Craig W. Holden
Craig W. Holden is the Finance Department Chair and the Gregg T. and Judith A. Summerville Chair of Finance 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, a Spangler-IQAM Prize, and a Philip Brown Prize) and multiple teaching awards. His research on market microstructure has been published in leading academic journals and has been cited more than 4,700 times (see his Google Scholar profile). He has chaired 22 dissertations, been a member or chair of 62 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. He served on the campus tenure advisory committee for three years, served on the school faculty review committee for two years, chaired the school's teaching and service excellence committee for six years, chaired the department doctoral committee for four years, and chaired the department undergraduate committee for thirteen years. He has led several major curriculum innovations in the finance department. For more details, here is Craig's CV.
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Working Papers (see his SSRN
Holden, Lin, Lu, Wei, and Yang, The Effect of Secondary Market Existence on Primary Market Liquidity: Theory and Evidence from a Natural Experiment in Peer-to-Peer Lending
Holden, Mao, and Nam, Price Discovery in the Stock, OTC Corporate Bond, and NYSE Corporate Bond Markets
Fong, Holden, and Tobek, Are Volatility Over Volume Liquidity Proxies Useful For Global Or US Research?
Published or Forthcoming Papers
1. Holden, Lu, Lugovskyy, and Puzzello, 2021, What is the Impact of Introducing a Parallel OTC Market? Theory and Evidence from the Chinese Interbank FX Market, Journal of Financial Economics 140, 270-291
2. Holden and Nam, 2019, Do the LCAPM Predictions Hold? Replication and Extension Evidence, Critical Finance Review 8,29-71. Code
3. Fong, Holden, and Trzcinka, 2017, What Are The Best Liquidity Proxies For Global Research?, Review of Finance 21, 1355-1401 (lead article). Supplemental Appendix
* Won Spangler-IQAM Prize = Best Paper in Investments published in the Review of Finance in the academic year 17-18.
* Won Philip Brown Prize = Best Paper using Securities Industry Research Centre of Asia-Pacific (SIRCA) data that was published in 2017.
4. Holden and Kim, 2017, Performance Share Plans: Valuation and Empirical Tests, Journal of Corporate Finance 44, 99-125.
5. Holden, 2017, Do Acceptance and Publication Times Differ Across Finance Journals?, Review of Corporate Finance Studies 6, 102-126. Updated Through 2016: Journal Speed Report Journal Speed Data
6. Holden, Jacobsen, and Subrahmanyam Review Article, 2014, The Empirical Analysis of Liquidity, Foundations and Trends in Finance 8, No 4, 263-365.
7. Holden and Jacobsen, 2014, Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions, Journal of Finance 69, 1747-1785. Supplemental Appendix
* SAS code to implement our recommended solutions for Daily TAQ (DTAQ) and Monthly TAQ (MTAQ): Code <== Updated for the new Nanosecond timestamps!
* This SAS code runs in the WRDS Cloud (or on a PC) to obtain DTAQ or MTAQ data for firms and dates that you specify, cleans the data, computes the complete NBBO, and computes standard liquidity measures.
* Our article points out, the “NBBO” file in DTAQ is incomplete by itself. So our DTAQ code combines both the “NBBO” and “Quote” files to compute the official complete NBBO.
* Our article finds that there are three different types of errors in the MTAQ. Our MTAQ code implements our recommended clean-up steps to fix the MTAQ data as best as possible.
* Step-by-step instructions for running our SAS code in the WRDS Cloud to obtain DTAQ and MTAQ data: Instructions
8. Bhattacharya, Holden, and Jacobsen, 2012, Penny Wise, Dollar Foolish: Buy-Sell Imbalances On and Around Round Numbers, Management Science.15, 413-431. Supplemental Appendix
9. Goyenko, Holden, and Trzcinka, 2009, Do Liquidity Measures Measure Liqudity? Journal of Financial Economics 92, 153-181 (lead article).
* Won Fama/DFA Prize = Second Prize for Best Paper in Capital Markets and Asset Pricing published in the Journal of Financial Economics in 2009.
10. Holden, 2009, New Low-Frequency Spread Measures, Journal of Financial Markets 12, 778-813." Detailed Examples for any Decimal or Fractional Price Grid
11. Holden and Lundstrum, 2009, Costly Trade, Managerial Myopia, and Long-Term Investment, Journal of Empirical Finance 16, 126-135."
12. Holden and Stuerke, 2008, The Frequency of Financial Analysts' Forecast Revisions: Theory and Evidence about Determinants of Demand for Predisclosure Information, Journal of Business Finance and Accounting 35, 860-888.
13. Ellul, Holden, Jain, and Jennings, 2007, Order Dynamics: Recent Evidence from the NYSE, Journal of Empirical Finance 14, 636-661."
14. Craig W. Holden and Avanidhar Subrahmanyam, 2002, News Events, Information Acquisition, and Serial Correlation, Journal of Business 1, 1-32 (lead article).
15. Robert Battalio and Craig W. Holden, 2001, A Simple Model of Payment For Order Flow, Internalization, and Total Trading Costs, Journal of Financial Markets 4, 33-71.
16. Mark Bagnoli, S. Viswanathan, and Craig W. Holden, 2001, On The Existence of Linear Equilibria in Models of Market Making, Mathematical Financel 11, 1-31.
17. Craig W. Holden and Avanidhar Subrahmanyam, 1996, Risk Aversion, Liquidity, and Endogenous Short Horizons, The Review of Financial Studies.9, 691-722.
18. Sugato Chakravarty and Craig W. Holden, 1995, An Integrated Model Of Market And Limit Orders, Journal of Financial Intermediation.4, 213-241.
19. Craig W. Holden, 1995, Index Arbitrage As Cross-Sectional Market Making, The Journal of Futures Markets 15, 423-455.
20. Craig W. Holden and Avanidhar Subrahmanyam, 1994, Risk Aversion, Imperfect Competition, and Long-Lived Private Information, Economic Letters 44, 181-190.
21. Craig W. Holden and Avanidhar Subrahmanyam, 1992, Long-Lived Private Information and Imperfect Competition, The Journal of Finance 47, 247-270.
22. Craig W. Holden, 1991, Index Arbitrage and The Media, Financial Analysts Journal 47, 8-9.
Published or Forthcoming Society
for Financial Studies Annual Reports
23. Chan, Ellul, Goldstein, Holden, Piazzesi, and Pontiff, 2021, The Annual Report of the Society for Financial Studies for 2019-2020, forthcoming in the Review of Financial Studies.
24. Ellul, Goldstein, Holden, Masulis, Pontiff, and Schoar, 2020, The Annual Report of the Society for Financial Studies for 2018-2019, Review of Financial Studies 33, 991-1008.
Teaching Papers and Materials
Craig W. Holden and Kent L. Womack, 2000, Spreadsheet Modeling in Finance and Investment Courses, FEN Educator 5, No 5
Craig W. Holden, 1998, Save Diversification From The CAPM Controversy! An Excel-based Interactive Optimizer To Teach Diversification, Exploiting Mispriced Assets, and Asset Classes, Journal of Financial Education 24, 49-47.
Holden and Smart, 2000, Two Thumbs Up: An Excel-based "Movie" To Teach Term Structure Dynamics
Syllabus of Undergraduate Market Microstructure Course (F335)
Syllabus of MBA Market Microstructure Course (F535)
Syllabus of Ph.D. Asset Pricing Theory Course (F600)
Syllabus of Ph.D. Market Microstructure Course (F635)
Syllabus of Faculty Teaching Seminar || Schedule
Syllabus of Doctoral Teaching Seminar (X630)
Syllabus of Intermediate Finance (F303) || Proj1 || Proj2 || Proj3 || Proj4 || Data
Secretary-Treasurer Financial and Policy Reports, Society For Financial Studies (2012 - Present)
Chair of the Finance Dept Undergraduate Committee (1994 - 2005)
Member of 1997 Dean Search and Screen Committee.
Chair of 1995 Dean's Task Force on Science, Engineering, and Technology.
Resources for Doctoral Students