NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.



Market Microstructure Meeting



Bruce Lehmann, Andrew Lo, Matthew Spiegel, and Avanidhar Subramanyam, Organizers



May 11, 2001



NBER

1050 Massachusetts Avenue

Cambridge, Massachusetts



PROGRAM

THURSDAY, MAY 10:



7:00 PM Group Dinner

Davio's at the Royal Sonesta Hotel

5 Cambridge Parkway

Cambridge, MA



FRIDAY, MAY 11:



8:00 AM Continental Breakfast



8:30 AM The Value of the Specialist:

Empirical Evidence from the CBOE

AMBER ANAND and DANIEL G. WEAVER, Baruch College



Discussant: KUMAR VENKATARAMAN, Southern Methodist University



9:30 AM Break



10:00 AM A Model of Liquidity Risk in Dynamic Economies

ALEX BOULATOV and DIRK HACKBARTH, UC, Berkeley



Discussant: HARRY MAMAYSKY, MIT



11:00 AM Institutional Design and Liquidity on Stock Exchanges

PANKAJ JAIN, Indiana University



Discussant: VENKATESH PANCHAPAGESAN, Washington University







-OVER-





12:00 PM Lunch

Speaker: ROSS MCLELLAN, State Street Global Advisors



1:30 PM Liquidity in an Automated Auction

MARK COPPEJANS, Duke University

IAN DOMOWITZ, Pennsylvania State University

ANANTH MADHAVAN, ITG, Inc.



Discussant: CHESTER SPATT, Carnegie Mellon University

2:30 PM Break



2:45 PM Institutional Trading, Trading Volume, and Spread

MALAY K. DEY, University of Massachusetts at Amherst

B. RADHAKRISHNA, University of Minnesota



Discussant: JENNIFER KOSKI, University of Washington



3:45 PM Stepping Ahead of the Book

AMY K. EDWARDS, Securities and Exchange Commission

JEFFREY H. HARRIS, University of Notre Dame



Discussant: CHARLES M. JONES, Columbia University



4:45 PM Adjourn







5/3/01