Zhi Da

University of Notre Dame - Mendoza College of Business

Notre Dame, IN 46556-5646

United States

SCHOLARLY PAPERS

64

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60,253

TOTAL CITATIONS
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Top 746

in Total Papers Citations

1,242

Scholarly Papers (64)

1.

Hedging Demand and Market Intraday Momentum

Journal of Financial Economics (JFE), Volume 142, Issue 1, October 2021, Pages 377-403
Number of pages: 60 Posted: 26 Jan 2021 Last Revised: 24 Nov 2021
Erasmus University Rotterdam (EUR), University of Notre Dame - Mendoza College of Business, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam
Downloads 10,861 (1,078)

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Return momentum, Futures trading, Hedging demand, Return Predictability, Indexing

2.

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 3,641 (6,822)
Citation 187

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

3.
Downloads 2,448 (12,794)
Citation 59

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 - The George L. Argyros College of Business and Economics
Downloads 1,738 (21,713)
Citation 13

Abstract:

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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 - The George L. Argyros College of Business and Economics
Downloads 477 (128,845)
Citation 5

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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 - The George L. Argyros College of Business and Economics
Downloads 233 (282,555)
Citation 41

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momentum, limited attention, information discreteness

4.

End-of-Day Reversal

Number of pages: 55 Posted: 17 Dec 2024 Last Revised: 23 May 2025
Erasmus University Rotterdam (EUR), University of Notre Dame - Mendoza College of Business and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 2,248 (14,696)

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intraday returns, return predictability, asset pricing, high-frequency

5.
Downloads 2,238 (14,797)
Citation 9

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 1,511 (26,889)
Citation 4

Abstract:

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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 727 (75,699)
Citation 5

Abstract:

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return reversal, liquidity

6.

What Drives Stock Price Movement?

Number of pages: 53 Posted: 18 Apr 2008 Last Revised: 24 Aug 2022
Cheung Kong Graduate School of BusinessLuohan Academy, University of Notre Dame - Mendoza College of Business and Government of the United States of America - Office of the Comptroller of the Currency (OCC) - Risk Analysis Division
Downloads 1,998 (17,768)
Citation 93

Abstract:

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

7.

Same-Weekday Momentum

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2024
Number of pages: 55 Posted: 25 Apr 2024 Last Revised: 24 Apr 2025
Zhi Da and Xiao Zhang
University of Notre Dame - Mendoza College of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,967 (18,250)

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Momentum, Same-Weekday, Return Seasonality

8.

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 1,866 (19,832)
Citation 87

Abstract:

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exchange-traded funds, correlation

9.

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 1,807 (20,830)
Citation 205

Abstract:

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Investor Sentiment, Volatility, Fund Flow, Survey

10.

Market Returns and a Tale of Two Types of Attention

Number of pages: 78 Posted: 03 Apr 2020 Last Revised: 08 May 2025
University of Notre Dame - Mendoza College of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, National Taiwan University - Department of Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 1,612 (24,864)

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G11, G12, G14, G4 Return Predictability, Institutional Attention, Retail Attention, Macroeconomic Announcements, Announcement Premium, Order Imbalance, Mutual Fund Flow

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 1,424 (29,356)
Citation 12

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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 2022
University of Notre Dame - Mendoza College of Business, University of Illinois at Chicago - Department of Finance and Northwestern University - Kellogg School of Management
Downloads 145 (436,081)
Citation 9

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12.

Fractional Trading

Number of pages: 70 Posted: 10 Nov 2021 Last Revised: 16 Jan 2024
University of Notre Dame - Mendoza College of Business, European Corporate Governance Institute (ECGI) and Chinese University of Hong Kong, Shenzhen
Downloads 1,428 (29,768)
Citation 2

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Fractional Trading, Bubble, Coordination, Feedback, COVID-19

13.

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 1,267 (35,466)
Citation 135

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

14.

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 1,249 (36,181)
Citation 20

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Search Volume, Earnings Surprises, Revenue Surprises

15.

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 1,100 (43,615)
Citation 2

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Short run reversal, liquidity, sentiment, fundamental news

16.

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

Number of pages: 45 Posted: 20 Mar 2017 Last Revised: 14 Feb 2022
University of Notre Dame, University of Notre Dame - Mendoza College of Business, University of Notre Dame and Cornell University
Downloads 1,084 (44,537)
Citation 7

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Information Diffusion, Price Pressure, Social Media, Liquidity

17.

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 - The George L. Argyros College of Business and Economics
Downloads 1,052 (46,415)
Citation 1

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Analyst Forecasts, Limited Attention, Return Predictability

18.

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 969 (52,146)
Citation 45

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

19.

Internalized Retail Order Imbalances and Institutional Liquidity Demand

Number of pages: 72 Posted: 18 Nov 2021 Last Revised: 22 Dec 2023
Chapman University - The George L. Argyros College of Business and Economics, University of Illinois at Urbana-Champaign - Department of Economics, University of Notre Dame - Mendoza College of Business and Chapman University - The George L. Argyros College of Business and Economics
Downloads 964 (52,505)
Citation 4

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Retail Trade, Institutional Trade, Payment for Order Flow, Internalization, Liquidity, Microstructure

20.

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

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 58 Posted: 22 Mar 2018 Last Revised: 08 Sep 2020
University of Notre Dame - Mendoza College of Business, Washington University in St. Louis - Olin Business School and SC Johnson College of Business, Cornell University
Downloads 945 (53,963)
Citation 15

Abstract:

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

21.

Dividend Smoothing and Predictability

Number of pages: 56 Posted: 12 Oct 2008 Last Revised: 16 Mar 2011
Cheung Kong Graduate School of BusinessLuohan Academy, University of Notre Dame - Mendoza College of Business and Norwegian Business School
Downloads 919 (56,096)
Citation 37

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

22.

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 908 (57,023)

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

23.

Do Hedge Funds Strategically Misreport Their Holdings? Evidence from 13F Restatements

Number of pages: 52 Posted: 20 Aug 2021 Last Revised: 26 May 2023
University of Maryland - Robert H. Smith School of Business, University of Notre Dame - Mendoza College of Business, University of Waterloo - School of Accounting and Finance and Georgia State University - J. Mack Robinson College of Business
Downloads 904 (57,385)

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Strategic Disclosure, Hedge Funds, Ownership Disclosure, 13F Holdings, Restatement, Fund Skill

24.
Downloads 875 (59,987)
Citation 6

Margin Trading and Leverage Management

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-29
Number of pages: 74 Posted: 11 Mar 2021
University of International Business and Economics (UIBE), University of Notre Dame - Mendoza College of Business, Stanford University - Knight Management Center, HKUST Business School, Yale School of Management and Tsinghua University - PBC School of Finance
Downloads 775 (69,493)
Citation 6

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margin trading, leverage management, liquidation policy, contagion

Margin Trading and Leverage Management

Number of pages: 74 Posted: 22 Mar 2021
University of International Business and Economics (UIBE), University of Notre Dame - Mendoza College of Business, Stanford University - Knight Management Center, HKUST Business School, Yale School of Management and Tsinghua University - PBC School of Finance
Downloads 100 (585,075)

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margin trading, leverage management, liquidation policy, contagion

25.

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 765 (71,865)
Citation 3

Abstract:

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Analyst target prices, liquidity

26.

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 754 (73,293)
Citation 60

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

27.

Short Selling Efficiency

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 56 Posted: 15 Jun 2020 Last Revised: 20 Jul 2021
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 652 (88,305)
Citation 25

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Short Selling Efficiency, Return Predictability, Mispricing, Market Efficiency

28.
Downloads 649 (88,829)
Citation 34

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 542 (110,289)
Citation 34

Abstract:

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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 Last Revised: 04 Feb 2023
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 107 (556,220)

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29.

Indexing and Stock Market Serial Dependence Around the World

Journal of Financial Economics (JFE), 132(1), p. 26-48, 2019.
Number of pages: 49 Posted: 30 May 2016 Last Revised: 29 Nov 2021
Erasmus University Rotterdam (EUR), Erasmus University and University of Notre Dame - Mendoza College of Business
Downloads 647 (89,178)
Citation 12

Abstract:

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Return autocorrelation, Stock market indexing, Arbitrage

30.

Intraday Option Return: A Tale of Two Momentum

Number of pages: 34 Posted: 16 Dec 2024
University of Notre Dame - Mendoza College of Business, McGill University - Desautels Faculty of Management and Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 646 (89,378)
Citation 1

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31.

Financialization and Commodity Markets Serial Dependence

Management Science, forthcoming
Number of pages: 83 Posted: 06 Dec 2018 Last Revised: 24 Aug 2022
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, University of Macau - Department of Economics and University of Toronto - Rotman School of Management
Downloads 642 (90,090)
Citation 17

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

32.

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, HKUST Business School and Tsinghua University - PBC School of Finance
Downloads 611 (95,975)
Citation 19

Abstract:

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Margin trading, leverage, contagion, network centrality

33.
Downloads 600 (98,206)
Citation 12

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 392 (162,425)
Citation 10

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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 208 (315,386)
Citation 2

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

34.

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 566 (105,743)
Citation 20

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Clientele, Liquidity, Default Risk, Stock Return

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 428 (146,819)
Citation 6

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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 Last Revised: 22 Jul 2023
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 107 (556,220)

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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 402 (157,818)
Citation 5

Abstract:

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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: 04 Dec 2022
University of Notre Dame - Mendoza College of Business, University of Notre Dame - Mendoza College of Business and Northwestern University - Kellogg School of Management
Downloads 94 (609,787)

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37.

Informative Price Pressure

Number of pages: 42 Posted: 14 Feb 2025
Salman Arif, Zhi Da and Wenwei Lin
University of Minnesota - Twin Cities - Carlson School of Management, University of Notre Dame - Mendoza College of Business and Chinese University of Hong Kong, Shenzhen
Downloads 489 (126,670)

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Price pressure, hedging, informed trading, FOMC meetings

38.

Presidential Economic Approval Rating and the Cross-Section of Stock Returns

Journal of Financial Economics (JFE), Vol. 147, No. 1, 2023
Number of pages: 74 Posted: 17 Mar 2021 Last Revised: 08 Nov 2022
Southwestern University of Finance and Economics (SWUFE) - School of Finance, University of Notre Dame - Mendoza College of Business, Singapore Management University - Lee Kong Chian School of Business and Hong Kong Baptist University
Downloads 487 (127,289)

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Presidential puzzle, political cycle, presidential economic approval rating, presidential job approval rating, sentiment

39.

All in a Day’s Work: What Do We Learn From Analysts’ Bloomberg Usage?

Number of pages: 51 Posted: 09 May 2022 Last Revised: 12 Sep 2022
Rutgers Business School - Rutgers University, Rice University, University of Notre Dame - Mendoza College of Business and Michigan State University - Department of Finance
Downloads 478 (130,139)
Citation 1

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Analysts, Effort Provision, Forecast Accuracy, Work From Home

40.

Institutional Liquidity Costs, Internalized Retail Trade Imbalances, and the Cross-Section of Stock Returns

Number of pages: 101 Posted: 28 Mar 2022 Last Revised: 02 Jan 2025
Chapman University - The George L. Argyros College of Business and Economics, University of Illinois at Urbana-Champaign - Department of Economics, University of Notre Dame - Mendoza College of Business and Chapman University - The George L. Argyros College of Business and Economics
Downloads 460 (136,395)
Citation 2

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Order Flow Segmentation, Internalized Retail Trade, Institutional Trading Costs, Cross-section of Stock Returns, Liquidity Premium

41.

Pension Fund Flows, Exchange Rates, and Covered Interest Rate Parity

Number of pages: 72 Posted: 15 Oct 2022 Last Revised: 26 Sep 2024
Universidad de los Andes, Chile - ESE Business School, University of Notre Dame - Mendoza College of Business, Pontificia Universidad Catolica de Chile and University of Texas at Austin - McCombs School of Business
Downloads 425 (149,599)
Citation 2

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Exchange Rates; CIP Deviations; Pension Funds; Market Efficiency

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 Business School, University of New South Wales
Downloads 335 (193,328)

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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 Last Revised: 05 Jun 2023
University of Notre Dame - Mendoza College of Business, Northwestern University - Kellogg School of Management and UNSW Business School, University of New South Wales
Downloads 58 (807,478)

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43.

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 - The George L. Argyros College of Business and Economics
Downloads 368 (176,092)
Citation 5

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Analyst Forecasts, Return Predictability

44.

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 364 (178,216)
Citation 41

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cash flow, consumption risk, stock returns, duration

45.

You can Only Lend What you Own: Inferring Daily Institutional Trading from Security Lending Supply

Number of pages: 50 Posted: 25 Nov 2024 Last Revised: 13 Mar 2025
Chapman University - The George L. Argyros College of Business and Economics, University of Notre Dame - Mendoza College of Business, U.S. Securities and Exchange Commission and Louisiana State University, Baton Rouge
Downloads 344 (189,557)

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Institutional Trading, Security Lending, Lendable Equity, Proxy, Machine Learning

46.

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 342 (190,713)
Citation 14

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

47.

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 - The George L. Argyros College of Business and Economics and Michigan State University - Department of Finance
Downloads 302 (218,221)
Citation 2

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Fiscal Policy, Consumption, Stock Returns

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 Business School, University of New South Wales
Downloads 202 (324,346)

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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 Last Revised: 15 Mar 2023
University of Notre Dame - Mendoza College of Business, Northwestern University - Kellogg School of Management and UNSW Business School, University of New South Wales
Downloads 52 (853,468)

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49.

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 240 (275,881)
Citation 8

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liquidity shock, bond return reversal, clientele change

50.

Presidential Cycles in PEAD

Number of pages: 53 Posted: 02 Oct 2024 Last Revised: 21 Apr 2025
Zhi Da, Liyao Wang and Ming Zeng
University of Notre Dame - Mendoza College of Business, Hong Kong Baptist University and University of Gothenburg - Centre for Finance
Downloads 227 (291,387)

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post-earnings announcement drift, presidential cycles, Republicans, Democrats, underreaction, earnings surprises, subjective expectation, tax policy uncertainty

51.

Digesting FOREXS: Information Transmission across Asset Classes and Return Predictability

Number of pages: 65 Posted: 07 Jul 2020 Last Revised: 22 Oct 2021
Case Western Reserve University - Weatherhead School of Management, University of Notre Dame - Mendoza College of Business and Southern Illinois University - Southern Illinois University at Carbondale
Downloads 219 (301,620)

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return predictability, currency information, foreign operations

52.

What Moves Investment Growth?

Number of pages: 42 Posted: 18 Mar 2011
Cheung Kong Graduate School of BusinessLuohan Academy, University of Notre Dame - Mendoza College of Business and Pontificia Universidad Catolica de Chile
Downloads 217 (304,314)
Citation 4

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

53.

The Information in Industry-Neutral Self-Financed Trades

Journal of Financial & Quantitative Analysis, Forthcoming
Number of pages: 63 Posted: 04 May 2020 Last Revised: 09 May 2023
Chapman University - The George L. Argyros College of Business and Economics, University of Notre Dame - Mendoza College of Business and Chapman University - The George L. Argyros College of Business and Economics
Downloads 211 (312,514)

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Informed Trading, Self Financing, Industry Neutral, Institutional Investor Skill

54.

What Moves Aggregate Investment?

Number of pages: 56 Posted: 01 Oct 2009 Last Revised: 18 Mar 2010
Cheung Kong Graduate School of BusinessLuohan Academy, University of Notre Dame - Mendoza College of Business and Pontificia Universidad Catolica de Chile
Downloads 211 (312,514)
Citation 2

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

55.

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

Number of pages: 39 Posted: 15 Mar 2016 Last Revised: 15 Sep 2020
University of Notre Dame - Mendoza College of Business, University of Texas at Dallas, Vanderbilt University - Owen Graduate School of Management and Chapman University - The George L. Argyros College of Business and Economics
Downloads 188 (348,042)
Citation 5

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Air Travel, Local Bias, Diversification, Cost of Equity

56.

Short-selling Profitability, Stock Lending Fees, and Asset Pricing Anomalies

Number of pages: 59 Posted: 28 Mar 2025
University of Notre Dame - Mendoza College of Business, University of Northern British Columbia, Arkansas State University and University of Manitoba
Downloads 121 (503,060)

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Short-selling fees, Stock lending market

57.

Inside and Outside Informed Trading

Number of pages: 49 Posted: 03 Mar 2025
Zhi Da, Xi Dong, Ke Wu and Dexin Zhou
University of Notre Dame - Mendoza College of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Renmin University of China - School of Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 121 (503,060)

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Informed trading, Firms, Share issuance, Buybacks, Insiders, Outside arbitragers, Profitability, Momentum, Persistence in Profitability, Fundamental Valuation, Anomalies

58.

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 2022
University of Notre Dame - Mendoza College of Business, University of Notre Dame - Mendoza College of Business and Northwestern University - Kellogg School of Management
Downloads 80 (665,685)
Citation 1

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59.

Uncovering the Hidden Effort Problem

NBER Working Paper No. w28441
Number of pages: 52 Posted: 08 Feb 2021 Last Revised: 19 Mar 2023
Rutgers Business School - Rutgers University, Rice University, University of Notre Dame - Mendoza College of Business and Michigan State University - Department of Finance
Downloads 79 (670,587)
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60.

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 - The George L. Argyros College of Business and Economics and Michigan State University - Department of Finance
Downloads 75 (690,738)
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Lotteries, Fiscal Policy, Consumption

61.

Artificial Intelligence and the Law of One Price: Evidence from the Chinese A-H Premium

Number of pages: 61 Posted: 07 May 2025
University of Notre Dame - Mendoza College of Business, Southwestern University of Finance and Economics (SWUFE), Monash University and RMIT University
Downloads 45 (893,312)

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Artificial Intelligence, Law of One Price, Censorship, A-H Share Premium

62.

Non-Fundamental Flows and Foreign Exchange Rates

NBER Working Paper No. w30753
Number of pages: 54 Posted: 19 Dec 2022 Last Revised: 13 Jul 2023
Universidad de los Andes, University of Notre Dame - Mendoza College of Business, Pontificia Universidad Catolica de Chile and University of Texas at Austin - McCombs School of Business
Downloads 21 (1,150,978)
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63.

Security Analysis and the Collection of Hard and Soft Information

NBER Working Paper No. w31936
Number of pages: 64 Posted: 12 Dec 2023
Rutgers Business School - Rutgers University, Rice University, University of Notre Dame - Mendoza College of Business and Michigan State University - Department of Finance
Downloads 10 (1,279,106)
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64.

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