Zhi Da
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Last Update: Aug 2018

Zhi Da, 笪治

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:

Harnessing the Wisdom of Crowds” (with Xing Huang), accepted at Management Science

Arbitrage Trading: the Long and the Short of it” (with Yong Chen and Dayong Huang), Internet Appendix, accepted at Review of Financial Studies

Indexing and Stock Market Serial Dependence around the World” (with Guido Baltussen and Sjoerd van Bekkum), forthcoming at Journal of Financial Economics, 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
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:

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)

Working Papers:

Investment in a Smaller World: The Implications of Air Travel for Investors and Firms” (with Umit Gurun, Bin Li, and Mitch Warachka)

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

“The Expected Rate of Return on Equity Capital Implied by Analysts’ Forecasts of Earnings and Target Prices” (with Peter Easton and Keejae Hong)

Demand for Information and Asset Pricing” (with Azi Ben-Rephael, Bruce Carlin and Ryan D. Israelsen), presented at the Chinese University of Hong Kong, Brigham Young University, IDC Herzliya, University of Illinois at Chicago, Indiana University, University of Kentucky, Peking University, and The Securities Exchange Commission, UNSW, University of Melbourne, Monash University, NBER AP 2017 and Jackson Hole Finacne Conference 2018, WFA 2018, CICF 2018, EFA 2018

Leverage Networks and Market Contagion” (with Jiangze Bian, Dong Lou, and Hao Zhou), winner of 2016 China Financial Research Conference Best Paper Award and 2017 SFS Cavalcade Asia-Pacific Best Paper in Asset Pricing

Who Pays Attention to SEC Form 8-K?” (with Azi Ben-Rephael, Peter Easton and Ryan D. Israelsen), presented at Indiana University, London Business School, the University of Amsterdam, 2018 FARS midyear meeting, CICF 2018, and EFA 2018

Extrapolative Beliefs in the Cross-section: What Can We Learn from the Crowds” (with Lawrence Jin and Xing Huang), presented at LA Finance Day, 2018 Annual Conference in Financial Economics Research by Eagle Labs, FIRS 2018, CICF2018, EFA 2018, and to presented at TAU Finance conference and AFA 2019

Growth Expectations, Dividend Yields, and Future Stock Returns” (with Ravi Jagannathan and Jianfeng Shen), presented at Erasmus University, Indian School of Business, Shanghai Advanced Institute of Finance (SAIF), Texas A&M University, University of Notre Dame, 2014 FIRN conference, Finance Down Under 2015 conference in Melbourne, and CICF2015.

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
Investments--- FIN 30660 / FIN 70670


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