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Details about Farshid Abdi

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Homepage:https://www.farshidabdi.net/
Workplace:Department of Finance, Isenberg School of Management, University of Massachusetts-Amherst, (more information at EDIRC)

Access statistics for papers by Farshid Abdi.

Last updated 2021-07-01. Update your information in the RePEc Author Service.

Short-id: pab233


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Working Papers

2021

  1. A modern take on market efficiency: The impact of Trump's tweets on financial markets
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads

2018

  1. Cycles of Declines and Reversals Following Overnight Market Declines
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads
  2. Informed Corporate Credit Market Before Monetary Policy Surprises: Explaining Pre-FOMC Stock Market Movements
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (1)

2017

  1. A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low PricesWe propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, it utilizes a wider information set, namely, close, high, and low prices, which are readily available. In the absence of end-of-day quote data, it generally provides the highest cross-sectional and average time-series correlations with the TAQ effective spread benchmark. Moreover, it delivers the most accurate estimates for less liquid stocks. Our estimator has many potential applications including an accurate measurement of transaction cost, systematic liquidity risk, and commonality in liquidity for U.S. stocks dating back almost one century
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads

Journal Articles

2017

  1. A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
    Review of Financial Studies, 2017, 30, (12), 4437-4480 Downloads View citations (34)
 
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