Chinese University of Hong Kong
Jie (Jay) Cao is an associate professor in the Department of Finance, Chinese University of Hong Kong. He received his Ph.D. in finance from University of Texas at Austin in 2009 and B.A. in economics from Peking University in 2002. His research areas are empirical asset pricing, derivatives, and behavioral 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, Journal of Financial and Quantitative Analysis, and Journal of Risk. His works has been presented in major finance conferences such as American 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, Deutsche Bank, and Macquarie Group. His works have also been invited by industry professionals for presentation such as Morgan Stanley, Yinhua Fund Management, Two Sigma, and Cubist Systematic Strategies, and covered by CXO Advisory Group Investing Notes, MSN Money, and ValueWalk. His papers also received three awards such as the Chicago Quantitative Alliance Asian Academic Competition. 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 Montreal Institute of Structured Finance and Derivatives. He teaches undergraduate Investments and Ph.D. Empirical Asset Pricing, and has received Faculty Outstanding Teaching Award. He has also provided consulting services for several fintech startups and hedge funds.
By using information about the ownership structure of listed companies from 2004 to 2016, the authors construct the cross-shareholding network for each year and examine the effects of the network position of a firm on extreme price movement.
In this paper, the authors investigate the diversification benefits of iShares and their rivals (CECFs and American depositary receipts) between April 1996 and December 2004.