NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

Market Microstructure Meeting

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

November 30, 2001

NBER

1050 Massachusetts Avenue

Cambridge, Massachusetts

THURSDAY, NOVEMBER 29:

7:00 PM Group Dinner

Davio's at the Royal Sonesta Hotel

5 Cambridge Parkway

Cambridge, MA

FRIDAY, NOVEMBER 30:

8:45 AM Shuttle Van Departs Royal Sonesta Hotel for 1050 Massachusetts Ave.

9:00 AM Shuttle Van Departs Royal Sonesta Hotel for 1050 Massachusetts Ave.

9:00 AM Continental Breakfast

9:30 AM Does an Electronic Stock Exchange Need an Upstairs Market?

HENDRIK BESSEMBINDER, University of Utah

KUMAR VENKATARAMAN, Southern Methodist University

Discussant: ELIZABETH ODDERS-WHITE, University of Wisconsin, Madison

10:30 AM Break

11:00 AM Order Flow, Market Risk, and Daily Stock Returns

TIM BOLLERSLEV, Duke University and NBER

HAO ZHOU, Federal Reserve Board

Discussant: S. VISWANATHAN, Duke University

12:00 PM Lunch

Speaker: Robert Seijas, Consultant for Fleet Meehan Specialists

1:30 PM On the Optimal Allocation of New Security Listings to Specialists

GUNTER STROBL, University of Pennsylvania

Discussant: KATHLEEN HAGERTY, Northwestern University

2:30 PM Limit Orders and Volatility in a Hybrid Market: The Island ECN

JOEL HASBROUCK and GIDEON SAAR, New York University

Discussant: B. SWAMINATHAN, Cornell University

3:30 PM Break

3:45 PM Liquidity and Returns: The Impact of Inclusion into the S&P 500 Index

TARUN CHORDIA, Emory University

Discussant: AMBER ANAND, Syracuse University

4:45 PM Adjourn 11/6/01