NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.
Market Microstructure Meeting
Bruce Lehmann, Matthew Spiegel, and Avanidhar Subrahmanyam, Organizers
December 3, 2004
NBER
2nd Floor Conference Room
1050 Massachusetts Avenue
Cambridge, Massachusetts
THURSDAY, DECEMBER 2:
7:00 PM Group Dinner
Davio's at the Royal Sonesta Hotel
FRIDAY, DECEMBER 3:
8:30 AM Continental Breakfast
9:00 AM AMBER ANAND, Syracuse University
Information and the Intermediary:
Are Market Intermediaries Informed Traders in Electronic Markets?
Discussant: LEI YU, University of Notre Dame
10:00 AM KERRY BACK, Texas A & M University
SHMUEL BARUCH, University of Utah
Limit-Order Markets and Floor Exchanges:
An Irrelevance Proposition
Discussant: CHRISTINE PARLOUR, Carnegie Mellon University
11:00 AM Break
11:15 AM JOHN CAMPBELL, Harvard University and NBER
TARUN RAMADORAI, University of Oxford
TUOMO VUOLTEENAHO, Harvard University
Caught on Tape: Predicting Institutional Ownership with Order Flow
Discussant: GIDEON SAAR, New York University
12:15 PM Lunch
Speaker: PAUL BENNETT, New York Stock Exchange
1:45 PM XAVIER GABAIX, MIT and NBER
PARAMESWARAN GOPIKRISHNAN, VASILIKI PLEROU and
H. EUGENE STANLEY, Boston University
A Theory of Large Fluctuations in Stock Market Activity
Discussant: SOEREN HVIDKJAER, University of Maryland
2:45 PM JONATHAN MACEY, Yale University
MAUREEN O'HARA and DAVID POMPILIO, Cornell University
Down and Out in the Stock Market:
The Law and Finance of the Delisting Process
Discussant: OLIVER HANSCH, Pennsylvania State University
3:45 PM Break
4:00 PM MARTIN EVANS, Georgetown University and NBER
RICHARD LYONS, UC, Berkeley and NBER
Exchange Rate Fundamentals and Order Flow
Discussant: BRUNO BIAIS, University of Toulouse
5:00 PM Adjourn
11/15/04