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Prof. Jay J. Cao
PolyU Scholars Hub

Prof. Jie Jay CAO

Professor

PhD

Biography

Professor Jie (Jay) Cao is a full professor of finance at the School of Accounting and Finance, Hong Kong Polytechnic University (PolyU). He serves on the Advisory Council for Monetary Research at the Hong Kong Institute for Monetary and Financial Research (HKIMR), the Academic and Accreditation Advisory Committee of the Securities and Futures Commission (SFC) of Hong Kong, and the Academic Working Group for the United Nations Sustainable Stock Exchanges (SSE) Initiative. Prof. Cao is an Associate Editor for Financial Management and the Asia-Pacific Journal of Financial Studies, an Editorial Board Member of the Financial Analysts Journal, and a Co-Editor of The International Review of Finance. He has been appointed by the University Grants Committee (UGC) as a member of the Business & Economics Panel for the 2026 Research Assessment Exercise (RAE). Prior to joining PolyU, he was a tenured associate professor of finance at the Chinese University of Hong Kong (CUHK) Business School, where he served for 13 years.

Prof. Cao received his Ph.D. in Finance from the University of Texas at Austin in 2009 and his B.A. in Economics from Peking University in 2002. His research focuses on empirical asset pricing, derivatives, and sustainable finance. His work has been published or is forthcoming in leading journals such as the Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and Management Science. Prof. Cao serves as Principal Investigator on several competitive Hong Kong RGC grants, as well as numerous research projects funded by both academic and industry sponsors, including The Canadian Derivatives Institute (CDI) and the Geneva Institute for Wealth Management. He has received multiple research awards, such as the AAM–CAMRI Prize in Asset Management (Asia Asset Management and NUS), the ETF Research Academy Award (Paris–Dauphine House of Finance and Lyxor Asset Management), the Chicago Quantitative Alliance (CQA) Academic Competition Award, and best paper awards at conferences including the 28th Australian Finance & Banking Conference, the 2020 FMA Consortium on Asset Management, and the 2020 Northern Finance Association Annual Conference.

Prof. Cao has taught undergraduate Investments, MSc Fixed Income, finance MBA Quantitative Investing, and Ph.D. Empirical Asset Pricing during the past years. He received the Outstanding Teaching Award of CUHK Business School. He has also provided consulting services for several fintech start-ups and hedge funds.

 

 

Education and Academic Qualifications

  • Bachelor of Arts, Peking University
  • Master of Science, The University of Texas at Austin
  • Doctor of Philosophy, The University of Texas at Austin

Research Interests

  • Asset Pricing
  • Investments
  • Derivatives
  • Fixed Income
  • Sustainable Finance

Research Output

  1. Cao, Jie, Gang Li, Xintong Zhan, and Guofu Zhou (2026), Betting Against the Crowd: Option Trading and Market Risk Premium,” Journal of Financial and Quantitative Analysis accepted.
  2. Cao, Jie, Amit Goyal, Xintong Zhan, and Weiming  Zhang (2026), “Unlocking ESG Premium from Options,” Journal of Financial and Quantitative Analysis forthcoming.
  3. Cao, Jie, Yi Li, Xintong Zhan, Weiming Zhang, Linyu Zhou (2026), “Carbon Emissions, Mutual Fund Trading, and the Liquidity of Corporate Bonds,” Management Science forthcoming.
  4. Cao, Jie, Linjia Song, Xintong Zhan (2026), “A Conditional Factor Model for Real Estate Investment Trusts Returns,” Real Estate Economics forthcoming.
  5. Cao, Jie, Jason Hsu, Linjia Song, Zhanbing Xiao, and Xintong Zhan (2025), “Smart Beta, "Smarter" Flows,” Journal of Empirical Finance 81, 101580.
  6. Cao, Jie, Michael Hertzel, Jie Xu, and Xintong Zhan (2025), “Options Trading and Corporate Debt Structure,” Journal of Accounting and Public Policy 49, 107274. 
  7. Cao, Jie, Amit Goyal, Sai Ke, and Xintong Zhan (2024), “Option Trading and Stock Price Informativeness,” Journal of Financial and Quantitative Analysis 59, 1516-1540.
  8. Cao, Jie, Sheridan Titman, Xintong Zhan, and Weiming Zhang (2023), “ESG Preference, Institutional Trading, and Stock Return Patterns,” Journal of Financial and Quantitative Analysis, 58(5), 1843-1877.
  9. Cao, Jie, Amit Goyal, Xiao Xiao, and Xintong Zhan (2023), “Implied Volatility Changes and Corporate Bond Returns,” Management Science, 69(3), 1375-1397.
  10. Cao, Jie, Bing Han, Linjia Song, and Xintong Zhan (2023), “Option Price Implied Information and REIT Returns,” Journal of Empirical Finance 71, 13-28.
  11. Zhan, Xintong, Bing Han, Jie Cao, and Qing Tong (2022) “Option Return Predictability,” Review of Financial Studies, 35(3), 1394-1442.
  12. Cao, Jie, Tarun Chordia, and Xintong Zhan (2021), “The Calendar Effects of the Idiosyncratic-Volatility Puzzle: A Tale of Two Days?” Management Science, 67(12), 7866-7887.
  13. Cao, Jie, Hao Liang, and Xintong Zhan (2019), “Peer Effects of Corporate Social Responsibility,” Management Science, 65(12), 5676-5696.
  14. Cao, Jie, Bing Han, and Qinghai Wang (2017), “Institutional Investment Constraints and Stock Prices,” Journal of Financial and Quantitative Analysis, 52(2), 465-489.
  15. Cao, Jie, and Bing Han (2016), “Idiosyncratic Risk, Costly Arbitrage, and the Cross-Section of Stock Returns,” Journal of Banking and Finance, 73, 1-15.
  16. Cao, Jie, Tarun Chordia, and Chen Lin (2016), “Alliances and Return Predictability,” Journal of Financial and Quantitative Analysis, 51(5), 1689-1717.
  17. Cao, Jie, and Bing Han (2013), “Cross-Section of Option Returns and Idiosyncratic Stock Volatility,” Journal of Financial Economics, 108(1), 231-249.

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