Secondary Titles (1)
- Boquist-Meyer Faculty Fellow
Craig W. Holden is a Professor of Finance and Boquist-Meyer Faculty Fellow at the Kelley School of Business at Indiana University. His M.B.A. and Ph.D. are from the Anderson School at UCLA. He is the winner of multiple research awards (including a Fama/DFA Prize) and multiple teaching awards. His research on market microstructure has been published in leading academic journals and has been cited more than 2,500 times.
Holden has chaired 21 dissertations, been a member or chair of 59 dissertations, serves as an Associate Editor of the Journal of Financial Markets, serves as the Secretary-Treasurer of the Society for Financial Studies, and serves on the program committees of the Western Finance Association and European Finance Association. He has written Excel Modeling in Investments Fifth Edition, Excel Modeling in Corporate Finance Fifth Edition, and there are International, Chinese, and Italian editions.
Holden chaired the department undergraduate committee for thirteen years, chaired the department doctoral committee for four years, chaired three different school committees, served on the campus tenure advisory committee for three years, and currently serves on the school's faculty review committee. He has led several major curriculum innovations in the finance department.
Industry Expertise (4)
Areas of Expertise (3)
Fama/DFA Prize, Second Prize for Best Paper in Capital Markets/Asset Pricing (professional)
From the Journal of Financial Economics.
Exceptional Inspiration and Guidance Award (professional)
Awarded by the Indiana University Doctoral Students Association.
Teaching Excellence Recognition Award (professional)
Awarded by Indiana University.
University of California: Ph.D., Finance 1990
University of California: M.B.A., Finance 1984
University of California: B.A., Political Science 1977
Event Appearances (1)
The Speed of Acceptance and Publication by Finance Journals
Faculty Workshops Kelley School of Business, Indiana University
I examine the acceptance time (i.e., the time that eventually-published articles take from first-round submission to final-round acceptance) and the online/print publication times (i.e., the time that eventually-published articles take from first-round submission to online/print publication) of finance journals. I collect the publication history of articles published during 2012-2015 in the top-20 academic finance journals and in top-tier academic business journals from their web sites and from the American Finance Association and Society for Financial Studies.
We provide a synthesis of the empirical evidence on market liquidity. The liquidity measurement literature has established standard measures of liquidity that apply to broad categories of market microstructure data. Specialized measures of liquidity have been developed to deal with data limitations in specific markets, to provide proxies from daily data, and to assess institutional trading programs.
Do fast, competitive markets yield liquidity measurement problems when using the popular Monthly Trade and Quote (MTAQ) database? Yes. MTAQ yields distorted measures of spreads, trade location, and price impact compared with the expensive Daily Trade and Quote (DTAQ) database.
This paper provides evidence that stock traders focus on round numbers as cognitive reference points for value. Using a random sample of more than 100 million stock transactions, we find excess buying (selling) by liquidity demanders at all price points one penny below (above) round numbers.
Given the key role of liquidity in finance research, identifying high quality proxies based on daily (as opposed to intraday) data would permit liquidity to be studied over relatively long timeframes and across many countries. Using new measures and widely employed measures in the literature, we run horseraces of annual and monthly estimates of each measure against liquidity benchmarks.