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Associate Professor of Finance, Chinese University of Hong Kong

Prof. 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.

 
POSTS BY JIE CAO
  • ESG Preference and Market Efficiency: Evidence from Mispricing and Institutional Trading

    Jie Cao    Sheridan Titman, Xintong Zhan, Weiming Zhang
    07 Nov 2018
    819
    10

    This article qualifies for 1 CE under the guidelines of the CFA Institute Continuing Education Program. 
    We encourage CFA Institute members to login to the CE tracking tool to self-document these credits. 

    Growing adoption of ESG investing after 2003 generates a new "friction" that affects the efficiency of stock markets. Socially responsible institutional investors tend to under-react to mispricing signals when they contradict the investors' preference for ESG performance. This leads to predictability of returns. 
     
  • Smart Beta, 'Smarter' Flows

    Jie Cao    Jason Hsu, Zhanbing Xiao, Xintong Zhan
    29 Sep 2018
    892
    73

    We examine the impact of smart beta equity exchange-traded funds (ETFs) on how investors evaluate active mutual fund performance. We find that when smart beta ETFs are actively traded, mutual fund flows become “smarter”, with a higher sensitivity to alphas from multi-factor models. The dominance of the CAPM alpha weakens and even disappears. Our findings highlight the importance of financial innovation in shaping investor behavior and are not explained by alternatives such as investor learning because the results are driven by sophisticated investors. We document consistent evidence using international data and a cross-country analysis.