Craig W. Holden


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 2,000 times (see his Google Scholar profile). He has chaired 20 dissertations, been a member or chair of 58 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 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. For more details, here is Craig's 2014 Vita.

Working Papers  (available from: my author page on SSRN)
* Holden, Jacobsen, and Subrahmanyam Review Article: "The Empirical Analysis of Liquidity," forthcoming in Foundations and Trends in Finance
* Fong, Holden, and Trzcinka, "What Are The Best Liquidity Proxies For Global Research?"
* Holden and Kim, "Performance Share Plans: Valuation and Empirical Tests"

Published Papers 

* Holden and Jacobsen, "Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions, Journal of Finance 69, 1747-1785."   SAS Code for Our Recommended Solution: SAS Code
* Bhattacharya, Holden, and Jacobsen, "Penny Wise, Dollar Foolish: Buy-Sell Imbalances On and Around Round Numbers," Management Science, 2012, Vol. 15. Pgs 413-431.
* Goyenko, Holden, and Trzcinka, "Do Liquidity Measures Measure Liqudity?" Journal of Financial Economics, 2009, Vol. 92, Pgs 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.
* Holden, "New Low-Frequency Spread Measures," Journal of Financial Markets, 2009, Vol. 12. Pgs 778-813."
* Holden and Lundstrum, "Costly Trade, Managerial Myopia, and Long-Term Investment," Journal of Empirical Finance, 2009, Vol. 16, 126-135."
* Holden and Stuerke, "The Frequency of Financial Analysts' Forecast Revisions: Theory and Evidence about Determinants of Demand for Predisclosure Information," Journal of Business Finance and Accounting, 2008, Vol. 35, No. 7/8, Pgs 860-888.
* Ellul, Holden, Jain, and Jennings, "Order Dynamics: Recent Evidence from the NYSE," Journal of Empirical Finance, 2007, Vol. 14, Pgs 636-661."
* Craig W. Holden and Avanidhar Subrahmanyam, "News Events, Information Acquisition, and Serial Correlation," Journal of Business, 2002, Vol 1, Pgs 1-32 (lead article).
* Robert Battalio and Craig W. Holden, “A Simple Model of Payment For Order Flow, Internalization, and Total Trading Costs,” Journal of Financial Markets, 2001, Vol. 4, Pgs 33-71.
* Mark Bagnoli, S. Viswanathan, and Craig W. Holden, “On The Existence of Linear Equilibria in Models of Market Making,Mathematical Finance, 2001, Vol 11, Pgs 1-31.
* Craig W. Holden and Avanidhar Subrahmanyam, “Risk Aversion, Liquidity, and Endogenous Short Horizons,” The Review of Financial Studies, 1996, Vol. 9, Pgs. 691-722.
* Sugato Chakravarty and Craig W. Holden, “An Integrated Model Of Market And Limit Orders,” Journal of Financial Intermediation, 1995, Vol. 4, Pgs. 213-241.
* Craig W. Holden, “Index Arbitrage As Cross-Sectional Market Making,” The Journal of Futures Markets, 1995, Vol. 15, Pgs. 423-455.
* Craig W. Holden and Avanidhar Subrahmanyam, “Risk Aversion, Imperfect Competition, and Long-Lived Private Information,” Economic Letters, 1994, Vol. 44, Pgs. 181-190.
* Craig W. Holden and Avanidhar Subrahmanyam, “Long-Lived Private Information and Imperfect Competition,” The Journal of Finance, 1992, Vol. 47, Pgs. 247-270.
* Craig W. Holden, “Index Arbitrage and The Media,” Financial Analysts Journal, September/October 1991, 8-9.

Excel Modeling Books
* Complete information, free samples, and desk copy requests of my Excel Modeling books are available at:

Teaching Papers and Materials
* Craig W. Holden and Kent L. Womack, "Spreadsheet Modeling in Finance and Investment Courses," FEN Educator, 2000, Vol 5, No 5."
* Craig W. Holden, "Save Diversification From The CAPM Controversy! An Excel-based Interactive Optimizer To Teach Diversification, Exploiting Mispriced Assets, and Asset Classes," Journal of Financial Education, 1998, Vol. 24, Pgs. 49-47.
* Holden and Smart, "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

Service Results
* Secretary-Treasurer Financial and Policy Reports, Society For Financial Studies (2012 - Present)
* Chair of the Finance Dept Undergraduate Committee (1994 - 2005)
* Chair of the Kelley School Teaching Excellence Committee (1997 - 2001)
* Co-organizer of our Fifth Biennial Symposium
* Member of 1997 Dean Search and Screen Committee.
* Chair of 1995 Dean's Task Force on Science, Engineering, and Technology.


Resources for Doctoral Students
* Career Resources
* IU's Track Record in Doctoral Placements
* IU's Strong Tradition of Market Microstructure