NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

Market Microstructure Meeting

Bruce Lehmann, Duane Seppi, and Avanidhar Subrahmanyam, Organizers

October 7, 2005

Royal Sonesta Hotel

5 Cambridge Parkway

Cambridge, MA

PROGRAM

THURSDAY, OCTOBER 6:

7:00 PM Dinner

Davio's at the Royal Sonesta Hotel

FRIDAY, OCTOBER 7:

8:30 AM Continental Breakfast

9:00 AM ROBERT BLOOMFIELD, MAUREEN O'HARA, and

GIDEON SAAR, Cornell University

The Limits of Noise Trading: An Experimental Analysis

Discussant: SHIMON KOGAN, Carnegie Mellon University

10:00 AM EKKEHART BOEHMER, Texas A&M University

CHARLES JONES, Columbia University

XIAOYAN ZHANG, Cornell University

Which Shorts are Informed?

Discussant: AMY EDWARDS, U.S. Securities & Exchange Commission

11:00 AM Break

11:15 AM KARL DIETHER, KUAN-HUI LEE, and

INGRID WERNER, Ohio State University

Can Short-Sellers Predict Returns? Daily Evidence

Discussant: DAVID MUSTO, University of Pennsylvania

12:15 PM Lunch

Speaker: CHRIS RICE, State Street Global Advisors

1:45 PM ALLAUDEEN HAMEED and

WENJIN KANG, National University of Singapore

S. VISWANATHAN, Duke University

Asymmetric Comovement in Liquidity

Discussant: IOANID ROSU, University of Chicago

2:45 PM ELIZABETH ODDERS-WHITE and

MARK READY, University of Wisconsin - Madison

The Probability and Magnitude of Information Events

Discussant: LEI YU, University of Notre Dame

3:45 PM Break

4:00 PM ASANI SARKAR, Federal Reserve Bank of New York

ROBERT SCHWARTZ and AVNER WOLF, Baruch College, CUNY

Inter-Temporal Trade Clustering and Two-Sided Markets

Discussant: EUGENE KANDEL, Hebrew University

5:00 PM Adjourn

9/26/05