduce the Agency Costs of Ownership Structure?

Number of pages: 59 Posted: 14 Feb 2009 Last Revised: 11 May 2011
Charlie X. Cai, David Hillier, Gao-Liang Tian and Qinghua Wu
University of Liverpool Management School, University of Strathclyde - Department of Accounting and Finance, Xi'an Jiaotong University (XJTU) - School of Management and Fu Dan University
Downloads 768 (39,928)
Citation 2

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Government Owned Enterprises, Corporate Governance, Auditing, Audit Committee, Pyramid Groups

3.

Market Development, Information Diffusion and the Global Anomaly Puzzle

Cai, Charlie Xiaowu and Keasey, Kevin and Li, Peng and Zhang, Qi, 2021,Market Development, Information Diffusion and the Global Anomaly Puzzle, Journal of Financial and Quantitative Analysis, Forthcoming.
Number of pages: 64 Posted: 30 Sep 2016 Last Revised: 04 Feb 2021
Charlie X. Cai, Kevin Keasey, Peng Li and Qi Zhang
University of Liverpool Management School, University of Leeds - Division of Accounting and Finance, University of Leeds - Faculty of Business and Durham University
Downloads 371 (99,144)
Citation 4

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Asset Pricing, Anomalies, Behavioral Finance, Multi-Factor Models, International Evidence

4.

Nonlinear Limits to Arbitrage

Number of pages: 52 Posted: 11 May 2011 Last Revised: 10 Feb 2021
University of Liverpool Management School, University of York, Bond University and University of York (UK) - Department of Economics and Related Studies
Downloads 337 (110,190)
Citation 1

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Limited Arbitrage, Noise Momentum, Futures and Spot Prices, Markov Switching Model

5.

Predicting VIX with Adaptive Machine Learning

Number of pages: 78 Posted: 16 Jun 2021 Last Revised: 21 Jun 2021
Yunfei Bai and Charlie X. Cai
IEEE and University of Liverpool Management School
Downloads 232 (163,907)

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Machine Learning, AutoML, Explainable AI, VIX, Predictability, Forecasting, Quantitative Trading, Big Data, S&P 500, Futures, US markets

6.

Paying Too Much for Growth: What have Investors Missed?

Leeds University Business School Working Paper No. 17-09
Number of pages: 64 Posted: 01 Feb 2017 Last Revised: 21 Feb 2018
Charlie X. Cai, Kevin Keasey, Peng Li and Qi Zhang
University of Liverpool Management School, University of Leeds - Division of Accounting and Finance, University of Leeds - Division of Accounting and Finance and Durham University
Downloads 217 (172,625)

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Limited Attention, Investment Growth Anomaly, Expectation Error, US market, International market

7.

Noise Momentum Around the World

Number of pages: 38 Posted: 13 Jul 2014
Charlie X. Cai, Robert W. Faff and Yongcheol Shin
University of Liverpool Management School, Bond University and University of York (UK) - Department of Economics and Related Studies
Downloads 206 (181,197)

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limited arbitrage, noise momentum, initial mispricing correction, futures and spot prices

8.

Trading Frictions and Market Structure: An Empirical Analysis

Journal of Business Finance & Accounting, Vol. 35, No. 3-4, pp. 563-579, 2008
Number of pages: 28 Posted: 06 Oct 2010
University of Liverpool Management School, University of Strathclyde - Department of Accounting and Finance, Hull University Business School (HUBS) and University of Leeds - Division of Accounting and Finance
Downloads 188 (196,916)

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SETS, SEAQ, Trading Friction, Market Structure

9.

FARVaR: Functional Autoregressive Value-at-Risk

Journal of Financial Econometrics, forthcoming
Number of pages: 81 Posted: 23 Mar 2014 Last Revised: 05 Mar 2019
Charlie X. Cai, Minjoo Kim, Yongcheol Shin and Qi Zhang
University of Liverpool Management School, University of Liverpool - Accounting and Finance Division, University of York (UK) - Department of Economics and Related Studies and Independent
Downloads 167 (218,153)

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density forecasts; financial risk management; functional autoregressive model

10.

Forecasting Using High-Frequency Data: A Comparison of Asymmetric Financial Duration Models

Journal of Forecasting, Vol. 28, No. 5, pp. 371–386, August 2009
Number of pages: 35 Posted: 06 Oct 2010
Qi Zhang, Kevin Keasey and Charlie X. Cai
Independent, University of Leeds - Division of Accounting and Finance and University of Liverpool Management School
Downloads 162 (223,839)

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Autoregressive Duration Model (ACD), forecasting, high-frequency data, market microstructure

11.

Are Market-Based Rankings of Global Systemically Important Financial Institutions Useful for Regulators?

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 56 Posted: 11 Aug 2013 Last Revised: 05 Oct 2015
Independent, Durham University, University of Leeds - Division of Accounting and Finance and University of Liverpool Management School
Downloads 132 (264,140)
Citation 2

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systemic risk, systemically important financial institutions, regulation, bank bailouts

12.

Economic Uncertainty: Mispricing and Ambiguity Premium

Number of pages: 60 Posted: 25 Aug 2020 Last Revised: 01 Jul 2021
Semih Kerestecioglu, Xi Fu and Charlie X. Cai
University of Liverpool Management School, University of Liverpool and University of Liverpool Management School
Downloads 120 (283,669)

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Economic Uncertainty, Ambiguity Aversion, Risk Premium, Mis-Pricing, Cross-Section of Stock Returns, Return Predictability

13.

Market Reaction to Earnings News: A Unified Test of Information Risk and Transaction Costs

Journal of Accounting and Economics 56 (2013) 251–266
Number of pages: 41 Posted: 12 Aug 2013 Last Revised: 08 Jan 2014
Qi Zhang, Charlie X. Cai and Kevin Keasey
Independent, University of Liverpool Management School and University of Leeds - Division of Accounting and Finance
Downloads 120 (283,669)
Citation 1

Abstract:

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information risk, transaction costs, price discovery, earnings announcements

14.

Determinants of the Component Structure of Intraday Return Distributions

Applied Financial Economics, Vol. 20, No. 4, 2010
Number of pages: 20 Posted: 06 Oct 2010
Charlie X. Cai, Kevin Keasey and Gao-Liang Tian
University of Liverpool Management School, University of Leeds - Division of Accounting and Finance and Xi'an Jiaotong University (XJTU) - School of Management
Downloads 117 (288,771)

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Return Distribution, Intraday, Information Flow, Liquidity, High-frequency Data, Market Microstructure.

15.

Nominal Price Level and Noise Trading

Leeds University Business School Working Paper No. 17-08
Number of pages: 27 Posted: 23 Mar 2017
Shima Amini and Charlie X. Cai
University of Leeds and University of Liverpool Management School
Downloads 99 (323,647)

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Nominal Price Puzzle, Noise Trading, Institutional Ownership, Analyst Coverage

16.

Investor Mix and Mutual Fund Performance: A Flow Based Measure of Relative Smartness

Number of pages: 48 Posted: 30 Oct 2019 Last Revised: 03 Mar 2020
You Zhou, Peng Li, Charlie X. Cai and Kevin Keasey
University of Leeds - Faculty of Business, University of Leeds - Division of Accounting and Finance, University of Liverpool Management School and University of Leeds - Division of Accounting and Finance
Downloads 68 (404,134)

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mutual-fund flows, risk factors, non-risk factors, smart-money effect, CAPM

17.

Interim Evaluation of Emerging Market Investments: Time Aggregation of Utilities

Number of pages: 56 Posted: 05 Dec 2009 Last Revised: 16 Dec 2010
Charlie X. Cai, Minjoo Kim and Yongcheol Shin
University of Liverpool Management School, University of Liverpool - Accounting and Finance Division and Independent
Downloads 58 (437,938)

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Stochastic and Spatial Dominance, Subsampling, Emerging and Developed Stock Markets Performance, Currency Risk

18.

International Stock Market Leadership and its Determinants

Number of pages: 42 Posted: 13 Oct 2015
Charlie X. Cai, Mobarek Asma and Qi Zhang
University of Liverpool Management School, Stockholm Business School and Independent
Downloads 57 (441,614)

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Causality, price leadership, financial crisis, causality factors

19.

Informational Friction, Economic Uncertainty and CDS-Bond Basis

Number of pages: 62 Posted: 19 Feb 2021 Last Revised: 05 May 2021
Charlie X. Cai, Xiaoxia Ye and Ran Zhao
University of Liverpool Management School, University of Liverpool Management School and Claremont Graduate University, Drucker School of Management
Downloads 41 (506,693)
Citation 1

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uncertainty, informational friction, CDS, CDS-bond basis, uncertainty beta

20.

Capital Account Reform and Short- and Long-Run Stock Price Leadership

European Journal of Finance, Forthcoming
Number of pages: 45 Posted: 06 Oct 2015 Last Revised: 12 Oct 2015
Charlie X. Cai, Paul Mc Guinness and Qi Zhang
University of Liverpool Management School, Independent and Independent
Downloads 38 (520,845)

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Capital account liberalization, A- and H- share cross listings, short- and long-run price leadership

21.

Intra Day Bid-Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange

Number of pages: 30 Posted: 12 Jul 2004
Kevin Keasey, Charlie X. Cai and Robert Hudson
University of Leeds - Division of Accounting and Finance, University of Liverpool Management School and Hull University Business School (HUBS)
Downloads 24 (600,010)
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22.

Cross-Autocorrelation, Risk Transmission and Contagion in the Global CDS Markets

Number of pages: 54 Posted: 19 Apr 2021
Charlie X. Cai, May Hu and Xiaoxia Ye
University of Liverpool Management School, RMIT University and University of Liverpool Management School
Downloads 19 (634,091)

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CDS, cross-autocorrelation, VAR, global credit network, risk transmission, contagion risk, network centrality

23.

Corporate Governance and Information Efficiency in Security Markets

European Financial Management, Vol. 12, No. 5, pp. 763-787, November 2006
Number of pages: 25 Posted: 23 Oct 2006
Charlie X. Cai, Kevin Keasey and Helen Short
University of Liverpool Management School, University of Leeds - Division of Accounting and Finance and University of Leeds - Division of Accounting and Finance
Downloads 13 (677,605)
Citation 2
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24.

Influence of Cultural Factors on Price Clustering and Price Resistance in China's Stock Markets

Accounting & Finance, Vol. 47, No. 4, pp. 623-641, December 2007
Number of pages: 19 Posted: 11 Dec 2007
Bill M. Cai, Charlie X. Cai and Kevin Keasey
Independent, University of Liverpool Management School and University of Leeds - Division of Accounting and Finance
Downloads 11 (692,932)
Citation 2
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25.

Overreaction to Growth Opportunities: An Explanation of the Asset Growth Anomaly

European Financial Management, Vol. 25, Issue 4, pp. 747-776, 2019
Number of pages: 30 Posted: 19 May 2020
Charlie X. Cai, Peng Li and Qi Zhang
University of Liverpool Management School, University of Leeds - Division of Accounting and Finance and Durham University
Downloads 0 (793,378)
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anomaly, asset growth, growth opportunities, overreaction, US market

26.

Understanding the Evolution of the Share Price Norm

Leeds University Business School Working Paper No. 18-07
Posted: 11 Jun 2018
Shima Amini and Charlie X. Cai
University of Leeds and University of Liverpool Management School

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Institutional ownership; Share price puzzle; IPO; Stock split; Norm hypothesis; Catering hypothesis