Craig W. Holden

Indiana University - Kelley School of Business - Department of Finance

Professor of Finance and Boquist-Meyer Faculty Fellow

Kelley School of Business

1309 E. 10th St.

Bloomington, IN 47405

United States

http://www.kelley.iu.edu/cholden

SCHOLARLY PAPERS

27

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CITATIONS
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160

Scholarly Papers (27)

1.

Spreadsheet Modeling in Finance and Investment Courses

Number of pages: 6 Posted: 12 Sep 2000
Craig W. Holden and Kent L. Womack
Indiana University - Kelley School of Business - Department of Finance and University of Toronto - Rotman School of Management (Deceased)
Downloads 2,419 (4,809)
Citation 1

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2.

Do Liquidity Measures Measure Liquidity?

Journal of Financial Economics (JFE), Vol. 92, No. 153-181, 2009
Number of pages: 68 Posted: 24 Mar 2008 Last Revised: 02 Sep 2017
Ruslan Goyenko, Craig W. Holden and Charles Trzcinka
McGill University - Desautels Faculty of Management, Indiana University - Kelley School of Business - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 1,795 (8,009)
Citation 95

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Liquidity, transaction costs, effective spread, price impact, asset pricing

3.

Do Stock Splits Improve Liquidity?

EFA 2006 Zurich Meetings Paper
Number of pages: 39 Posted: 04 Mar 2005
Ruslan Goyenko, Craig W. Holden and Andrey Ukhov
McGill University - Desautels Faculty of Management, Indiana University - Kelley School of Business - Department of Finance and Cornell University
Downloads 1,616 (9,463)
Citation 4

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4.

What Are the Best Liquidity Proxies for Global Research?

Review of Finance 21, 1355-1401, 2017.
Number of pages: 66 Posted: 05 Mar 2010 Last Revised: 02 Sep 2017
Kingsley Y. L. Fong, Craig W. Holden and Charles Trzcinka
University of New South Wales - School of Banking and Finance, Indiana University - Kelley School of Business - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 1,515 (10,496)
Citation 8

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Global, Liquidity, transaction costs, effective spread, price impact

5.

The Empirical Analysis of Liquidity

Foundations and Trends in Finance 8, No 4, 263-365, 2015, Kelley School of Business Research Paper No. 2014-09
Number of pages: 102 Posted: 28 Feb 2014 Last Revised: 18 Sep 2017
Indiana University - Kelley School of Business - Department of Finance, Southern Methodist University (SMU) - Finance Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,141 (16,457)
Citation 1

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liquidity, empirical, review, patterns, corporate finance, asset pricing

6.

Do Acceptance and Publication Times Differ Across Finance Journals?

Review of Corporate Finance Studies 6, 102-126, 2017.
Number of pages: 28 Posted: 20 Dec 2015 Last Revised: 02 Sep 2017
Craig W. Holden
Indiana University - Kelley School of Business - Department of Finance
Downloads 1,066 (18,189)

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Acceptance, online publication, print publication, journal performance

Penny Wise, Dollar Foolish: Buy-Sell Imbalances On and Around Round Numbers

Management Science 15, 413-431, 2012.
Number of pages: 45 Posted: 15 Mar 2010 Last Revised: 02 Sep 2017
Utpal Bhattacharya, Craig W. Holden and Stacey E. Jacobsen
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management, Indiana University - Kelley School of Business - Department of Finance and Southern Methodist University (SMU) - Finance Department
Downloads 501 (50,898)
Citation 3

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Left-digit effect, nine-ending prices, round numbers, trading strategies, clustering

Penny Wise, Dollar Foolish: The Left-Digit Effect in Security Trading

Number of pages: 40 Posted: 19 Nov 2008 Last Revised: 12 May 2014
Utpal Bhattacharya, Craig W. Holden and Stacey E. Jacobsen
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management, Indiana University - Kelley School of Business - Department of Finance and Southern Methodist University (SMU) - Finance Department
Downloads 428 (61,971)
Citation 3

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Price clustering, left-digit effect, nine-ending prices, trading strategies

8.

The Frequency of Financial Analysts' Forecast Revisions: Theory and Evidence

Number of pages: 34 Posted: 19 Jul 2000
Pamela S. Stuerke and Craig W. Holden
University of Rhode Island and Indiana University - Kelley School of Business - Department of Finance
Downloads 730 (31,413)
Citation 2

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9.

Order Dynamics: Recent Evidence from the NYSE

Journal of Empirical Finance, Vol. 14, No. 636-661, 2007
Number of pages: 40 Posted: 07 Aug 2003 Last Revised: 02 Sep 2017
Indiana University - Kelley School of Business - Department of Finance, University of Memphis - Fogelman College of Business and Economics, Indiana University - Kelley School of Business - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 686 (34,162)
Citation 27

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Order choice, limit order, market order, automatic execution

10.

Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions

Journal of Finance 69, 1747-1785, 2014.
Number of pages: 58 Posted: 29 Sep 2012 Last Revised: 02 Sep 2017
Craig W. Holden and Stacey E. Jacobsen
Indiana University - Kelley School of Business - Department of Finance and Southern Methodist University (SMU) - Finance Department
Downloads 461 (57,124)
Citation 1

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Millisecond, high-frequency trading, low-latency trading, NBBO, DTAQ, MTAQ, TAQ

11.

Pegged Limit Orders

Number of pages: 40 Posted: 17 Jun 2005
David P. Brown and Craig W. Holden
University of Wisconsin - Madison - Department of Finance, Investment and Banking and Indiana University - Kelley School of Business - Department of Finance
Downloads 324 (86,618)

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Limit orders, pegged, stale, liquidity, hybrid

12.

Costly Trading, Managerial Myopia, and Long-Term Investment

Journal of Empirical Finance, Vol. 16, No. 126-135, 2009
Number of pages: 28 Posted: 06 Oct 2005 Last Revised: 02 Sep 2017
Leonard L. Lundstrum and Craig W. Holden
Northern Illinois University and Indiana University - Kelley School of Business - Department of Finance
Downloads 250 (114,458)
Citation 3

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Trading, Myopia, Investment, LEAPS, R&D

13.

A Theory of Optimal Institutional Trading

Kelley School of Business Research Paper No. 2014-24
Number of pages: 55 Posted: 24 Jul 2014 Last Revised: 29 Apr 2015
Craig W. Holden
Indiana University - Kelley School of Business - Department of Finance
Downloads 247 (115,925)

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Optimal execution, dynamic limit order book, liquidity, order flow

14.

The Breakdown of Standard Microstructure Techniques: And What to Do About it

Number of pages: 52 Posted: 18 Aug 2011 Last Revised: 13 May 2014
Craig W. Holden and Stacey E. Jacobsen
Indiana University - Kelley School of Business - Department of Finance and Southern Methodist University (SMU) - Finance Department
Downloads 230 (124,485)
Citation 2

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Milliseconds, high-frequency trading, NBBO, DTAQ

15.

Do the LCAPM Predictions Hold? Replication and Extension Evidence

Craig W. Holden and Jayoung Nam, Do the LCAPM Predictions Hold? Replication and Extension Evidence, Critical Finance Review, Forthcoming
Number of pages: 48 Posted: 08 Oct 2016 Last Revised: 08 Nov 2018
Craig W. Holden and Jayoung Nam
Indiana University - Kelley School of Business - Department of Finance and Indiana University - Kelley School of Business
Downloads 225 (127,252)

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Liquidity risk, Liquidity-adjusted CAPM, liquidity measures

16.

Performance Share Plans: Valuation and Empirical Tests

Journal of Corporate Finance, Vol. 44, No. 99-125, 2017
Number of pages: 66 Posted: 18 Nov 2012 Last Revised: 02 Sep 2017
Craig W. Holden and Daniel Sungyeon Kim
Indiana University - Kelley School of Business - Department of Finance and Peking University HSBC Business School
Downloads 224 (127,814)

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Executive compensation, Performance share plan, Performance-vested share plan

17.

An International Welfare Analysis of Inflation-Indexed Government Bonds

Number of pages: 34 Posted: 17 Jun 2005
Michael Gapen and Craig W. Holden
International Monetary Fund (IMF) - International Capital Markets Department and Indiana University - Kelley School of Business - Department of Finance
Downloads 189 (149,984)
Citation 1

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Inflation, indexed, exchange rate risk, bond

18.

Are Volatility Over Volume Liquidity Proxies Useful for Global or US Research?

Kelley School of Business Research Paper No. 17-49
Number of pages: 60 Posted: 20 Jun 2017 Last Revised: 06 Mar 2018
Kingsley Y. L. Fong, Craig W. Holden and Ondrej Tobek
University of New South Wales - School of Banking and Finance, Indiana University - Kelley School of Business - Department of Finance and University of Cambridge - Faculty of Economics
Downloads 188 (150,723)

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Liquidity, Transaction Cost Invariance, Effective Spread, Lambda

19.

New Low-Frequency Spread Measures

Journal of Financial Markets, Vol. 12, No. 778-813, 2009
Number of pages: 46 Posted: 28 May 2009 Last Revised: 02 Sep 2017
Craig W. Holden
Indiana University - Kelley School of Business - Department of Finance
Downloads 183 (154,536)
Citation 10

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Liquidity, effective spread, transaction cost, asset pricing, market efficiency

20.

Can the Performance of Structural Corporate Bond Models Be Improved?

Number of pages: 58 Posted: 19 Mar 2010
Craig W. Holden and Zhongyan Zhu
Indiana University - Kelley School of Business - Department of Finance and Monash University
Downloads 150 (183,488)

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credit risk modeling, structural model, default risk, corporate bond pricing, non-Gaussian distribution, jump-diffusion, stochastic volatility

21.

Liquidity Measure Distortions in Fast Markets: Expensive and Cheap Solutions

Number of pages: 48 Posted: 10 Mar 2012
Craig W. Holden and Stacey E. Jacobsen
Indiana University - Kelley School of Business - Department of Finance and Southern Methodist University (SMU) - Finance Department
Downloads 94 (259,611)

Abstract:

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millisecond, high-frequency trading, low-latency trading, NBBO, DTAQ, MTAQ, TAQ

22.

Price Discovery in the Stock, OTC Corporate Bond, and NYSE Corporate Bond Markets

Kelley School of Business Research Paper No. 18-53
Number of pages: 36 Posted: 24 Jun 2018
Craig W. Holden, Yifei Mao and Jayoung Nam
Indiana University - Kelley School of Business - Department of Finance, Cornell University - SC Johnson College of Business - Finance Department and Indiana University - Kelley School of Business
Downloads 84 (278,591)

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Price Discovery, Information Share, Corporate Bond, OTC, NYSE

23.

The Frequency of Financial Analysts' Forecast Revisions: Theory and Evidence About Determinants of Demand for Predisclosure Information

Journal of Business Finance & Accounting, Vol. 35, Issue 7-8, pp. 860-888, September/October 2008
Number of pages: 29 Posted: 02 Oct 2008
Craig W. Holden and Pamela S. Stuerke
Indiana University - Kelley School of Business - Department of Finance and University of Missouri at Saint Louis
Downloads 6 (568,580)
Citation 1
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24.

News Events, Information Acquisition, and Serial Correlation

The Journal of Business, Vol. 75, No. 1, January 2002
Posted: 19 Jan 2002
Avanidhar Subrahmanyam and Craig W. Holden
University of California, Los Angeles (UCLA) - Finance Area and Indiana University - Kelley School of Business - Department of Finance

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25.

Two Thumbs Up: An Excel-Based 'Movie' to Teach Term Structure Dynamics

Posted: 18 Sep 1996
Scott Smart and Craig W. Holden
Indiana University - Kelley School of Business - Department of Finance and Indiana University - Kelley School of Business - Department of Finance

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An Integrated Model of Market and Limit Orders

JOURNAL OF FINANCIAL INTERMEDIATION, Vol 4 No 3
Posted: 14 Jun 1995
Sugato Chakravarty and Craig W. Holden
Purdue University and Indiana University - Kelley School of Business - Department of Finance

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An Integrated Model of Market and Limit Orders

Posted: 12 Jan 1995
Sugato Chakravarty and Craig W. Holden
Purdue University and Indiana University - Kelley School of Business - Department of Finance

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Risk Aversion, Liquidity, and Endogenous Short Horizons

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 2
Posted: 24 Jul 1996
Avanidhar Subrahmanyam and Craig W. Holden
University of California, Los Angeles (UCLA) - Finance Area and Indiana University - Kelley School of Business - Department of Finance

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Risk Aversion, Liquidity, and Endogenous Short Horizons

Posted: 13 Jun 1994
Avanidhar Subrahmanyam and Craig W. Holden
University of California, Los Angeles (UCLA) - Finance Area and Indiana University - Kelley School of Business - Department of Finance

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