NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

Market Microstructure Meeting

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

May 16, 2003

NBER

2^nd Floor Conference Room

1050 Massachusetts Avenue

Cambridge, Massachusetts

THURSDAY, MAY 15:

7:00 PM Group Dinner

Davio's at the Royal Sonesta Hotel

FRIDAY, MAY 16:

8:15 AM Shuttle Van Departs Royal Sonesta Hotel for 1050 Massachusetts Avenue

8:30 AM Shuttle Van Departs Royal Sonesta Hotel for 1050 Massachusetts Avenue

8:30 AM Continental Breakfast

9:00 AM RONALD GOETTLER, CHRISTINE PARLOUR, and UDAY RAJAN, Carnegie Mellon University

Welfare in a Dynamic Limit Order Market

Discussant: MICHAEL GOLDSTEIN, Babson College

10:00 AM JOEL HASBROUCK, New York University

Trading Costs and Returns for U.S. Equities: The Evidence from Daily Data

Discussant: KENNETH KAVAJECZ, University of Pennsylvania

11:00 AM Break

11:15 AM RONNIE SADKA, Northwestern University

Momentum, Liquidity Risk, and Limits to Arbitrage

Discussant: JONATHAN LEWELLEN, MIT and NBER

12:15 PM Lunch

Speaker: ANANTH MADHAVAN, ITG Inc.

1:30 PM INGRID WERNER, Ohio State University

Institutional Trading Costs on Nasdaq: Have They Been Decimated?

Discussant: ROBERT BATTALIO, University of Notre Dame

2:30 PM EKKEHART BOEHMER, New York Stock Exchange

GIDEON SAAR and LEI YU, New York University

Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE

Discussant: CHESTER SPATT, Carnegie Mellon University

3:30 PM Break

3:45 PM RUEDIGER FAHLENBRACH and PATRIK SANDAS, University of Pennsylvania

Bid-Ask Spreads and Inventory Risk: Evidence from the FTSE 100 Index Options Market

Discussant: AMBER ANAND, Syracuse University

4:45 PM Adjourn

4/15/03