NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

 

Market Microstructure Meeting

 

Bruce Lehmann, Duane Seppi, and Avanidhar Subrahmanyam, Organizers

 

May 12, 2006

 

NBER

1050 Massachusetts Avenue

Cambridge, MA

 

PROGRAM

 

THURSDAY, MAY 11:

 

 

7:00 pm

Group Dinner

 

Royal Sonesta Hotel - Skyline Room

 

5 Cambridge Parkway

 

Cambridge, MA

 

 

FRIDAY, MAY 12:

 

 

 8:15 am

Shuttle van departs Royal Sonesta Hotel for NBER

 

 

 8:30 am

Shuttle van departs Royal Sonesta Hotel for NBER

 

 

 8:30 am

Continental Breakfast

 

 

 9:00 am

MICHAEL FLEMING, Federal Reserve Bank of New York

 

MONIKA PIAZZESI, University of Chicago and NBER

 

Monetary Policy Tick-by-Tick

 

 

 

Discussant: CLARA VEGA, University of Rochester

 

 

10:00 am

LAURA FRIEDER and RODOLFO MARTELL, Purdue University

 

On Capital Structure and the Liquidity of a Firm’s Stock

 

 

 

Discussant: NAVEEN KHANNA, Michigan State University

 

 

11:00 am

Break

 

 

11:15 am

RONALD GOETTLER and

 

CHRISTINE PARLOUR, Carnegie Mellon University

 

UDAY RAJAN, University of Michigan

 

Information Acquisition in a Limit Order Market

 

 

 

Discussant: DMITRY LIVDAN, Texas A&M University

 

 

12:15 pm

Lunch

 

 

 

 

 1:15 pm

ANURAG GUPTA and AJAI SINGH, Case Western Reserve University

 

ALLAN ZEBEDEE, San Diego State University

 

Liquidity in the Pricing of Syndicated Loans

 

 

 

Discussant: AMIR SUFI, University of Chicago

 

 

 2:15 pm

TERRENCE HENDERSHOTT and MARK SEASHOLES, UC, Berkeley

 

Market Maker Inventories and Stock Prices

 

 

 

Discussant: MARC LIPSON, University of Virginia

 

 

 3:15 pm

Break

 

 

 3:30 pm

AMRUT NASHIKKAR and

 

MARTI SUBRAHMANYAM, New York University

 

Latent Liquidity and Corporate Bond Yield Spreads

 

 

 

Discussant: MICHAEL PIWOWAR, U.S. Securities and Exchange Commission

 

 

 4:30 pm

Adjourn

 

 

 

 

 

 

 

 

 

 

5/9/06