Zhi Da is Visiting Research Professor of Finance at Shanghai Advanced Institute of Finance (SAIF), and the Howard J. and Geraldine F. Korth Professor of Finance at the University of Notre Dame's Mendoza College of Business.
His research focuses on empirical asset pricing and investment. In recent papers, he studied the role of limited investor attention, the behavior of institutional investors, and cash flow risks of financial assets.
His papers have been published in the Journal of Finance, Review of Financial Studies, Journal of Financial Economics among others. He is currently serving as an associate editor at several journals including Journal of Finance, Management Science, Journal of Financial and Quantitative Analysis, and Journal of Banking and Finance.
Zhi has received the 2017 JFQA William F. Sharpe Award for Scholarship in Financial Research, among other research awards and grants.
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.
Journal Publications
1. Zhi Da, Umit Gurun, Bin Li, and Mitch Warachka, 2021, Investment in a Smaller World: The Implications of Air Travel for Investors and Firms, Management Science.
2. Zhi Da, Lawrence Jin, and Xing Huang, 2021, Extrapolative Beliefs in the Cross-section: What Can We Learn from the Crowds, Journal of Financial Economics.
3. Azi Ben-Rephael, Bruce Carlin, Zhi Da and Ryan D. Israelsen, 2021, Information Consumption and Asset Pricing, Journal of Finance.
4. Baltussen, Guido, Zhi Da, Sten Lammers, and Martin Martens, 2021, Hedging Demand and Market Intraday Momentum, Journal of Financial Economics.
5. Da, Zhi, and Xing Huang, 2020, Harnessing the Wisdom of Crowds, Management Science.
6. Chen, Yong, Zhi Da, and Dayong Huang, 2019, Arbitrage Trading: the Long and the Short of it, Review of Financial Studies.
7. Baltussen, Guido, Sjoerd van Bekkum, and Zhi Da, 2019, Indexing and Stock Market Serial Dependence around the World, Journal of Financial Economics.
8. Da, Zhi, Hayong Yun, and Mitch Warachka, 2018, Fiscal Policy, Consumption Risk, and Stock Returns: Evidence from U.S. States, Journal of Financial and Quantitative Analysis.
9. Da, Zhi, and Sophie Shive, 2018, Exchange-Traded Funds and Asset Return Correlations, European Financial Management.
10. Da, Zhi, Borja Larrain, Clemens Sialm, and Jose Tessada, 2018, Destabilizing financial advice: Evidence from pension fund reallocations, Review of Financial Studies.
11. Azi Ben-Rephael, Da, Zhi, and Ryan D. Israelsen, 2017, It Depends on Where You Search: Institutional Investor Attention and Underreaction to News, Review of Financial Studies.
12. Da, Zhi, Dayong Huang, and Hayong Yun, 2017, Industrial Electricity Usage and Stock Returns, Journal of Financial and Quantitative Analysis.
13. Da, Zhi, Wei Yang, and Hayong Yun, 2016, Household Production and Asset Prices, Management Science.
14. Chen, Long, Zhi Da, and Borja Larrain, 2016, What Moves Investment Growth?, Journal of Money, Credit and Banking.
15. Da, Zhi, Keejae Hong and Sangwoo Lee, 2016, What Drives Target Price Forecasts and Their Investment Value?, Journal of Business Finance & Accounting.
16. Da, Zhi, Mitch Warachka, and Hayong Yun, 2015, Lottery Tax Windfalls, State-Level Fiscal Policy, and Consumption, Economics Letters.
17. Chen, Leon, Zhi Da, and Ernst Schaumburg, 2015, Implementing Black-Litterman using an Equivalent Formula and Equity Analyst Target Prices, Journal of Investing.
18. Da, Zhi, Joey Engelberg, and Pengjie Gao, 2015, The Sum of All FEARS: Investor Sentiment and Asset Prices, Review of Financial Studies.
19. Da, Zhi, Umit Gurun, and Mitch Warachka, 2014, Frog in the Pan: Continuous Information and Momentum, Review of Financial Studies.
20. Da, Zhi, Qianqiu Liu, and Ernst Schaumburg, 2014, A Close Look at the Short-term Return Reversal, Management Science.
21. Chen, Long, Zhi Da, and Xinlei Zhao, 2013, What Drives Stock Price Movement?, Review of Financial Studies.
22. Chen, Long, Zhi Da, and Richard Priestley, 2012, Dividend Smoothing and Predictability, Management Science.
23. Zhi Da, Re-Jin Guo, Ravi Jagannathan, 2012, CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence, Journal of Financial Economics.
24. Da, Zhi, Pengjie Gao, and Ravi Jagannathan, 2011, Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds, Review of Financial Studies.
25. Da, Zhi, and Ernst Schaumburg, 2011, Relative Valuation and Analyst Target Price Forecasts, Journal of Financial Markets.
26. Da, Zhi, Joey Engelberg, and Pengjie Gao, 2011, In Search of Attention, Journal of Finance.
27. Da, Zhi, and Mitch Warachka, 2011, The Disparity between Long-term and Short-term Forecasted Earnings Growth, Journal of Financial Economics.
28. Da, Zhi, and Pengjie Gao, 2010, Clientele Change, Liquidity Shock and the Return on Financially Distressed Stocks, Journal of Financial and Quantitative Analysis.
29. Da, Zhi, and Mitch Warachka, 2009, Cashflow Risk, Systematic Earnings Revisions, and the Cross-Section of Stock Returns, Journal of Financial Economics.
30. Da, Zhi, 2009, Cash flow, consumption risk, and the cross-section of stock returns, Journal of Finance.
31. Kian Guan Lim, and Zhi Da, 2002, Pricing Options using Implied Trees: Evidence from FTSE-100 Options, Journal of Futures Markets.
Working Papers
1. Da, Zhi, Jiangze Bian, Zhiguo He, Dong Lou, Kelly Shue, and Hao Zhou, Leverage Networks and Market Contagion.2. Da, Zhi, Mao Ye, Nitesh Chawla, and Jian Xu), Information Diffusion on Social Media: Does It Affect Trading, Return, and Liquidity?.
3. Da, Zhi, Azi Ben-Rephael, Peter Easton and Ryan D. Israelsen, Who Pays Attention to SEC Form 8-K?.
4. Da, Zhi, Ke Tang, Yubo Tao, and Liyan Yang, Financialization and Commodity Market Serial Dependence.
5. Da, Zhi, Joon Woo Bae and Virgilio Zurita, Digesting FOREXS.
6. Da, Zhi, Azi Ben-Rephael, Bruce Carlin, and Ryan D. Israelsen, Uncovering the Hidden Effort Problem.
7. Da, Zhi, Jian Hua, Chih-Ching Huang, and Lin Peng, Market Returns and a Tale of Two Types of Attention.
8. Da, Zhi, Yashar Barardehi, and Mitch Warachka, The Information in Industry-Neutral Self-Financed Trades.
9. Da, Zhi, Yong Chen and Dayong Huang, Short Selling Efficiency.
10. Da, Zhi, Ravi Jagannathan and Jianfeng Shen, Growth Expectations, Dividend Yields, and Future Stock Returns.
11. Da, Zhi, Ravi Jagannathan and Jianfeng Shen, Investor Optimism, Sales Fixation and Firm Lifecycle.
12. Da, Zhi, Joey Engelberg and Pengjie Gao, In Search of Fundamentals.
