Details about Farshid Abdi

Access statistics for papers by Farshid Abdi.

Last updated 2023-09-11. Update your information in the RePEc Author Service.

Short-id: pab233

Working Papers

2021

1. Market impact of government communication: The case of presidential tweets
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE

2018

2. Cycles of Declines and Reversals Following Overnight Market Declines
   Working Papers on Finance, University of St. Gallen, School of Finance
3. 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 View citations (4)

2017

4. 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

Journal Articles

2017

1. A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
   The Review of Financial Studies, 2017, 30, (12), 4437-4480 View citations (126)