Speaker Name & Title: Zhi Da, Professor

Speaker Department: Finance

Speaker Institution: University of Notre Dame, Mendoza College of Business

Presentation Title: You can only lend what you own: Inferring daily institutional trading from lendable equity inventory

Presentation Description: Institutions make their holdings lendable, allowing us to use changes in lendable equity to track stock-specific daily net institutional trading. Our proxy better tracks quarterly changes in institutional ownership than alternatives, including a subset of actual institutional trades, especially if we allow the corresponding sensitivity to vary across stocks. Using this proxy, we document (1) institutions unwind holdings before earnings announcements and re-establish them afterwards, contributing to the earnings announcement premium; (2) negative short-term return predictability, reflecting institutional price pressure; (3) price momentum anomaly obtains only if institutional trading opposes intraday returns during the portfolio formation period, consistent with under-reaction.

Speaker Bio: Zhi Da is a 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.