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NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.
Market Microstructure Meeting
Charles Jones, Eugene Kandel, Bruce Lehmann, and Avanidhar
Subrahmanyam, Organizers
NBER
2nd Floor Conference Room
7:00 pm Group Dinner
Dante Restaurant
Royal
Sonesta Hotel
Shuttle leaves Royal
Sonesta Hotel for NBER at 8:00 am and
8:15 am Continental Breakfast
8:45 am Ronnie Sadka,
Liquidity Risk and the
Cross-Section of Hedge-Fund Returns
Discussant: Akiko Watanabe,
9:35 am Coffee Break
9:50 am Shane Corwin, University
of Notre Dame
Paul Schultz, University
of Notre Dame
A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices
Discussant: Ryan Davies,
10:40 am Coffee Break
10:55 am Alain Chaboud, Federal Reserve Board
Benjamin Chiquoine, The Investment Fund for Foundations
Erik Hjalmarsson, Federal Reserve Board
Clara
Vega, Federal Reserve Board
Rise of the Machines:
Algorithmic Trading in the Foreign Exchange Market
Discussant: Albert Menkveld, VU University
11:45 am Lunch
Ethan
Namvar, UC,
Blake
Phillips,
Price Inflation and
Wealth Transfer during the 2008 SEC
Discussant: Xiaoyan Zhang,
2:20
pm Coffee Break
2:35 pm Zhi Da, University of Notre Dame
Joseph Engelberg,
Pengjie Gao, University of
Notre Dame
Discussant: Paul Tetlock,
3:25 pm Coffee
Break
3:40 pm Stewart Mayhew, Securities and Exchange Commission
Timothy McCormick, Securities and Exchange Commission
Chester Spatt, Carnegie Mellon University and NBER
The Information Content of Market-on-Close Imbalances, the
Specialist and NYSE Equity Prices
Discussant: Carole Comerton-Forde,
4:30 pm Adjourn