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New low-frequency spread measures

Holden, Craig W. - In: Journal of financial markets 12 (2009) 4, pp. 778-813

Persistent link: https://www.econbiz.de/10003902763

Order dynamics : recent evidence from the NYSE

Ellul, Andrew; Holden, Craig W.; Jain, Pankaj K.; … - In: Journal of empirical finance 14 (2007) 5, pp. 636-661

Persistent link: https://www.econbiz.de/10003609968

The empirical analysis of liquidity

Holden, Craig W.; Jacobsen, Stacey; Subrahmanyam, Avanidhar - 2014

Persistent link: https://www.econbiz.de/10010467950

Liquidity measurement problems in fast, competitive markets : expensive and cheap solutions

Holden, Craig W.; Jacobsen, Stacey - In: The journal of finance : the journal of the American … 69 (2014) 4, pp. 1747-1785

Persistent link: https://www.econbiz.de/10010412940

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

Fong, Kingsley Y. L. - 2018

We examine a general class of volatility over volume liquidity proxies as computed from low frequency (daily) data. We start from the Kyle and Obizhaeva (2016) hypothesis of transaction cost invariance to identify a new volatility over volume liquidity proxy “VoV(%Spread)” for percent spread...

Persistent link: https://www.econbiz.de/10012933698

The annual report of the society for financial studies for 2019-2020

Chan, Kalok; Ellul, Andrew; Goldstein, Itay; Holden, … - In: Review of asset pricing studies : RAPS 11 (2021) 2, pp. 445-463

Persistent link: https://www.econbiz.de/10012545910

In memoriam: Craig W. Holden

Holden, Craig W. (honouree) - In: The review of corporate finance studies : RCFS 10 (2021) 3, pp. 639

Persistent link: https://www.econbiz.de/10012655533

In Memoriam : Craig W. Holden

Holden, Craig W. (honouree) - In: The review of financial studies 34 (2021) 9, pp. 4564

Persistent link: https://www.econbiz.de/10012621520

In memoriam : Craig W. Holden

Holden, Craig W. (honouree) - In: Review of asset pricing studies : RAPS 11 (2021) 3, pp. 694

Persistent link: https://www.econbiz.de/10012620092

Annual report of the society for financial studies for 2018-2019

Ellul, Andrew; Goldstein, Itay; Holden, Craig W.; … - In: Review of asset pricing studies : RAPS 10 (2020) 1, pp. 179-197

Persistent link: https://www.econbiz.de/10012167292