Craig W. Holden

Indiana University - Kelley School of Business - Department of Finance

Finance Department Chair and the Gregg T. and Judith A. Summerville Chair of Finance

Kelley School of Business

1309 E. 10th St.

Bloomington, IN 47405

United States

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

SCHOLARLY PAPERS

29

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17,418

SSRN CITATIONS
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SSRN RANKINGS

Top 4,107

in Total Papers Citations

240

CROSSREF CITATIONS

85

Scholarly Papers (29)

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 2,630 (5,911)

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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 2,020 (9,136)
Citation 90

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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 1,697 (12,056)
Citation 7

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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 1,687 (12,163)
Citation 73

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

5.

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 1,588 (13,370)
Citation 4

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Acceptance, online publication, print publication, journal performance

6.

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 1,509 (14,555)
Citation 17

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

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
HKUST Business School, Indiana University - Kelley School of Business - Department of Finance and Southern Methodist University (SMU) - Finance Department
Downloads 566 (57,567)
Citation 4

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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
HKUST Business School, Indiana University - Kelley School of Business - Department of Finance and Southern Methodist University (SMU) - Finance Department
Downloads 472 (72,275)

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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 747 (40,437)
Citation 1

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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 717 (42,765)
Citation 17

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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 515 (65,451)
Citation 60

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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 365 (98,603)

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Limit orders, pegged, stale, liquidity, hybrid

12.

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 337 (107,823)
Citation 7

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Liquidity, Transaction Cost Invariance, Effective Spread, Lambda

13.

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 Southern Methodist University (SMU) - Edwin L. Cox School of Business
Downloads 335 (108,588)
Citation 2

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Liquidity risk, Liquidity-adjusted CAPM, liquidity measures

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 319 (114,525)

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

15.

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 Southern Methodist University (SMU) - Edwin L. Cox School of Business
Downloads 266 (138,713)
Citation 2

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

16.

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 262 (140,796)
Citation 2

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Trading, Myopia, Investment, LEAPS, R&D

17.

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 239 (154,144)
Citation 7

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Milliseconds, high-frequency trading, NBBO, DTAQ

18.

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 Chung-Ang University - College of Business & Economics
Downloads 238 (154,757)
Citation 5

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

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 209 (175,138)
Citation 9

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

20.

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 202 (181,677)
Citation 1

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Inflation, indexed, exchange rate risk, bond

21.

The Effect of Secondary Market Existence on Primary Market Liquidity: Theory and Evidence from a Natural Experiment in Peer-to-Peer Lending

Number of pages: 47 Posted: 31 Dec 2019 Last Revised: 07 Apr 2020
Craig W. Holden, Mingfeng Lin, Kai Lu, Zaiyan Wei and Jun Yang
Indiana University - Kelley School of Business - Department of Finance, Scheller College of Business, Georgia Institute of Technology, University of Science and Technology of China - International Institute of Finance, School of Management, Purdue University - Krannert School of Management and Indiana University - Kelley School of Business - Department of Finance
Downloads 162 (219,387)
Citation 2

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Liquidity Premium, Secondary Market, Primary Market, P2P Lending

22.

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 158 (224,129)

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

23.

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 104 (307,385)

Abstract:

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

24.

What is the Impact of Introducing a Parallel OTC Market? Theory and Evidence from the Chinese Interbank FX Market

Journal of Financial Economics (JFE), Vol. 140, No. 270-291, 2021.
Number of pages: 43 Posted: 29 Aug 2020 Last Revised: 09 Mar 2021
Indiana University - Kelley School of Business - Department of Finance, Renmin University of China, Indiana University Bloomington - Department of Economics and Indiana University Bloomington - Department of Economics
Downloads 68 (396,685)

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Market structure, Over The Counter, Limit Order Book, FX market

25.

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 (717,838)
Citation 2
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26.

News Events, Information Acquisition, and Serial Correlation

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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27.

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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