Zhi Da

University of Notre Dame - Mendoza College of Business

Notre Dame, IN 46556-5646

United States

SCHOLARLY PAPERS

56

DOWNLOADS
Rank 924

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Top 924

in Total Papers Downloads

49,243

SSRN CITATIONS
Rank 829

SSRN RANKINGS

Top 829

in Total Papers Citations

1,718

CROSSREF CITATIONS

145

Scholarly Papers (56)

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 9,341 (1,205)

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 3,278 (7,128)
Citation 187

Abstract:

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

3.
Downloads 2,206 (13,391)
Citation 61

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 1,573 (22,329)
Citation 10

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 419 (132,312)
Citation 4

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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 214 (268,149)
Citation 41

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momentum, limited attention, information discreteness

4.
Downloads 2,139 (14,065)
Citation 3

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 1,490 (24,203)
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 649 (77,331)
Citation 5

Abstract:

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return reversal, liquidity

5.

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 1,927 (16,526)
Citation 82

Abstract:

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

6.

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 1,666 (20,793)
Citation 81

Abstract:

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exchange-traded funds, correlation

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 1,519 (23,964)
Citation 174

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Investor Sentiment, Volatility, Fund Flow, Survey

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 1,356 (27,823)
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: 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 131 (413,076)
Citation 8

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9.

Market Returns and a Tale of Two Types of Attention

Number of pages: 78 Posted: 03 Apr 2020 Last Revised: 17 May 2024
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 1,284 (30,772)

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Return Predictability, Institutional Attention, Retail Attention, Macroeconomic Announcements, Announcement Premium, Order Imbalance, Mutual Fund Flow.

10.

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 1,215 (33,267)
Citation 20

Abstract:

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Search Volume, Earnings Surprises, Revenue Surprises

11.

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 University of Minnesota, Carlson School of Management
Downloads 1,194 (34,093)
Citation 1

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

12.

Same-Weekday Momentum

Number of pages: 39 Posted: 25 Apr 2024
Zhi Da and Xiao Zhang
University of Notre Dame - Mendoza College of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,159 (35,536)

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Momentum, Same-Weekday, Return Seasonality

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 1,098 (38,460)
Citation 135

Abstract:

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

14.

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 1,048 (41,093)
Citation 1

Abstract:

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Short run reversal, liquidity, sentiment, fundamental news

15.

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 1,000 (43,952)
Citation 1

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Analyst Forecasts, Limited Attention, Return Predictability

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 967 (46,023)
Citation 7

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Information Diffusion, Price Pressure, Social Media, Liquidity

17.

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 919 (49,391)
Citation 45

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

18.

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 877 (52,658)
Citation 33

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

19.

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 865 (53,702)
Citation 15

Abstract:

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

20.

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 806 (59,117)

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

21.

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 804 (59,303)
Citation 4

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

22.

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
Downloads 738 (66,501)

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

23.
Downloads 715 (69,246)
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, Stanford University - Knight Management Center, HKUST Business School, Yale School of Management and Tsinghua University - PBC School of Finance
Downloads 630 (80,218)
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 85 (560,148)

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margin trading, leverage management, liquidation policy, contagion

24.

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 709 (70,001)
Citation 3

Abstract:

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Analyst target prices, liquidity

25.

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 652 (77,897)
Citation 60

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

26.
Downloads 602 (86,045)
Citation 29

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 506 (105,728)
Citation 29

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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 96 (517,380)

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27.

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 599 (86,624)
Citation 12

Abstract:

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Return autocorrelation, Stock market indexing, Arbitrage

28.

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 568 (92,646)
Citation 13

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

29.

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 567 (92,841)
Citation 19

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Short Selling Efficiency, Return Predictability, Mispricing, Market Efficiency

30.
Downloads 558 (94,728)
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 370 (152,599)
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 188 (302,107)
Citation 2

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

31.

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 547 (97,133)
Citation 20

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Clientele, Liquidity, Default Risk, Stock Return

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 537 (99,643)
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 391 (143,380)
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 87 (551,791)

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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 380 (148,060)
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 64 (660,135)

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35.

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 415 (135,125)

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Analysts, Effort Provision, Forecast Accuracy, Work From Home

36.

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 402 (140,214)

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

37.

Uncovering the Liquidity Premium in Stock Returns Using Sub-Penny Trade Executions

Number of pages: 80 Posted: 28 Mar 2022 Last Revised: 16 Jan 2024
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 364 (156,659)
Citation 1

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

38.

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 354 (161,520)
Citation 41

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cash flow, consumption risk, stock returns, duration

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 291 (197,650)

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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 55 (712,372)

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40.

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 339 (169,159)
Citation 5

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Analyst Forecasts, Return Predictability

41.

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 312 (184,753)
Citation 11

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

42.

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 289 (200,313)
Citation 2

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Fiscal Policy, Consumption, Stock Returns

43.

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

Number of pages: 75 Posted: 15 Oct 2022 Last Revised: 30 Nov 2023
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 283 (204,627)

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Exchange Rates; CIP Deviations; Pension Funds; Market Efficiency

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 191 (297,723)

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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 46 (772,125)

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45.

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 226 (255,567)
Citation 8

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liquidity shock, bond return reversal, clientele change

46.

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 205 (279,921)
Citation 4

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

47.

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 203 (282,416)
Citation 2

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

48.

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 195 (292,857)

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return predictability, currency information, foreign operations

49.

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 186 (305,611)

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

50.

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 174 (324,351)
Citation 5

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Air Travel, Local Bias, Diversification, Cost of Equity

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: 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 73 (604,967)
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 College of Business and Economics and Michigan State University - Department of Finance
Downloads 66 (638,466)
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 2023
Rutgers Business School - Rutgers University, Rice University, University of Notre Dame - Mendoza College of Business and Michigan State University - Department of Finance
Downloads 47 (747,325)
Citation 2

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54.

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 10 (1,075,960)

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55.

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 4 (1,132,900)
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56.

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