Farshid Abdi

University of Massachusetts Amherst

Assistant Professor of Finance

121 Presidents Drive

Amherst, MA 01003-4910

United States

http://farshidabdi.net/

SCHOLARLY PAPERS

5

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Top 41,657

in Total Papers Downloads

1,481

SSRN CITATIONS
Rank 37,134

SSRN RANKINGS

Top 37,134

in Total Papers Citations

19

CROSSREF CITATIONS

2

Scholarly Papers (5)

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 682 (49,933)
Citation 13

Abstract:

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

2.

Market Impact of Government Communication: The Case of Presidential Tweets

SAFE Working Paper No. 314
Number of pages: 86 Posted: 06 May 2021 Last Revised: 06 Oct 2021
University of Massachusetts Amherst, Goethe University Frankfurt - Faculty of Economics and Business Administration, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Leibniz Institute for Financial Research SAFE
Downloads 251 (158,952)
Citation 1

Abstract:

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Government communication, Social media, Twitter, Machine learning, ETFs

3.

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 232 (171,413)
Citation 1

Abstract:

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

4.

Pre-FOMC Information Asymmetry

NYU Stern School of Business
Number of pages: 51 Posted: 19 Nov 2018 Last Revised: 30 Nov 2021
Farshid Abdi and Botao Wu
University of Massachusetts Amherst and New York University (NYU) - Leonard N. Stern School of Business
Downloads 206 (191,773)
Citation 2

Abstract:

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Pre-FOMC Announcement Drift, Informed Trading, Resolution of Uncertainty, TRACE

5.

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 110 (318,213)

Abstract:

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