Zhi Da
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Last Update: May 2014

Zhi Da, 笪治

Viola D. Hank Associate Professor of Finance

Department of Finance
Mendoza College of Business
University of Notre Dame

Ph.D. in Finance, 2006
Kellogg School of Management, Northwestern University

MSc (Financial Engineering), 2001
National University of Singapore

BBA (1st Class Honors), 1999
National University of Singapore

Curriculum Vitae

Research Interests:

What drives asset return in both short-term (liquidity shock, investor sentiment, limited attention, etc.) and long-term (cashflow and discount rate news)

Selected Publications:

The Sum of All FEARS: Investor Sentiment and Asset Prices” (with Joey Engelberg and Pengjie Gao), accepted at Review of Financial Studies, FEARS

Frog in the Pan: Continuous Information and Momentum”(With Umit Gurun and Mitch Warachka), accepted at Review of Financial Studies

A Closer Look at the Short-Term Return Reversal” (with Qianqiu Liu and Ernst Schaumburg), Management Science, Vol 60, 658-674 (2014)
interview with automated trader.

What Drives Stock Price Movement” (with Long Chen and Xinlei Zhao), Review of Financial Studies, Vol 26, 841-876 (2013), lead article

Dividend Smoothing and Predictability” (with Long Chen and Richard Priestley), Management Science, Vol 58, 1834-1855 (2012)

CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence” (with Re-Jin Guo and Ravi Jagannathan), Journal of Financial Economics, Vol 103, 204-220 (2012)
Online Appendix

In Search of Attention” (with Joey Engelberg and Pengjie Gao), Journal of Finance, Vol 66, 1461-1499 (2011), lead article
First Prize Winner, 2010 Crowell Memorial Prize Paper Competition
First Prize Winner, 2009 Chicago Quantitative Alliance (CQA) Academic Competition,
featured in smartmoney.

"The Disparity between Long-term and Short-term Forecasted Earnings Growth" (with Mitch Warachka), Journal of Financial Economics, Vol 100, 424-442 (2011)
featured in smartmoney.

"Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds"(with Pengjie Gao and Ravi Jagannathan), Review of Financial Studies, Vol 24, 675-720 (2011)
Online Appendix

"Clientele Change, Liquidity shock, and the Return on Financially Distressed Stocks" (with Pengjie Gao), Journal of Financial and Quantitative Analysis, Vol 45, No. 1, 27-48 (2010)

Cashflow Risk, Systematic Earnings Revisions, and the Cross-Section of Stock Returns” (with Mitch Warachka), Journal of Financial Economics, Vol 94, 448-468 (2009)

"Cash Flow, Consumption Risk and Cross Section of Stock Returns"
Journal of Finance, Vol 64, No. 2, 923-956 (2009).
Supplementary Material, (Older Version with Technical Details)

Other Publications:

"Implementing Black-Litterman using an Equivalent Formula and Equity Analyst Target Prices" (with Leon Chen and Ernst Schaumburg), accepted at Journal of Investing

"Relative Valuation and Analyst Target Price Forecasts" (with Ernst Schaumburg), Journal of Financial Markets, Vol 14, 161-192 (2011)

"Pricing Options using Implied Trees: Evidence from FTSE-100 Options" (with Kian Guan Lim) Journal of Futures Markets, Vol. 22, No.7, 601-626 (2002)

Working Papers:

Fiscal Policy, Consumption Risk, and Stock Returns: Evidence from US States” (with Hayong Yun and Mitch Warachka), presented at the FSU SunTrust Beach Conference, FIRS 2013 meetings, the Caesarea Center 10th Annual Conference in Israel and 2013 China International Conference in Finance, previously titled "The Impact of Fiscal Policy on Stock Returns."

Household Production and Asset Prices” (with Wei Yang and Hayong Yun), R&R at Management Science

When the Bellwether Dances to Noise: Evidence from Exchange-Traded Funds” (with Sophie Shive), R&R at JFQA, presented at 2013 China International Conference in Finance, the 2nd Luxembourg Asset Management Summit, and 2014 AFA annual meetings, previously titled "Exchange Traded Funds and Asset Return Correlations."

Lottery Tax Windfalls, State-Level Fiscal Policy, and Consumption” (with Hayong Yun and Mitch Warachka)

In Search of Fundamentals” (with Joey Engelberg and Pengjie Gao)

"Electricity Consumption and Asset Prices" (with Hayong Yun)

Investor Optimism, Sales Fixation and Firm Life Cycle” (with Ravi Jagannathan and Jianfeng Shen)

Old Working Papers:

What Moves Aggregate Investment?” (with Long Chen and Borja Larrain)

The Pricing of Volatility Risk across Asset Classes” (with Ernst Schaumburg)

Clientele Change, Persistent Liquidity Shock, and Bond Return Reversal After Rating Downgrades” (with Pengjie Gao)

Where does the investment value of target prices come from?” (with Keejae Hong and Sangwoo Lee)

Course Taught @ Mendoza:

Fixed Income Securities--- FIN 40660 / FIN 70650
Investments--- FIN 30660 / FIN 70670

Teaching Materials:

Convertible Bonds of Countrywide Financial Corporation” (with Ravi Jagannathan), Harvard Business School Case, Prod # KEL323-PDF-ENG

Teaching Notes Prepared for FINC 460 (MBA Investment), Kellogg School of Management

 

 

 

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