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NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

Market Microstructure Meeting

October 2, 2009

Charles Jones, Eugene Kandel, Bruce Lehmann, and

Avanidhar Subrahmanyam, Organizers

NBER

2nd Floor Conference Room

1050 Massachusetts Avenue

Cambridge, Massachusetts

PROGRAM

Thursday, October 1:

7:00 pm Group Dinner

Dante Restaurant

Royal Sonesta Hotel

Friday, October 2:

Shuttle leaves Royal Sonesta Hotel for NBER at 8:00 am and 8:15 am

8:15 am Continental Breakfast

8:45 am Lawrence Glosten, Columbia University

Welfare Cost of Informed Trade

Discussant: Shmuel Baruch, University of Utah

9:35 am Coffee Break

9:50 am Zhiguo He, University of Chicago

Wei Xiong, Princeton University and NBER

Liquidity and Short-Term Debt Crises

Discussant: Jennifer Huang, University of Texas

10:40 am Coffee Break

10:55 am Terrence Hendershott, UC, Berkeley

Albert Menkveld, VU University Amsterdam

Price Pressures

Discussant: Marios Panayides, University of Pittsburgh

11:45 am Lunch

1:30 pm Albert Kyle, University of Maryland

Anna Obizhaeva, University of Maryland

Market Microstructure Invariants

Discussant: Pankaj Jain, University of Memphis

2:20 pm Coffee Break

2:35 pm Paul Tetlock, Columbia University

Does Public Financial News Resolve Asymmetric Information?

Discussant: Heather Tookes, Yale University

3:25 pm Coffee Break

3:40 pm Dimitri Vayanos, London School of Economics and NBER

Jiang Wang, MIT and NBER

Liquidity and Asset Prices: A Unified Framework

Discussant: Michael Gallmeyer, University of Virginia

4:30 pm Adjourn

9/2/09