Zhi Da

University of Notre Dame - Mendoza College of Business

Notre Dame, IN 46556-5646

United States

SCHOLARLY PAPERS

43

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23,382

SSRN CITATIONS
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Top 1,972

in Total Papers Citations

457

CROSSREF CITATIONS

139

Scholarly Papers (43)

1.

In Search of Attention

AFA 2010 Atlanta Meetings Paper
Number of pages: 45 Posted: 22 Mar 2009 Last Revised: 30 Oct 2014
University of Notre Dame - Mendoza College of Business, University of California, San Diego (UCSD) - Rady School of Management and University of Notre Dame - Mendoza College of Business
Downloads 2,648 (5,032)
Citation 154

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attention, internet search, individual investor, IPO, price momentum

2.

What Drives Stock Price Movement?

Number of pages: 53 Posted: 18 Apr 2008 Last Revised: 24 Mar 2012
Luohan Academy, University of Notre Dame - Mendoza College of Business and Government of the United States of America - Office of the Currency Comptroller - Risk Analysis Division
Downloads 1,781 (9,785)
Citation 30

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Expected return, discount rate news, cash flow news, predictability, analyst forecast

3.
Downloads 1,690 ( 10,678)
Citation 2

Decomposing Short-Term Return Reversal

Number of pages: 44 Posted: 12 Feb 2010 Last Revised: 30 Aug 2011
University of Notre Dame - Mendoza College of Business, University of Hawaii at Manoa - Shidler College of Business and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 1,318 (15,453)
Citation 2

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return reversal, liquidity, cash flows, discount rate

Decomposing Short-Term Return Reversal

FRB of New York Staff Report No. 513
Number of pages: 45 Posted: 13 Sep 2011
University of Notre Dame - Mendoza College of Business, University of Hawaii at Manoa - Shidler College of Business and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 372 (85,902)
Citation 2

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return reversal, liquidity

4.
Downloads 1,327 ( 15,616)
Citation 21

Frog in the Pan: Continuous Information and Momentum

AFA 2012 Chicago Meetings Paper
Number of pages: 57 Posted: 06 Mar 2011 Last Revised: 02 Oct 2012
University of Notre Dame - Mendoza College of Business, University of Texas at Dallas and Chapman University
Downloads 892 (27,682)
Citation 7

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Momentum, Information Discreteness, Idiosyncratic Volatility

Frog in the Pan: Continuous Information and Momentum

Number of pages: 61 Posted: 22 Dec 2013
University of Notre Dame - Mendoza College of Business, University of Texas at Dallas and Chapman University
Downloads 263 (125,877)
Citation 3

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Momentum, Information Discreteness, Idiosyncratic Volatility

Frog in the Pan: Continuous Information and Momentum

Number of pages: 48 Posted: 24 Jan 2011 Last Revised: 08 May 2011
University of Notre Dame - Mendoza College of Business, University of Texas at Dallas and Chapman University
Downloads 172 (189,052)
Citation 11

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momentum, limited attention, information discreteness

CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence

UIC College of Business Administration Research Paper No. 10-06
Number of pages: 51 Posted: 18 Mar 2010
University of Notre Dame - Mendoza College of Business, University of Illinois at Chicago - Department of Finance and Northwestern University - Kellogg School of Management
Downloads 1,190 (18,068)
Citation 13

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Cost of Capital, CAPM, Capital Asset Pricing Model, Capital Budgeting

CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence

NBER Working Paper No. w14889
Number of pages: 61 Posted: 20 Apr 2009 Last Revised: 08 Sep 2010
University of Notre Dame - Mendoza College of Business, University of Illinois at Chicago - Department of Finance and Northwestern University - Kellogg School of Management
Downloads 108 (273,970)

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6.
Downloads 1,275 ( 16,593)
Citation 29

Exchange Traded Funds and Asset Return Correlations

Number of pages: 56 Posted: 08 Oct 2012 Last Revised: 15 Mar 2016
Zhi Da and Sophie Shive
University of Notre Dame - Mendoza College of Business and University of Notre Dame - Department of Finance
Downloads 1,274 (16,297)
Citation 11

Abstract:

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exchange-traded funds, correlation

Exchange Traded Funds and Asset Return Correlations

European Financial Management, Vol. 24, Issue 1, pp. 136-168, 2018
Number of pages: 33 Posted: 19 Jan 2018
Zhi Da and Sophie Shive
University of Notre Dame - Mendoza College of Business and University of Notre Dame - Department of Finance
Downloads 1 (737,106)
Citation 21
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exchange‐traded‐fund, correlation, arbitrage

7.

The Sum of All FEARS: Investor Sentiment and Asset Prices

Number of pages: 43 Posted: 13 Dec 2009 Last Revised: 07 Mar 2013
University of Notre Dame - Mendoza College of Business, University of California, San Diego (UCSD) - Rady School of Management and University of Notre Dame - Mendoza College of Business
Downloads 1,084 (21,181)
Citation 49

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Investor Sentiment, Volatility, Fund Flow, Survey

8.

In Search of Fundamentals

AFA 2012 Chicago Meetings Paper
Number of pages: 36 Posted: 22 Apr 2010 Last Revised: 16 Mar 2011
University of Notre Dame - Mendoza College of Business, University of California, San Diego (UCSD) - Rady School of Management and University of Notre Dame - Mendoza College of Business
Downloads 976 (24,727)
Citation 15

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Search Volume, Earnings Surprises, Revenue Surprises

9.

Short-Term Return Reversal: The Long and the Short of It

AFA 2013 San Diego Meetings Paper
Number of pages: 35 Posted: 15 Mar 2012 Last Revised: 06 Dec 2012
University of Notre Dame - Mendoza College of Business, University of Hawaii at Manoa - Shidler College of Business and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 925 (26,672)
Citation 1

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Short run reversal, liquidity, sentiment, fundamental news

10.

Long-Term Earnings Growth Forecasts, Limited Attention, and Return Predictability

AFA 2010 Atlanta Meetings Paper
Number of pages: 36 Posted: 19 Mar 2008 Last Revised: 17 Mar 2009
Zhi Da and Mitch Warachka
University of Notre Dame - Mendoza College of Business and Chapman University
Downloads 823 (31,506)
Citation 1

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Analyst Forecasts, Limited Attention, Return Predictability

11.

It Depends on Where You Search: Institutional Investor Attention and Under-Reaction to News

Kelley School of Business Research Paper No. 15-82
Number of pages: 56 Posted: 18 Nov 2015 Last Revised: 22 Nov 2016
Rutgers Business School - Rutgers University, University of Notre Dame - Mendoza College of Business and Michigan State University - Department of Finance
Downloads 799 (32,813)
Citation 37

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attention, institutional investors, retail investors, earnings announcements, analyst recommendations, news, Bloomberg

12.

Dividend Smoothing and Predictability

Number of pages: 56 Posted: 12 Oct 2008 Last Revised: 16 Mar 2011
Luohan Academy, University of Notre Dame - Mendoza College of Business and Norwegian Business School
Downloads 777 (34,069)
Citation 35

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Dividend-price ratio, earning-price ratio, dividend growth, earnings growth, predictability, dividend smoothing

13.

Arbitrage Trading: The Long and the Short of It

Review of Financial Studies (RFS), Vol. 32, No. 4, April 2019, pp. 1608–1646
Number of pages: 82 Posted: 20 Feb 2015 Last Revised: 27 Sep 2019
Yong Chen, Zhi Da and Dayong Huang
Texas A&M University - Department of Finance, University of Notre Dame - Mendoza College of Business and University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics
Downloads 650 (43,405)
Citation 4

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Arbitrage trading, hedge funds, short selling, stock anomalies, limits to arbitrage

14.

Target Prices, Relative Valuations and the Premium for Liquidity Provision

AFA 2007 Chicago Meetings Paper
Number of pages: 49 Posted: 17 Mar 2006
Zhi Da and Ernst Schaumburg
University of Notre Dame - Mendoza College of Business and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 602 (48,003)
Citation 3

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Analyst target prices, liquidity

15.

Clientele Change, Liquidity Shock, and the Return on Financially Distressed Stocks

AFA 2007 Chicago Meetings Paper
Number of pages: 58 Posted: 17 Mar 2006
Zhi Da and Pengjie Gao
University of Notre Dame - Mendoza College of Business and University of Notre Dame - Mendoza College of Business
Downloads 514 (58,643)
Citation 18

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Clientele, Liquidity, Default Risk, Stock Return

16.

Harnessing the Wisdom of Crowds

Number of pages: 54 Posted: 15 Feb 2016 Last Revised: 21 Mar 2019
Zhi Da and Xing Huang
University of Notre Dame - Mendoza College of Business and Washington University in St. Louis - Olin Business School
Downloads 466 (66,239)
Citation 11

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Wisdom of Crowds, Herding, Naive Learning, Social Learning, Group Decision Making, Earnings Forecast

17.

Who Pays Attention to SEC Form 8-K?

Kelley School of Business Research Paper No. 17-24
Number of pages: 56 Posted: 29 Mar 2017 Last Revised: 15 Sep 2017
Rutgers Business School - Rutgers University, University of Notre Dame - Mendoza College of Business, University of Notre Dame - Department of Accountancy and Michigan State University - Department of Finance
Downloads 444 (70,313)

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SEC 8-K filings, Investor Attention, Price discovery, Price pressure

18.
Downloads 440 ( 71,054)
Citation 9

Electricity Consumption and Asset Prices

Number of pages: 57 Posted: 15 May 2010 Last Revised: 27 Sep 2010
Zhi Da and Hayong Yun
University of Notre Dame - Mendoza College of Business and Michigan State University - Department of Finance
Downloads 308 (106,325)
Citation 9

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Consumption-based Capital Asset Pricing Model (CCAPM), electricity consumption, return predictability.

Electricity Consumption and Asset Prices

Number of pages: 51 Posted: 15 Mar 2011
Zhi Da and Hayong Yun
University of Notre Dame - Mendoza College of Business and Michigan State University - Department of Finance
Downloads 132 (235,885)
Citation 2

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Consumption-based Capital Asset Pricing Model (CCAPM), electricity consumption, return predictability

Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds

Number of pages: 56 Posted: 15 Nov 2007 Last Revised: 19 Dec 2008
University of Notre Dame - Mendoza College of Business, University of Notre Dame - Mendoza College of Business and Northwestern University - Kellogg School of Management
Downloads 351 (91,884)
Citation 4

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Informed Trading, Liquidity, Mutual Fund

Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds

NBER Working Paper No. w14609
Number of pages: 57 Posted: 29 Dec 2008 Last Revised: 28 Jan 2009
University of Notre Dame - Mendoza College of Business, University of Notre Dame - Mendoza College of Business and Northwestern University - Kellogg School of Management
Downloads 69 (363,076)

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20.

Indexing and Stock Market Serial Dependence Around the World

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 30 May 2016 Last Revised: 05 Oct 2017
Erasmus University Rotterdam (EUR), Erasmus University and University of Notre Dame - Mendoza College of Business
Downloads 407 (77,992)
Citation 7

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Return autocorrelation, Stock market indexing, Arbitrage

21.

Extrapolative Beliefs in the Cross-Section: What Can We Learn from the Crowds?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 57 Posted: 22 Mar 2018 Last Revised: 07 Apr 2020
University of Notre Dame - Mendoza College of Business, Washington University in St. Louis - Olin Business School and California Institute of Technology
Downloads 402 (79,079)
Citation 10

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return extrapolation; beliefs in the cross-section; expectation formation

22.

Information Diffusion on Social Media: Does It Affect Trading, Return, and Liquidity?

Number of pages: 54 Posted: 20 Mar 2017 Last Revised: 23 Mar 2017
University of Notre Dame, University of Notre Dame - Mendoza College of Business, University of Notre Dame and University of Illinois at Urbana-Champaign
Downloads 323 (101,538)
Citation 2

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Information Diffusion, Price Pressure, Social Media, Liquidity

23.

Leverage Network and Market Contagion

PBCSF-NIFR Research Paper
Number of pages: 58 Posted: 28 Sep 2017 Last Revised: 13 Mar 2019
University of International Business and Economics (UIBE), University of Notre Dame - Mendoza College of Business, London School of Economics & Political Science (LSE) and Tsinghua University - PBC School of Finance
Downloads 322 (101,909)
Citation 19

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Margin trading, leverage, contagion, network centrality

24.

Cash Flow, Consumption Risk and Cross Section of Stock Returns

Number of pages: 68 Posted: 28 Jun 2005
Zhi Da
University of Notre Dame - Mendoza College of Business
Downloads 313 (105,079)
Citation 23

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cash flow, consumption risk, stock returns, duration

Destabilizing Financial Advice: Evidence from Pension Fund Reallocations

Forthcoming: Review of Financial Studies
Number of pages: 52 Posted: 02 Feb 2015 Last Revised: 10 Jan 2018
University of Notre Dame - Mendoza College of Business, Pontificia Universidad Catolica de Chile, University of Texas at Austin - McCombs School of Business and Business School, Pontificia Universidad Católica
Downloads 287 (114,764)
Citation 2

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Coordinated Noise Trading, Pension Funds, Price Pressure, Financial Advisors, Social Media

Coordinated Noise Trading: Evidence from Pension Fund Reallocations

NBER Working Paper No. w22161
Number of pages: 50 Posted: 11 Apr 2016
University of Notre Dame - Mendoza College of Business, Pontificia Universidad Catolica de Chile, University of Texas at Austin - McCombs School of Business and Business School, Pontificia Universidad Católica
Downloads 11 (648,266)

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26.

The Disparity between Long-Term and Short-Term Forecasted Earnings Growth

Number of pages: 35 Posted: 03 Feb 2009 Last Revised: 25 Sep 2009
Zhi Da and Mitch Warachka
University of Notre Dame - Mendoza College of Business and Chapman University
Downloads 263 (126,504)
Citation 3

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Analyst Forecasts, Return Predictability

27.

Fiscal Policy, Consumption Risk, and Stock Returns: Evidence from US States

Number of pages: 44 Posted: 14 Mar 2012 Last Revised: 03 Jun 2016
University of Notre Dame - Mendoza College of Business, Chapman University and Michigan State University - Department of Finance
Downloads 249 (133,839)
Citation 1

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Fiscal Policy, Consumption, Stock Returns

Growth Expectations, Dividend Yields, and Future Stock Returns

Finance Down Under 2015 Building on the Best from the Cellars of Finance Paper
Number of pages: 58 Posted: 30 Oct 2014 Last Revised: 20 Nov 2014
University of Notre Dame - Mendoza College of Business, Northwestern University - Kellogg School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 214 (154,618)

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Growth Expectations, Dividend Yields, and Future Stock Returns

NBER Working Paper No. w20651
Number of pages: 58 Posted: 03 Nov 2014
University of Notre Dame - Mendoza College of Business, Northwestern University - Kellogg School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 28 (529,979)

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29.
Downloads 213 (155,597)
Citation 4

Information Consumption and Asset Pricing

Number of pages: 43 Posted: 14 Jul 2017 Last Revised: 09 Feb 2019
Rutgers Business School - Rutgers University, University of California, Los Angeles (UCLA) - Anderson School of Management, University of Notre Dame - Mendoza College of Business and Michigan State University - Department of Finance
Downloads 170 (190,969)
Citation 2

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Information, Asset Prices, Risk Premia

Demand for Information and Asset Pricing

NBER Working Paper No. w23274
Number of pages: 41 Posted: 27 Mar 2017
Rutgers Business School - Rutgers University, University of California, Los Angeles (UCLA) - Anderson School of Management, University of Notre Dame - Mendoza College of Business and Michigan State University - Department of Finance
Downloads 43 (455,013)

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What Drives Target Price Forecasts and Their Investment Value?

Number of pages: 43 Posted: 15 Mar 2011 Last Revised: 22 Aug 2016
University of Notre Dame - Mendoza College of Business, Central Michigan University and Loyola University Maryland
Downloads 191 (172,020)

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Target Price, Analsyts Forecasts, P/E, discount rate

What Drives Target Price Forecasts and Their Investment Value?

Journal of Business Finance & Accounting, Vol. 43, Issue 3-4, pp. 487-510, 2016
Number of pages: 24 Posted: 29 Apr 2016
University of Notre Dame - Mendoza College of Business, Central Michigan University and Loyola University Maryland
Downloads 0
Citation 1
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target prices, earnings forecasts, variance decomposition

31.

Clientele Change, Persistent Liquidity Shock, and Bond Return Reversals after Rating Downgrades

Number of pages: 47 Posted: 08 Oct 2008 Last Revised: 17 Mar 2009
Zhi Da and Pengjie Gao
University of Notre Dame - Mendoza College of Business and University of Notre Dame - Mendoza College of Business
Downloads 178 (183,402)
Citation 7

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liquidity shock, bond return reversal, clientele change

32.

What Moves Aggregate Investment?

Number of pages: 56 Posted: 01 Oct 2009 Last Revised: 18 Mar 2010
Long Chen, Zhi Da and Borja Larrain
Luohan Academy, University of Notre Dame - Mendoza College of Business and Pontificia Universidad Catolica de Chile
Downloads 166 (194,808)
Citation 2

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aggregate investment, variance decomposition, q-theory, earnings shocks, cash flow news, discount rate news.

Investor Optimism, Sales Fixation and Firm Life Cycle

Number of pages: 63 Posted: 14 Nov 2012 Last Revised: 05 Feb 2014
University of Notre Dame - Mendoza College of Business, Northwestern University - Kellogg School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 141 (223,635)

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firm life cycle, industry IPO wave, gross margin, growth equilibrium, limits to arbitrage

Building Castles in the Air: Evidence from Industry IPO Waves

NBER Working Paper No. w18555
Number of pages: 64 Posted: 22 Nov 2012
University of Notre Dame - Mendoza College of Business, Northwestern University - Kellogg School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 23 (562,174)

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34.

What Moves Investment Growth?

Number of pages: 42 Posted: 18 Mar 2011
Long Chen, Zhi Da and Borja Larrain
Luohan Academy, University of Notre Dame - Mendoza College of Business and Pontificia Universidad Catolica de Chile
Downloads 154 (207,576)
Citation 3

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aggregate investment, variance decomposition, q-theory, earnings shocks, cash flow news, discount rate news

35.

Market Returns and a Tale of Two Types of Attention

Number of pages: 53 Posted: 03 Apr 2020 Last Revised: 09 Apr 2020
University of Notre Dame - Mendoza College of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 150 (212,226)

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Return Predictability, Institutional Attention, Retail Attention

36.

Investment in a Smaller World: The Implications of Air Travel for Investors and Firms

Number of pages: 39 Posted: 15 Mar 2016 Last Revised: 21 Feb 2018
University of Notre Dame - Mendoza College of Business, University of Texas at Dallas, University of Oklahoma - Michael F. Price College of Business and Chapman University
Downloads 128 (240,680)
Citation 2

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Air Travel, Local Bias, Diversification, Cost of Equity

37.

Financialization and Commodity Market Serial Dependence

Number of pages: 64 Posted: 06 Dec 2018 Last Revised: 07 Jul 2020
Zhi Da, Ke Tang, Yubo Tao and Liyan Yang
University of Notre Dame - Mendoza College of Business, Institute of Economics, School of Social Sciences, Tsinghua University, Singapore Management University - School of Economics and University of Toronto - Rotman School of Management
Downloads 122 (249,484)

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Financialization, Return autocorrelation, Index trading, News sentiment, Price discovery

38.

When Does a Mutual Fund's Trade Reveal its Skill?

NBER Working Paper No. w13625
Number of pages: 52 Posted: 29 Nov 2007 Last Revised: 25 Sep 2010
University of Notre Dame - Mendoza College of Business, University of Notre Dame - Mendoza College of Business and Northwestern University - Kellogg School of Management
Downloads 41 (454,351)
Citation 1

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39.

Short Selling Efficiency

Number of pages: 41 Posted: 15 Jun 2020
Yong Chen, Zhi Da and Dayong Huang
Texas A&M University - Department of Finance, University of Notre Dame - Mendoza College of Business and University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics
Downloads 39 (462,841)

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Short Selling Efficiency, Return Predictability, Mis-pricing, Market Efficiency

40.

Lottery Tax Windfalls, State-Level Fiscal Policy, and Consumption

Number of pages: 19 Posted: 10 Jul 2013
University of Notre Dame - Mendoza College of Business, Chapman University and Michigan State University - Department of Finance
Downloads 37 (471,500)

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Lotteries, Fiscal Policy, Consumption

41.

The Information in Trade Financing

Number of pages: 38 Posted: 04 May 2020 Last Revised: 08 May 2020
Chapman University - The George L. Argyros School of Business and Economics, University of Notre Dame - Mendoza College of Business and Chapman University
Downloads 33 (489,968)

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Informed Trading, Financing Constraints, Relative Valuation

42.

Digesting FOREXS

Number of pages: 48 Posted: 07 Jul 2020
Case Western Reserve University - Weatherhead School of Management, University of Notre Dame - Mendoza College of Business and Baylor University
Downloads 8 (643,768)

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return predictability, currency information, foreign operations

43.

Implementing Black-Litterman Using an Equivalent Formula and Equity Analyst Target Prices

Posted: 31 Mar 2012 Last Revised: 04 Feb 2015
Minnesota State University, Mankato, University of Notre Dame - Mendoza College of Business and Federal Reserve Banks - Federal Reserve Bank of New York

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Asset allocation, Black-Litterman model, Target price