Zhi Da

University of Notre Dame - Mendoza College of Business

Notre Dame, IN 46556-5646

United States

SCHOLARLY PAPERS

36

DOWNLOADS
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Top 1,366

in Total Papers Downloads

17,368

CITATIONS
Rank 3,155

SSRN RANKINGS

Top 3,155

in Total Papers Citations

174

Scholarly Papers (36)

1.

In Search of Attention

AFA 2010 Atlanta Meetings Paper
Number of pages: 45 Posted: 22 Mar 2009 Last Revised: 30 Oct 2014
University of Notre Dame - Mendoza College of Business, University of California, San Diego (UCSD) - Rady School of Management and University of Notre Dame - Mendoza College of Business
Downloads 2,058 (4,307)
Citation 50

Abstract:

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

2.

What Drives Stock Price Movement?

Number of pages: 53 Posted: 18 Apr 2008 Last Revised: 24 Mar 2012
Cheung Kong Graduate School of Business, 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 1,647 (7,210)
Citation 18

Abstract:

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

3.
Downloads 1,414 ( 9,869)
Citation 1

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 1,146 (13,525)

Abstract:

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 268 (92,378)
Citation 1

Abstract:

return reversal, liquidity

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 907 (19,304)
Citation 11

Abstract:

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
University of Notre Dame - Mendoza College of Business, University of Illinois at Chicago - Department of Finance and Northwestern University - Kellogg School of Management
Downloads 101 (219,980)
Citation 11

Abstract:

5.
Downloads 877 ( 20,663)
Citation 3

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 - Naveen Jindal School of Management and University of San Diego
Downloads 579 (36,356)
Citation 3

Abstract:

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 - Naveen Jindal School of Management and University of San Diego
Downloads 153 (158,956)
Citation 3

Abstract:

momentum, limited attention, information discreteness

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 - Naveen Jindal School of Management and University of San Diego
Downloads 145 (166,533)
Citation 3

Abstract:

Momentum, Information Discreteness, Idiosyncratic Volatility

6.

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 754 (20,321)
Citation 5

Abstract:

Investor Sentiment, Volatility, Fund Flow, Survey

7.

Dividend Smoothing and Predictability

Number of pages: 56 Posted: 12 Oct 2008 Last Revised: 16 Mar 2011
Cheung Kong Graduate School of Business, University of Notre Dame - Mendoza College of Business and Norwegian Business School
Downloads 707 (26,661)
Citation 19

Abstract:

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

8.

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 University of San Diego
Downloads 692 (25,112)

Abstract:

Analyst Forecasts, Limited Attention, Return Predictability

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 672 (23,450)
Citation 2

Abstract:

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 661 (22,390)

Abstract:

Short run reversal, liquidity, sentiment, fundamental news

11.

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 580 (22,057)
Citation 1

Abstract:

exchange-traded funds, correlation

12.

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 526 (38,110)
Citation 1

Abstract:

Analyst target prices, liquidity

13.

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 487 (43,720)
Citation 21

Abstract:

Clientele, Liquidity, Default Risk, Stock Return

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 335 (71,814)
Citation 12

Abstract:

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
University of Notre Dame - Mendoza College of Business, University of Notre Dame - Mendoza College of Business and Northwestern University - Kellogg School of Management
Downloads 63 (294,170)
Citation 12

Abstract:

15.
Downloads 391 ( 60,371)
Citation 2

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 265 (93,508)
Citation 2

Abstract:

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 126 (186,500)
Citation 2

Abstract:

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

16.

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 272 (86,429)
Citation 21

Abstract:

cash flow, consumption risk, stock returns, duration

17.

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 University of San Diego
Downloads 200 (111,793)
Citation 4

Abstract:

Analyst Forecasts, Return Predictability

18.

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, University of San Diego and Michigan State University - Department of Finance
Downloads 184 (116,415)

Abstract:

Fiscal Policy, Consumption, Stock Returns

Growth Expectations, Dividend Yields, and Future Stock Returns

Finance Down Under 2015 Building on the Best from the Cellars of Finance Paper
Number of pages: 58 Posted: 30 Oct 2014 Last Revised: 20 Nov 2014
University of Notre Dame - Mendoza College of Business, Northwestern University - Kellogg School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 166 (148,010)

Abstract:

Growth Expectations, Dividend Yields, and Future Stock Returns

NBER Working Paper No. w20651
Number of pages: 58 Posted: 03 Nov 2014
University of Notre Dame - Mendoza College of Business, Northwestern University - Kellogg School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 15 (485,325)

Abstract:

20.

Arbitrage Trading: The Long and the Short of It

Number of pages: 54 Posted: 20 Feb 2015 Last Revised: 13 Nov 2015
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 178 (68,103)

Abstract:

Arbitrage trading, hedge fund holdings, short interest, stock return anomalies, limits to arbitrage

Destabilizing Financial Advice: Evidence from Pension Fund Reallocations

Number of pages: 56 Posted: 02 Feb 2015 Last Revised: 29 Jan 2017
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 151 (160,806)

Abstract:

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

Coordinated Noise Trading: Evidence from Pension Fund Reallocations

NBER Working Paper No. w22161
Number of pages: 50 Posted: 11 Apr 2016
University of Notre Dame - Mendoza College of Business, Pontificia Universidad Catolica de Chile, University of Texas at Austin - McCombs School of Business and Business School, Pontificia Universidad Católica
Downloads 5 (540,159)

Abstract:

22.

What Moves Aggregate Investment?

Number of pages: 56 Posted: 01 Oct 2009 Last Revised: 18 Mar 2010
Long Chen, Zhi Da and Borja Larrain
Cheung Kong Graduate School of Business, University of Notre Dame - Mendoza College of Business and Pontificia Universidad Catolica de Chile
Downloads 145 (156,955)
Citation 1

Abstract:

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

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, University of North Carolina at Charlotte - Department of Accounting and Loyola University Maryland
Downloads 135 (176,449)

Abstract:

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, University of North Carolina at Charlotte - Department of Accounting and Loyola University Maryland
Downloads 0

Abstract:

target prices, earnings forecasts, variance decomposition

Investor Optimism, Sales Fixation and Firm Life Cycle

Number of pages: 63 Posted: 14 Nov 2012 Last Revised: 05 Feb 2014
University of Notre Dame - Mendoza College of Business, Northwestern University - Kellogg School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 116 (198,794)

Abstract:

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

Building Castles in the Air: Evidence from Industry IPO Waves

NBER Working Paper No. w18555
Number of pages: 64 Posted: 22 Nov 2012
University of Notre Dame - Mendoza College of Business, Northwestern University - Kellogg School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 13 (496,870)

Abstract:

25.

What Moves Investment Growth?

Number of pages: 42 Posted: 18 Mar 2011
Long Chen, Zhi Da and Borja Larrain
Cheung Kong Graduate School of Business, University of Notre Dame - Mendoza College of Business and Pontificia Universidad Catolica de Chile
Downloads 117 (174,950)

Abstract:

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

26.

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 115 (165,248)
Citation 3

Abstract:

liquidity shock, bond return reversal, clientele change

27.

When Does a Mutual Fund&Apos;S Trade Reveal its Skill?

NBER Working Paper No. w13625
Number of pages: 52 Posted: 29 Nov 2007
University of Notre Dame - Mendoza College of Business, University of Notre Dame - Mendoza College of Business and Northwestern University - Kellogg School of Management
Downloads 33 (373,419)
Citation 2

Abstract:

28.

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, University of San Diego and Michigan State University - Department of Finance
Downloads 19 (411,099)

Abstract:

Lotteries, Fiscal Policy, Consumption

29.

Does SEC Form 8-K Provide Information Necessary or Useful for the Protection of Investors?

Kelley School of Business Research Paper No. 17-24
Number of pages: 42 Posted: 29 Mar 2017
Indiana University - Kelley School of Business - Department of Finance, University of Notre Dame - Mendoza College of Business, University of Notre Dame - Department of Accountancy and Indiana University - Kelley School of Business - Department of Finance
Downloads 0 (163,342)

Abstract:

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

30.

Demand for Information and Asset Pricing

NBER Working Paper No. w23274
Number of pages: 41 Posted: 27 Mar 2017
Indiana University - Kelley School of Business - Department of Finance, University of California, Los Angeles (UCLA) - Anderson School of Management, University of Notre Dame - Mendoza College of Business and Indiana University - Kelley School of Business - Department of Finance
Downloads 0 (397,442)

Abstract:

31.

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

Number of pages: 54 Posted: 20 Mar 2017 Last Revised: 23 Mar 2017
University of Notre Dame, University of Notre Dame - Mendoza College of Business, University of Notre Dame and University of Illinois at Urbana-Champaign
Downloads 0 (272,467)

Abstract:

Information Diffusion, Price Pressure, Social Media, Liquidity

32.

Indexing and Stock Market Serial Dependence Around the World

Number of pages: 49 Posted: 30 May 2016 Last Revised: 23 Dec 2016
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University and University of Notre Dame - Mendoza College of Business
Downloads 0 (116,970)

Abstract:

Return autocorrelation, Stock market indexing, Arbitrage

33.

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

Number of pages: 43 Posted: 15 Mar 2016 Last Revised: 12 Feb 2017
University of Notre Dame - Mendoza College of Business, University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of San Diego
Downloads 0 (281,264)

Abstract:

Air Travel, Local Bias, Diversification, Cost of Equity

34.

Harnessing the Wisdom of Crowds

Number of pages: 55 Posted: 15 Feb 2016 Last Revised: 05 Jan 2017
Zhi Da and Xing Huang
University of Notre Dame - Mendoza College of Business and Michigan State University - Broad College of Business
Downloads 0 (107,928)

Abstract:

Wisdom of Crowds, Herding, Earnings Forecast

35.

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
Indiana University - Kelley School of Business - Department of Finance, University of Notre Dame - Mendoza College of Business and Indiana University - Kelley School of Business - Department of Finance
Downloads 0 (58,384)

Abstract:

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

36.

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

Abstract:

Asset allocation, Black-Litterman model, Target price