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
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