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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

  • Indiana University - Kelley School of Business - Department of Finance

    • Email
    • Tel: 812-855-3383
    • Fax: 812-855-5875
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SCHOLARLY PAPERS

26

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13,695

CITATIONS
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in Total Papers Citations

155

Scholarly Papers (26)

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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 2,243 (4,207)
Citation 1

Abstract:

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 1,614 (7,473)
Citation 96

Abstract:

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 1,467 (8,474)
Citation 4

Abstract:

4.

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

Downloads 875 ( 21,275)
Citation 3

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) - Edwin L. Cox School of Business - Department of Finance
Downloads 472 (48,439)
Citation 3

Abstract:

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) - Edwin L. Cox School of Business - Department of Finance
Downloads 403 (58,975)
Citation 3

Abstract:

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

5.

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 739 (10,851)
Citation 8

Abstract:

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

6.

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 712 (27,710)
Citation 2

Abstract:

7.

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
Craig W. Holden, Stacey E. Jacobsen and Avanidhar Subrahmanyam
Indiana University - Kelley School of Business - Department of Finance, Southern Methodist University (SMU) - Edwin L. Cox School of Business - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 691 (16,666)

Abstract:

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

8.

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
Andrew Ellul, Pankaj K. Jain, Craig W. Holden and Robert H. Jennings
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 658 (30,577)
Citation 27

Abstract:

Order choice, limit order, market order, automatic execution

9.

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) - Edwin L. Cox School of Business - Department of Finance
Downloads 382 (55,133)
Citation 1

Abstract:

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

10.

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 295 (77,934)

Abstract:

Limit orders, pegged, stale, liquidity, hybrid

11.

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 230 (105,189)
Citation 3

Abstract:

Trading, Myopia, Investment, LEAPS, R&D

12.

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) - Edwin L. Cox School of Business - Department of Finance
Downloads 202 (116,239)
Citation 2

Abstract:

Milliseconds, high-frequency trading, NBBO, DTAQ

13.

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 180 (135,711)
Citation 1

Abstract:

Inflation, indexed, exchange rate risk, bond

14.

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 167 (114,733)

Abstract:

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

15.

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 162 (118,967)

Abstract:

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

16.

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 156 (144,877)
Citation 10

Abstract:

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

17.

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 139 (167,733)

Abstract:

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

18.

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) - Edwin L. Cox School of Business - Department of Finance
Downloads 79 (239,292)

Abstract:

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

19.

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 (520,629)
Citation 1
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Abstract:

20.

Are Volatility Over Volume Liquidity Proxies Useful For Global Or US Research?

Kelley School of Business Research Paper No. 17-49
Number of pages: 55 Posted: 20 Jun 2017 Last Revised: 25 Jul 2017
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 0 (291,656)

Abstract:

Liquidity, Transaction Cost Invariance, Effective Spread, Lambda

21.

Testing the LCAPM vs. Generalized Liquidity-Adjusted Asset Pricing: New Evidence and New Perspectives

Number of pages: 33 Posted: 08 Oct 2016 Last Revised: 05 Nov 2016
Craig W. Holden and Jayoung Nam
Indiana University - Kelley School of Business - Department of Finance and Indiana University - Kelley School of Business
Downloads 0 (177,561)

Abstract:

Liquidity risk, Liquidity-adjusted CAPM, liquidity measures

22.

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 0 (19,665)

Abstract:

Acceptance, online publication, print publication, journal performance

23.

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

Abstract:

24.

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

Abstract:

25.

An Integrated Model of Market and Limit Orders

Downloads 0 (566,018)

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

Abstract:

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

Abstract:

26.

Risk Aversion, Liquidity, and Endogenous Short Horizons

Downloads 0 (566,018)

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

Abstract:

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

Abstract:

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