NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

Market Microstructure Meeting

at the Salomon Center

Joel Hasbrouck, Bruce Lehmann, Matthew Spiegel, and Avanidhar Subrahmanyam, Organizers

May 7, 2004

New York University

Stern School of Business

Cantor Boardroom, 11^th Floor

Kaufman Management Center

44 West 4^th Street

New York, NY

THURSDAY, MAY 6:

7:00 PM Group Reception and Dinner

W New York - The Court

130 East 39^th Street

New York, NY

FRIDAY, MAY 7:

8:30 AM Continental Breakfast

9:00 AM ANDREW ELLUL, Indiana University

HYUN SONG SHIN, London School of Economics

IAN TONKS, University of Bristol

How to Open and Close the Market:

Evidence from the London Stock Exchange

Discussant: TAVY RONEN, Rutgers University

10:00 AM RICHARD GREEN, BURTON HOLLIFIELD, and

NORMAN SCHÜRHOFF, Carnegie Mellon University

Financial Intermediation and the Costs of Trading in an Opaque Market

Discussant: CLIFTON GREEN, Emory University

11:00 AM Break

11:15 AM PAUL IRVINE, MARC LIPSON, and ANDY PUCKETT, University of Georgia

Tipping

Discussant: SORIN SORESCU, Texas A&M University

12:15 PM Lunch

Speaker: TBA

1:30 PM MARIOS PANAYIDES, Yale University

The Specialist's Participation in Quoted Prices and the NYSE's Price Continuity Rule

Discussant: ASHISH TIWARI, University of Iowa

2:30 PM IOANID ROSU, MIT

A Dynamic Model of the Limit Order Book

Discussant: LAWRENCE GLOSTEN, Columbia University

3:30 PM Break

3:45 PM SHMUEL BARUCH, University of Utah

GIDEON SAAR, New York University

Asset Returns and the Listing Choice of Firms

Discussant: DANIEL DELI, Arizona State University

4:45 PM Adjourn

4/22/04