Contact Information 574-631-0354 (O) Email Zhi Da

Last Update: Dec 2011

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)

Publications:

“Dividend Smoothing and Predictability” (with Long Chen and Richard Priestley), accepted at Management Science

“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

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

"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)

"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:

“What Moves Aggregate Investment?” (with Long Chen and Borja Larrain)
Presented by coauthors at University of Oregon, Washington University -St. Louis, City U of HK international conference and the 2010 Jackson Hole Finance Conference

“The Sum of All FEARS: Investor Sentiment and Asset Prices” (with Joey Engelberg and Pengjie Gao)
presented at Purdue University and by coauthor at University of Notre Dame and NBER behavioral economics meeting 2010 and WFA 2010

“Frog in the Pan: Continuous Information and Momentum”(With Umit Gurun and Mitch Warachka)
presented at a Chicago-based hedge fund, Driehaus Behavioral Finance Symposium at DePaul University, 2011 China International Conference in Finance, Citi global quant conference in Vienna and by coauthor at INSEAD, Nanyang Technological University, 2011 SFS Cavalcades, and to be presented at 2011 FMA and 2012 AFA

“What Drives Stock Price Movement” (with Long Chen and Xinlei Zhao), revising for the fourth round at Review of Financial Studies

“Decomposing the Short-term Return Reversal” (with Qianqiu Liu and Ernst Schaumburg)
presented at Australian National University, City University London, University of Michigan, University of New South Wales, University of Sydney, University of Technology Sydney, SAC Capital, a Chicago-based hedge fund, and by coauthor at University of Hawaii, 2010 China International Conference in Finance, 2010 FMA, 2011 FIRS conference

“In Search of Fundamentals” (with Joey Engelberg and Pengjie Gao)
Presented at 2011 China International Conference in Finance, and by coauthor at 2010 CARE conference

“The Pricing of Volatility Risk across Asset Classes” (with Ernst Schaumburg)
Presented at University of Notre Dame, Caesarea Center Sixth Annual Academic Conference in Israel and by coauthor at 2006 McGill University / IFM2 -Risk Management Conference, 2007 China International Conference in Finance, Chicago Fed and New York Fed, previously circulated under the title "Factor Structure on Realized Volatility and its Restriction on Option Prices"

“Clientele Change, Persistent Liquidity Shock, and Bond Return Reversal After Rating Downgrades” (with Pengjie Gao), under revision using a better bond holding dataset

“Where does the investment value of target prices come from?” (with Keejae Hong and Sangwoo Lee)
Presented by coauthors at University of Illinois at Chicago, Syracuse University, KAIST, 2010 AAA annual meeting, and 2010 FMA (scheduled)

"Electricity Consumption and Asset Prices" (with Hayong Yun)
presented at Australian National University, CPER European Summer Symposia, Fordham University, Norwegian School of Management (BI), Norwegian School of Economics and Business Administration (NHH), USC, Arizona State University, University of Wisconsin-Madison, University of Maryland, UIC and by coauthor at State of Indiana Finance Conference

“Household Production, Electricity Consumption, and Asset Prices” (with Wei Yang and Hayong Yun)

“Variance Decomposition of Returns: Revisions in Dividend Forecasts, Earnings Forecasts, and Implied Expected Rates of Return” (With Peter Easton and Keejae Hong)
presented at University of Notre Dame and by coauthors at Michigan State University and UIC

“Firm life cycle, product market competition and sales fixation hypothesis” (with Ravi Jagannathan and Jianfeng Shen)

Course Taught @ Mendoza:

Fixed Income Securities--- FIN 40660 / FIN 70650

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

• Introduction
• Teaching Notes on Convertible Bonds, Excel File
• Teaching Notes on Black-Litterman Model, Excel File
• Teaching Notes on Factor Model with Views, Excel File