NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

Market Microstructure Meeting

Bruce Lehmann, Matthew Spiegel, and Avanidhar Subrahmanyam, Organizers

July 30, 2004

UCLA Anderson School

Entrepreneurs Hall

110 Westwood Plaza

Los Angeles, California

THURSDAY, JULY 29:

7:00 PM Group Dinner

Röckenwagner Restaurant

2435 Main Street

Santa Monica, CA

FRIDAY, JULY 30:

8:00 AM Shuttle van departs hotel for UCLA

8:30 AM Continental Breakfast

9:00 AM DORON AVRAMOV, University of Maryland

TARUN CHORDIA and AMIT GOYAL, Emory University

Liquidity and Autocorrelations in Individual Stock Returns

Discussant: RYAN DAVIES, Babson College

10:00 AM MICHAEL BARCLAY, University of Rochester and NBER

TERRENCE HENDERSHOTT, UC, Berkeley

KENNETH KOTZ, Forensic Economics

Automation versus Intermediation: Evidence from Treasuries Going Off the Run

Discussant: MICHAEL FLEMING, Federal Reserve Bank of New York

11:00 AM Break

11:15 AM MICHAEL GALLMEYER, BURTON HOLLIFIELD, and

DUANE SEPPI, Carnegie Mellon University

Liquidity Discovery and Asset Pricing

Discussant: SHMUEL BARUCH, University of Utah

12:15 PM Lunch

Speaker: ROBERT DEERE, Dimensional Fund Advisors Inc.

1:30 PM ERIC BENTZEN, Copenhagen Business School

PETER HANSEN, Brown University

ASGER LUNDE, Aarhus School of Business

ALLAN ZEBEDEE, San Diego State University

The Greenspan Effect on Equity Markets:

An Intraday Examination of US Monetary Policy Announcements

Discussant: JAMES HAMILTON, UC, San Diego and NBER

2:30 PM RONNIE SADKA, University of Washington

ANNA SCHERBINA, Harvard University

Analyst Disagreement, Mispricing, and Liquidity

Discussant: PAUL IRVINE, University of Georgia

3:30 PM Break

3:45 PM KUMAR VENKATARAMAN, Southern Methodist University

STEVEN MANN and ANDREW WAISBURD, Texas Christian University

The Value of the Non-Monopolist Specialist

Discussant: CHARLES CAO, Pennsylvania State University

4:45 PM Adjourn

5:00 PM Shuttle van departs UCLA for hotel

7/12/04