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NATIONAL
BUREAU OF ECONOMIC RESEARCH, INC. |
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Market
Microstructure Meeting |
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Bruce
Lehmann, Duane Seppi, and Avanidhar Subrahmanyam, Organizers |
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October
6, 2006 |
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NBER
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2nd Floor Conference Room |
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1050
Massachusetts
Avenue |
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Cambridge,
MA |
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PROGRAM |
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THURSDAY,
OCTOBER 5: |
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7:00
pm |
Group
Dinner |
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Royal
Sonesta Hotel - Somerset Room |
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FRIDAY,
OCTOBER 6: |
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8:15 am |
Shuttle
van departs Royal Sonesta Hotel for NBER |
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8:30 am |
Shuttle
van departs Royal Sonesta Hotel for NBER |
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8:30 am |
Continental
Breakfast |
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9:00 am |
AVRAHAM
KAMARA, XIAOXIA LOU, and |
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RONNIE
SADKA, University of Washington |
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The Polarization of
Systematic Liquidity in the Cross-Section of Stocks |
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Discussant:
JAY COUGHENOUR, University of Delaware |
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10:00
am |
DARWIN
CHOI and HEATHER TOOKES, Yale University |
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MILA
GETMANSKY, University of Massachusetts, Amherst |
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Convertible Bond
Arbitrage, Liquidity Externalities and Stock Prices |
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Discussant:
NICOLAS BOLLEN, Vanderbilt University |
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11:00
am |
Break |
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11:15
am |
ELLYN
BOUKUS, Yale University |
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JOSHUA
ROSENBERG, Federal Reserve Bank of New York |
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Discussant:
MICHAEL FLEMING, Federal Reserve Bank of New York |
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12:15
pm |
Lunch |
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Speaker:
DAVID MODEST, JP Morgan Chase |
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1:15 pm |
ZHI
DA, University of Notre Dame |
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PENGJIE
GAO, Northwestern University |
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Clientele Change, Liquidity
Shock, and the Return on Financially Distressed Stocks |
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Discussant:
GERGANA JOSTOVA, George Washington University |
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2:15 pm |
HENDRIK
BESSEMBINDER and |
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IVALINA
KALCHEVA, University of Utah |
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Discussant:
GIDEON SAAR, Cornell University |
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3:15 pm |
Break |
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3:30 pm |
PAOLO
PASQUARIELLO, University of Michigan |
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CLARA
VEGA, Federal Reserve Board of Governors |
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Strategic Order Flow
in the On-The-Run and Off-The-Run Bond Markets |
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Discussant:
ARVIND KRISHNAMURTHY, Northwestern University |
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4:30 pm |
Adjourn |
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9/28/06