Zhi Da is an Associate Professor of Finance. His research focuses on empirical asset pricing and investment. In recent papers, he studied the returns on financial assets surrounding liquidity events, cash flow risks of financial assets, equity analyst forecasts, and the mutual fund performance. He was a finalist for the Lehman Brothers Fellowship for Research Excellence in Finance (2005). Zhi also received competitive research grants from Moody’s KMV and Morgan Stanley. He teaches an elective course on debt instruments at Notre Dame. After gaining a BBA and an MSc from National University of Singapore, he worked at the interest rate and exotic derivative trading desk in DBS Bank. He subsequently earned a PhD in Finance from Northwestern University.
Expertise:
•
Empirical Asset Pricing •
Investment
FACULTY PUBLICATIONS
PUBLICATIONS
"What Drives Stock Price Movement,"
(with
Long Chen,
Xinlei Zhao),
Review of Financial Studies, 26, 2013, 841-876.
"CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence,"
(with
Re-jin Guo,
Ravi Jagannathan),
Journal of Financial Economics, 103, 2012, 204-220.
"Dividend Smoothing and Predictability,"
(with
Long Chen,
Richard Priestley),
Management Science, 58, 2012, 1834-1855.
"Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds,"
(with
Pengjie Gao,
Ravi Jagannathan),
Review of Financial Studies, 24, 2011, 675-720.
"In Search of Attention,"
(with
Joey Engelberg,
Pengjie Gao),
Journal of Finance, 66, 2011, 1461-1499.
"Relative Valuation and Analyst Target Price Forecasts,"
(with
Ernst Schaumburg),
Journal of Financial Markets, 14, 2011, 161-192.
"The Disparity between Long-term and Short-term Forecasted Earnings Growth,"
(with
Mitch Warachka),
Journal of Financial Economics, 100, 2011, 424-442.
"Clientele Change, Liquidity Shock and the Return on Financially Distressed Stocks,"
(with
Pengjie Gao),
Journal of Financial and Quantitative Analysis, 45, 2010, 27-48.
"Cashflow risk, systematic earnings revisions, and the cross-section of stock returns,"
(with
Mitch Warachka),
Journal of Financial Economics, 94, 2009, 448-468.
"Cash Flow, Consumption Risk and Cross Section of Stock Returns,"
Journal of Finance, 64, April (2nd Quarter/Spring), 2009, 923-956.
"Pricing Options using Implied Trees: Evidence from FTSE-100 Options,"
(with
Kiam Guan Lim),
Journal of Futures Markets, 22, 2002, 601-626.
Copyright
© 1998, 2000, 2001 Mendoza College of Business, University of
Notre Dame 
