NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

Market Microstructure Meeting

Eugene Kandel, Bruce Lehmann, and Avanidhar Subrahmanyam, Organizers

October 24, 2008

NBER

2^nd Floor Conference Room

1050 Massachusetts Avenue

Cambridge, MA

PROGRAM

THURSDAY, OCTOBER 23:

7:00 pm Group Dinner

Dante Restaurant at the Royal Sonesta Hotel

FRIDAY, OCTOBER 24:

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 IOANID ROSU, University of Chicago

Liquidity and Information in Order Driven Markets

Discussant: UDAY RAJAN, University of Michigan

10:00 am PAOLO PASQUARIELLO, University of Michigan

CLARA VEGA, Federal Reserve Board

Strategic Cross-Trading in the U.S. Stock Market

Discussant: BRUCE MIZRACH, Rutgers University

11:00 am Break

11:15 am CHIRAPHOL CHIYACHANTANA, Singapore Management University

PANKAJ JAIN, University of Memphis

The Opportunity Cost of Inaction in Financial Markets: An Analysis of Institutional Decisions and Trades

Discussant: SUNIL WAHAL, Arizona State University

12:15 pm Lunch

1:15 pm AZI BEN-REPHAEL, Tel Aviv University

OHAD KADAN, Washington University in St. Louis

AVI WOHL, Tel Aviv University

The Diminishing Liquidity Premium

Discussant: RONNIE SADKA, Boston College

2:15 pm ANNA OBIZHAEVA, University of Maryland

Price Impact and Spread: Application of Bias-Free Estimation Methodology to Portfolio Transitions

Discussant: CHARLES JONES, Columbia University

3:15 pm Break

3:30 pm ALEX BOULATOV, University of Houston

THOMAS GEORGE, University of Houston

Securities Trading when Liquidity Providers are Informed

Discussant: RONALD GOETTLER, University of Chicago

4:30 pm Adjourn

10/21/08