Zhi Da

University of Notre Dame - Mendoza College of Business

Notre Dame, IN 46556-5646

United States

SCHOLARLY PAPERS

54

DOWNLOADS
Rank 1,131

SSRN RANKINGS

Top 1,131

in Total Papers Downloads

32,720

SSRN CITATIONS
Rank 1,504

SSRN RANKINGS

Top 1,504

in Total Papers Citations

662

CROSSREF CITATIONS

157

Scholarly Papers (54)

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 3,093 (5,427)

Abstract:

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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 2,861 (6,171)
Citation 187

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

3.
Downloads 1,882 ( 12,087)
Citation 7

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 1,387 (19,010)
Citation 9

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 495 (78,268)
Citation 4

Abstract:

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return reversal, liquidity

4.

What Drives Stock Price Movement?

Number of pages: 53 Posted: 18 Apr 2008 Last Revised: 24 Mar 2012
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 Currency Comptroller - Risk Analysis Division
Downloads 1,840 (12,513)
Citation 40

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

5.
Downloads 1,621 ( 15,303)
Citation 28

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 School of Business & Economics
Downloads 1,105 (26,708)
Citation 5

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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 School of Business & Economics
Downloads 331 (124,757)
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 - The George L. Argyros School of Business & Economics
Downloads 185 (221,390)
Citation 22

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momentum, limited attention, information discreteness

6.
Downloads 1,438 ( 18,337)
Citation 46

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 1,437 (18,009)
Citation 13

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 (895,953)
Citation 37

Abstract:

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exchange‐traded‐fund, correlation, arbitrage

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 1,269 (21,735)
Citation 12

Abstract:

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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: 09 Mar 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 110 (334,670)
Citation 1

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8.

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 1,239 (22,939)
Citation 80

Abstract:

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Investor Sentiment, Volatility, Fund Flow, Survey

9.

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 1,066 (28,593)
Citation 15

Abstract:

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Search Volume, Earnings Surprises, Revenue Surprises

10.

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 980 (32,150)
Citation 1

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Short run reversal, liquidity, sentiment, fundamental news

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 916 (35,423)
Citation 50

Abstract:

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

12.

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 School of Business & Economics
Downloads 883 (37,236)
Citation 1

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Analyst Forecasts, Limited Attention, Return Predictability

13.

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 827 (40,796)
Citation 18

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

14.

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 781 (44,018)
Citation 10

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

15.

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 California Institute of Technology
Downloads 696 (51,430)
Citation 15

Abstract:

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

16.

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 627 (58,789)
Citation 3

Abstract:

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Analyst target prices, liquidity

17.

Market Returns and a Tale of Two Types of Attention

Number of pages: 60 Posted: 03 Apr 2020 Last Revised: 28 Mar 2022
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 619 (59,750)

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Return Predictability, Institutional Attention, Retail Attention

18.

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 604 (61,607)

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

19.

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 University of Illinois at Urbana-Champaign
Downloads 552 (69,069)
Citation 5

Abstract:

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Information Diffusion, Price Pressure, Social Media, Liquidity

20.

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 532 (72,411)
Citation 24

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

21.

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 520 (74,382)
Citation 20

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Clientele, Liquidity, Default Risk, Stock Return

22.
Downloads 501 ( 77,900)
Citation 9

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 443 (89,409)
Citation 8

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 2022
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 58 (488,026)

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23.

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 500 (78,105)
Citation 12

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Return autocorrelation, Stock market indexing, Arbitrage

24.
Downloads 471 ( 83,958)
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 329 (125,640)
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 142 (276,634)
Citation 2

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

25.

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 SUSTech Business School
Downloads 431 (93,155)
Citation 19

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Margin trading, leverage, contagion, network centrality

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 360 (113,629)
Citation 5

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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: 03 Dec 2021
University of Notre Dame - Mendoza College of Business, University of Notre Dame - Mendoza College of Business and Northwestern University - Kellogg School of Management
Downloads 70 (442,938)

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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 406 (99,861)

Abstract:

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Short Selling Efficiency, Return Predictability, Mispricing, Market Efficiency

28.

Fractional Trading

Number of pages: 63 Posted: 10 Nov 2021 Last Revised: 06 May 2022
University of Notre Dame - Mendoza College of Business, University of Minnesota - Twin Cities - Carlson School of Management and University of Minnesota, Carlson School of Management
Downloads 368 (112,008)

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Fractional Trading, Retail Investors, Fintech, Market Efficiency, Social Media, Stock Split, Coordination, COVID-19

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 330 (125,211)
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: 20 Jan 2022
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 13 (767,790)

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30.

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 325 (127,995)
Citation 29

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cash flow, consumption risk, stock returns, duration

31.

Financialization and Commodity Markets Serial Dependence

Number of pages: 79 Posted: 06 Dec 2018 Last Revised: 07 Jan 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 320 (129,996)
Citation 1

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

32.

Retail Order Flow Imbalances: Informed Trading or Liquidity Provision?

Number of pages: 68 Posted: 18 Nov 2021 Last Revised: 15 Mar 2022
Chapman University - The George L. Argyros School of Business & 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 School of Business & Economics
Downloads 299 (140,095)

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

33.

The Strategic Use of 13F Restatements by Hedge Funds

Number of pages: 55 Posted: 20 Aug 2021 Last Revised: 14 Sep 2021
Georgia State University - J. Mack Robinson College of Business, University of Notre Dame - Mendoza College of Business, University of Waterloo - School of Accounting and Finance and Georgia State University - Robinson College of Business
Downloads 287 (145,719)

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

34.

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 School of Business & Economics
Downloads 285 (146,762)
Citation 5

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Analyst Forecasts, Return Predictability

35.
Downloads 280 (149,369)
Citation 3

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, University of Chicago - Finance, London School of Economics & Political Science (LSE), Yale School of Management and SUSTech Business School
Downloads 239 (174,303)
Citation 4

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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, University of Chicago - Finance, London School of Economics & Political Science (LSE), Yale School of Management and SUSTech Business School
Downloads 41 (566,882)

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margin trading, leverage management, liquidation policy, contagion

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 232 (179,369)

Abstract:

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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: 06 Jun 2021
University of Notre Dame - Mendoza College of Business, Northwestern University - Kellogg School of Management and UNSW Business School, University of New South Wales
Downloads 37 (588,697)

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37.

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 School of Business & Economics and Michigan State University - Department of Finance
Downloads 264 (158,553)
Citation 2

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Fiscal Policy, Consumption, Stock Returns

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 263 (158,587)

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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 2

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target prices, earnings forecasts, variance decomposition

39.

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

Number of pages: 64 Posted: 17 Mar 2021 Last Revised: 29 Nov 2021
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 (HKBU) - Department of Finance and Decision Sciences
Downloads 214 (193,980)

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

40.

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 193 (213,373)
Citation 8

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liquidity shock, bond return reversal, clientele change

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 161 (249,508)

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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: 14 Mar 2022
University of Notre Dame - Mendoza College of Business, Northwestern University - Kellogg School of Management and UNSW Business School, University of New South Wales
Downloads 26 (659,908)

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42.

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 175 (232,116)
Citation 2

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

43.

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 165 (243,929)
Citation 4

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

44.

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, University of Houston - Bauer College of Business and Chapman University - The George L. Argyros School of Business & Economics
Downloads 144 (272,726)
Citation 5

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Air Travel, Local Bias, Diversification, Cost of Equity

45.

Nowcasting Firms’ Fundamentals: Evidence from the Cloud

Number of pages: 55 Posted: 28 Jul 2021 Last Revised: 29 Apr 2022
Ran Chang and Zhi Da
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and University of Notre Dame - Mendoza College of Business
Downloads 127 (300,202)

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Alternative data, Cloud computing, Data growth, Expected returns, China

46.

The Information in Industry-Neutral Self-Financed Trades

Number of pages: 66 Posted: 04 May 2020 Last Revised: 25 Aug 2021
Chapman University - The George L. Argyros School of Business & Economics, University of Notre Dame - Mendoza College of Business and Chapman University - The George L. Argyros School of Business & Economics
Downloads 124 (305,444)

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Informed Trading, Self Financing, Industry Neutral, Institutional Investors, Manager Skills

47.

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 Baylor University - Hankamer School of Business
Downloads 98 (359,015)

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return predictability, currency information, foreign operations

48.

Analyzing the Analysts: Evidence from their Bloomberg Usage

Number of pages: 45 Posted: 09 May 2022
Rutgers Business School - Rutgers University, Rice University, University of Notre Dame - Mendoza College of Business and Michigan State University - Department of Finance
Downloads 71 (447,612)

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Analysts, Effort Provision, Forecast Accuracy, Work From Home

49.

Uncovering the Liquidity Premium in Stock Returns Using Retail Liquidity Provision

Number of pages: 49 Posted: 28 Mar 2022
Chapman University - The George L. Argyros School of Business & 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 School of Business & Economics
Downloads 68 (444,119)

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Institutional Trading Costs, Liquidity Premia, Retail Trade, Internalized Order Flow

50.

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

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 64 Posted: 03 Feb 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 (HKBU) - Department of Finance and Decision Sciences
Downloads 52 (504,710)

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51.

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: 26 Mar 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 50 (513,151)
Citation 1

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52.

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 School of Business & Economics and Michigan State University - Department of Finance
Downloads 43 (545,275)
Citation 1

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Lotteries, Fiscal Policy, Consumption

53.

Uncovering the Hidden Effort Problem

NBER Working Paper No. w28441
Number of pages: 52 Posted: 08 Feb 2021 Last Revised: 19 Mar 2022
Rutgers Business School - Rutgers University, Rice University, University of Notre Dame - Mendoza College of Business and Michigan State University - Department of Finance
Downloads 11 (757,928)
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54.

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