Zhi Da
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Last Update: Nov 2021

Zhi Da, 笪治

Howard J. and Geraldine F. Korth Chair in Finance
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

Editorial Positions:

Journal of Finance, Associate Editor, 2021 - present
Review of Financial Studies, Associate Editor, 2018 - 2021
Management Science, Associate Editor, 2020 - present

Journal of Financial and Quantitative Analysis, Associate Editor, 2021 - present
Critical Finance Review, Associate Editor, 2019 - present
Journal of Banking and Finance, Associate Editor, 2018 - present
International Review of Finance, Associate Editor, 2016 - present
Pacific-Basin Finance Journal, Associate Editor, 2015 - present
Finance Research Letters, Co-Editor, 2013-2014

Selected Publications:

Who Pays Attention to SEC Form 8-K?” (with Azi Ben-Rephael, Peter Easton and Ryan D. Israelsen), conditionally accepted at The Accounting Review

"Short Selling Efficiency" (with Yong Chen and Dayong Huang), accepted at Journal of Financial Economics

Hedging Demand and Market Intraday Momentum” (with Guido Baltussen, Sten Lammers, and Martin Martens), Journal of Financial Economics, Vol 142, 377-403 (2021)

Extrapolative Beliefs in the Cross-section: What Can We Learn from the Crowds” (with Lawrence Jin and Xing Huang), Journal of Financial Economics, Vol 140, 175-196 (2021), Internet Appendix

Information Consumption and Asset Pricing” (with Azi Ben-Rephael, Bruce Carlin and Ryan D. Israelsen), Internet Appendix, Journal of Finance, Vol 76, 357-394 (2021)

Investment in a Smaller World: The Implications of Air Travel for Investors and Firms” (with Umit Gurun, Bin Li, and Mitch Warachka), Management Science, Vol 67, 417-435 (2021)

Harnessing the Wisdom of Crowds” (with Xing Huang), Management Science, Vol 66, 1847-1867 (2020)

Arbitrage Trading: the Long and the Short of it” (with Yong Chen and Dayong Huang), Internet Appendix, Review of Financial Studies, Vol 32, 1608-1646 (2019), NAT data

Indexing and Stock Market Serial Dependence around the World” (with Guido Baltussen and Sjoerd van Bekkum), Journal of Financial Economics, Vol 132, 26-48 (2019), Internet Appendix

Destabilizing financial advice: Evidence from pension fund reallocations” (with Borja Larrain, Clemens Sialm, and Jose Tessada), Review of Financial Studies, Vol 31, 3720-3755 (2018)

Fiscal Policy, Consumption Risk, and Stock Returns: Evidence from US States” (with Hayong Yun and Mitch Warachka), Journal of Financial and Quantitative Analysis, Vol 53, 109-136 (2018)

It Depends on Where You Search: Institutional Investor Attention and Underreaction to News” (with Azi Ben-Rephael and Ryan D. Israelsen), Review of Financial Studies, Vol 30, 3009-3047 (2017), Data Appendix, Additional Results

Industrial Electricity Usage and Stock Returns” (with Dayong Huang and Hayong Yun), Journal of Financial and Quantitative Analysis, Vol 52, 37-69 (2017), Winner of 2017 Sharpe Award, CNBC coverage

Household Production and Asset Prices” (with Wei Yang and Hayong Yun), Management Science, Vol 62, 387-409 (2016)

The Sum of All FEARS: Investor Sentiment and Asset Prices” (with Joey Engelberg and Pengjie Gao), Review of Financial Studies, Vol 28, 1-32 (2015), lead article, FEARS

Frog in the Pan: Continuous Information and Momentum”(With Umit Gurun and Mitch Warachka), Review of Financial Studies, Vol 27, 2171-2218 (2014)

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
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:

Exchange Traded Funds and Asset Return Correlations” (with Sophie Shive), European Financial Management, Vol 24, 136-168 (2018)

“What Moves Investment Growth” (with Long Chen and Borja Larrian), Journal of Money, Credit, and Banking, Vol 48, 1613-1653 (2016)

“What Drives Target Price Forecasts and Their Investment Value?” (with Keejae Hong and Sangwoo Lee), Journal of Business Finance, and Accounting, Vol 43, 487-510 (2016)

Lottery Tax Windfalls, State-Level Fiscal Policy, and Consumption” (with Hayong Yun and Mitch Warachka), Economics Letters, Vol 129, 9-12 (2015)

"Implementing Black-Litterman using an Equivalent Formula and Equity Analyst Target Prices" (with Leon Chen and Ernst Schaumburg), Journal of Investing, Vol 24, 34-47 (2015)

"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)

Active Working Papers:

Margin Trading and Leverage Management” (with Jiangze Bian, Zhiguo He, Dong Lou, Kelly Shue, and Hao Zhou), this version subsumes two previous working papers: “Leverage-Induced Fire Sales and Stock Market Crashes” by Bian, He, Shue and Zhou, and “Leverage Networks and Market Contagion” by Bian, Da, Lou and Zhou.

Financialization and Commodity Markets Serial Dependence” (with Ke Tang, Yubo Tao and Liyan Yang)

Uncovering the Hidden Effort Problem” (withAzi Ben-Rephael, Bruce Carlin and Ryan D. Israelsen)

"The Information in Industry-Neutral Self-Financed Trades" (with Yashar Barardehi and Mitch Warachka)

"Market Returns and a Tale of Two Types of Attention" (with Jian Hua, Chih-Ching Hung and Lin Peng)

Digesting FOREXS: Information Transmission across Asset Classes and Return Predictability” (with Joon Woo Bae and Virgilio Zurita)

"Presidential Economic Approval Rating and the Cross-Section of Stock Returns" (with Zilin Chen, Dashan Huang and Liyao Wang)

"Do Hedge Funds Strategically Misreport Their Holdings? Evidence from 13F Restatements" (with Sean Cao, Daniel Jiang, and Baozhong Yang)

"Fractional Trading" (with Vivian Fang and Wenwei Lin)

"Internalized Retail Order Imbalances and Institutional Liquidity Demand" (with Yashar Baradehi, Dan Bernhardt, and Mitch Warachka)

"Nowcasting firms' fundamentals: Evidence from the cloud" (with Ran Chang)

Older Working Papers:

Information Diffusion on Social Media: Does It Affect Trading, Return, and Liquidity?” (with Mao Ye, Nitesh Chawla, and Jian Xu)

Growth Expectations, Dividend Yields, and Future Stock Returns” (with Ravi Jagannathan and Jianfeng Shen)

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

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


Course Taught @ Mendoza:

Fixed Income Securities--- FIN 40660 / FIN 70650 / FIN70950 / MSF70665
Investments--- FIN 30660 / FIN 70670


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