Address
10-285, Lau Ming Wai Academic Building, City University of Hong Kong
Phone
+852 34427975
Email
Research Areas
Investments
Asset Pricing
Pension Systems
Qualifications
BA (Fudan University)
PhD - Finance (Northwestern University)
MA - Economics (Ohio State University)
Biography
Dr. Cai Jun's research interests include asset pricing, time-series analysis, and Japanese capital market. He has published Review of Financial Studies, Journal of Financial Markets, Journal of Empirical Finance, and Journal of Financial Intermediation.
Publications
Journal Publications and Reviews
Qin, Yiyi; Cai, Jun; Zhu, Jie; Webb, Robert / Commodity Futures Characteristics and Asset Pricing Models. March 2025; In: Journal of Futures Markets. Vol. 45, No. 3, pp. 176-207
Yang, Huan; Cai, Jun; Webb, Robert / Changing economic environment and expected return proxies. December 2024; In: China Finance Review International.
Yang, Huan; Cai, Jun; Huang, Lin; Marcus, Alan J. / Credit market conditions, expected return proxies, and bank stock returns. September 2024; In: Global Finance Journal. Vol. 62
Yang, Huan; Cai, Jun; Huang, Lin / Bank tail risk in China. June 2024; In: International Studies of Economics. Vol. 19, No. 2, pp. 186-222
Qin, Yiyi; Cai, Jun; Wang, James J.D.; Webb, Robert I. / Gold-mining stocks, risk factors, and tail patterns. October 2023; In: Journal of International Financial Markets, Institutions and Money. Vol. 88
Cai, Jun; Ho, Richard Y.K.; Zhang, Zheng / Foreign investors, private information, and price discovery. July 2022; In: International Review of Economics and Finance. Vol. 80, pp. 506-525
Yang, Huan; Cai, Jun / Corporate bond spreads and understated pension liabilities. February 2022; In: China Finance Review International. Vol. 12, No. 1, pp. 121-160
Qin, Yiyi; Cai, Jun; Wei, Steven / Earnings management when firms face mandatory contributions. October 2021; In: China Finance Review International. Vol. 11, No. 4, pp. 522-551
Yang, Huan; Cai, Jun; Huang, Lin; Marcus, Alan J. / Bank stocks, risk factors, and tail behavior. September 2021; In: Journal of Empirical Finance. Vol. 63, pp. 203-229
Qin, Yiyi; Cai, Jun; Rhee, S. Ghon / Do Japanese firms systematically inflate expected rate of returns from defined benefit pension plans?. September 2021; In: Pacific Basin Finance Journal. Vol. 68
Cai, Jun; Luo, Miao; Marcus, Alan J. / Financial health and the valuation of corporate pension plans. October 2020; In: Journal of Pension Economics and Finance. Vol. 19, No. 4, pp. 459-490
Lian, Ziying; Cai, Jun; Webb, Robert I. / Oil stocks, risk factors, and tail behavior. September 2020; In: Energy Economics. Vol. 91
Ahn, Hee-Joon; Cai, Jun; Cheung, Yan-Leung / Execution costs, investability, and actual foreign investment in emerging markets. 2020; In: China Finance Review International. Vol. 10, No. 2, pp. 143-167
Luo, Miao; Chen, Tao; Cai, Jun / Stock return predictability when growth and accrual measures are negatively correlated. August 2019; In: China Finance Review International. Vol. 9, No. 3, pp. 401-422
Ahn, Hee-Joon; Cai, Jun; Yang, Cheol-Won / Which Liquidity Proxy Measures Liquidity Best in Emerging Markets?. December 2018; In: Economies. Vol. 6, No. 4
Cai, Jun; Qin, Yiyi; Wang, Anxing / Earnings Mergers and Acquisitions Under Pension Disclosure Standards. December 2018; In: Advances in Decision Sciences. Vol. 22(A), pp. 1-42
Jiang, Daniel X.; Luo, Miao; Cai, Jun / Investment Financing of Organizational Capital. June 2016; In: Asia-Pacific Journal of Financial Studies. Vol. 45, No. 3, pp. 343-379
Luo, Miao; Jiang, Daniel X.; Cai, Jun / Investor Sentiment, Product Features, and Advertising Investment Sensitivities. December 2014; In: Asia-Pacific Journal of Financial Studies. Vol. 43, No. 6, pp. 798 - 837
Ahn, Hee-Joon; Cai, Jun; Hamao, Yasushi; Melvin, Michael / Little guys, liquidity, and the informational efficiency of price: Evidence from the Tokyo Stock Exchange on the effects of small investor participation. September 2014; In: Pacific Basin Finance Journal. Vol. 29, pp. 163-181
Ahn, Hee-Joon; Cai, Jun; Chung, Jay M. / Do informed traders trade more when the market is thick? Evidence from the nikkei 225 index redefinition of April 2000. August 2010; In: Asia-Pacific Journal of Financial Studies. Vol. 39, No. 4, pp. 495-523
Chen, Tao; Cai, Jun; Ho, Richard Y.K. / Intraday information efficiency on the Chinese equity market. September 2009; In: China Economic Review. Vol. 20, No. 3, pp. 527-541
Zhang, Zheng; Cai, Jun; Cheung, Yan Leung / Explaining country and cross-border liquidity commonality in international equity markets. July 2009; In: Journal of Futures Markets. Vol. 29, No. 7, pp. 630-652
Bailey, Warren; Cai, Jun; Cheung, Yan Leung; Wang, Fenghua / Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China. January 2009; In: Journal of Banking and Finance. Vol. 33, No. 1, pp. 9-19
Chen, Tao; Li, Jie; Cai, Jun / Information content of inter-trade time on the Chinese market. September 2008; In: Emerging Markets Review. Vol. 9, No. 3, pp. 174-193
Cai, Jun; Hamao, Yasushi; Ho, Richard Y. K. / Tick size change and liquidity provision for Japanese stock trading near Y1000. January 2008; In: Japan and the World Economy. Vol. 20, No. 1, pp. 19-39
CAI, Jun; HAMAO, Yasushi; HO, Yan Ki / Tick Size Chang and Liquidity Provision for Japanese Stock Trading near ￥1,000. 2008; In: Japan and the World Economy. Vol. 20, No. 1, pp. 19 - 39
Ahn, Hee-Joon; Cai, Jun; Chan, Kalok; Hamao, Yasushi / Tick size change and liquidity provision on the Tokyo Stock Exchange. June 2007; In: Journal of the Japanese and International Economies. Vol. 21, No. 2, pp. 173-194
Ahn, Hee-Joon; Cai, Jun; Cheung, Yan Leung / Price clustering on the limit-order book: Evidence from the Stock Exchange of Hong Kong. November 2005; In: Journal of Financial Markets. Vol. 8, No. 4, pp. 421-451
Ahn, Hee-Joon; Cai, Jun; Hamao, Yasushi; Ho, Richard Y.K. / Adverse selection, brokerage coverage, and trading activity on the Tokyo Stock Exchange. June 2005; In: Journal of Banking and Finance. Vol. 29, No. 6, pp. 1483-1508
Yan, Daying; Cai, Jun / Long-run operating performance of initial public offerings in Japanese over-the-counter market (1991-2001): Evidence and implications. September 2003; In: Asia-Pacific Financial Markets. Vol. 10, No. 2-3, pp. 239-274
Ahn, Hee-Joon; Cai, Jun; Hamao, Yasushi; Ho, Richard Y.K / The components of the bid-ask spread in a limit-order market: Evidence from the Tokyo Stock Exchange. November 2002; In: Journal of Empirical Finance. Vol. 9, No. 4, pp. 399-430
Huang, Roger D.; Cai, Jun; Wang, Xiaozu / Information-based trading in the treasury note interdealer broker market. July 2002; In: Journal of Financial Intermediation. Vol. 11, No. 3, pp. 269-296
Ahn, Hee-Joon; Cai, Jun; Cheung, Yan-Leung / What Moves German Bund Futures Contracts on the Eurex?. July 2002; In: Journal of Futures Markets. Vol. 22, No. 7, pp. 679-696
Cai, Jun; Cheung, Yan-Leung; Lee, Raymond S.K.; Melvin, Michael / 'Once-in-a-generation' yen volatility in 1998: Fundamentals, intervention, and order flow. June 2001; In: Journal of International Money and Finance. Vol. 20, No. 3, pp. 327-347
Cai, Jun; Cheung, Yan-Leung; Wong, Michael C. S. / What moves the gold market?. March 2001; In: Journal of Futures Markets. Vol. 21, No. 3, pp. 257-278
Andersen, Torben G.; Bollerslev, Tim; Cai, Jun / Intraday and interday volatility in the Japanese stock market. June 2000; In: Journal of International Financial Markets, Institutions and Money. Vol. 10, No. 2, pp. 107-130
Bollerslev, Tim; Cai, Jun; Song, Frank M. / Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market. May 2000; In: Journal of Empirical Finance. Vol. 7, No. 1, pp. 37-55
Cai, Jun; Cheung, Yan-Leung; Goyal, Vidhan K. / Bank monitoring and the maturity structure of Japanese corporate debt issues. August 1999; In: Pacific Basin Finance Journal. Vol. 7, No. 3-4, pp. 229-250
Cai, Jun; Loughran, Tim / The performance of Japanese seasoned equity offerings, 1971-1992. November 1998; In: Pacific Basin Finance Journal. Vol. 6, No. 5, pp. 395-425
Cai, Jun / The long-run performance following Japanese rights issues. 1998; In: Applied Financial Economics. Vol. 8, No. 4, pp. 419-434
Gai, Jun / Glamour and value strategies on the Tokyo stock exchange. October 1997; In: Journal of Business Finance and Accounting. Vol. 24, No. 9-10, pp. 1291-1310
Cai, Jun; Wei, K.C. John / The investment and operating performance of Japanese initial public offerings. September 1997; In: Pacific Basin Finance Journal. Vol. 5, No. 4, pp. 389-417
Jun, Cai; Chan, K. C.; Yamada, Takeshi / The performance of Japanese mutual funds. June 1997; In: Review of Financial Studies. Vol. 10, No. 2, pp. 237-273
Cai, Jun / A markov model of switching-regime arch. July 1994; In: Journal of Business and Economic Statistics. Vol. 12, No. 3, pp. 309-316
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