Farshid Abdi

University of Massachusetts Amherst

Assistant Professor of Finance

121 Presidents Drive

Amherst, MA 01003-4910

United States

SCHOLARLY PAPERS

4

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Top 46,533

in Total Papers Downloads

972

SSRN CITATIONS
Rank 48,713

SSRN RANKINGS

Top 48,713

in Total Papers Citations

10

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

Forthcoming, Review of Financial Studies, University of St. Gallen, School of Finance Research Paper 2016/04
Number of pages: 53 Posted: 02 Feb 2016 Last Revised: 30 Jul 2017
Farshid Abdi and Angelo Ranaldo
University of Massachusetts Amherst and University of St. Gallen
Downloads 588 (48,743)
Citation 10

Abstract:

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Market liquidity, Transaction cost, Effective spread, TAQ data, Asset pricing

2.

Cycles of Declines and Reversals following Overnight Market Declines

University of St.Gallen, School of Finance Research Paper No. 2018/29, NYU Stern School of Business
Number of pages: 40 Posted: 02 Dec 2018 Last Revised: 08 Feb 2019
Farshid Abdi
University of Massachusetts Amherst
Downloads 155 (206,008)

Abstract:

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Market Liquidity, Funding Liquidity, Reversals, Effective Spread, TAQ

3.

Informed Corporate Credit Market before Monetary Policy Surprises: Explaining Pre-FOMC Stock Market Movements

University of St.Gallen, School of Finance Research Paper No. 2018/28, NYU Stern School of Business
Number of pages: 55 Posted: 19 Nov 2018 Last Revised: 08 Feb 2019
Farshid Abdi and Botao Wu
University of Massachusetts Amherst and New York University (NYU) - Leonard N. Stern School of Business
Downloads 125 (243,227)
Citation 1

Abstract:

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Pre-FOMC Announcement Drift, Corporate Bond, Credit Risk, Enhanced TRACE, TAQ

4.

Internet Appendix to 'A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices'

Number of pages: 21 Posted: 21 Jul 2016 Last Revised: 30 Jul 2017
Farshid Abdi and Angelo Ranaldo
University of Massachusetts Amherst and University of St. Gallen
Downloads 104 (276,008)

Abstract:

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Market liquidity, Transaction cost, Effective spread, TAQ data, Asset pricing