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Authors, please upload your paper here.
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NATIONAL BUREAU OF ECONOMIC
RESEARCH, INC.
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Market Microstructure
Meeting
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Supported by the NASDAQ-OMX
Foundation
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Tarun Chordia,
Amit Goyal, Joel Hasbrouck, Bruce Lehmann, Gideon Saar,
and
Avanidhar Subrahmanyam,
Organizers
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December 12, 2014
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NBER
2nd Floor
Conference Room
1050 Massachusetts Avenue
Cambridge, MA
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PROGRAM
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Thursday,
December 11:
7:00
pm Group Dinner –
Dante Restaurant, Royal Sonesta Hotel
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Friday, December 12:
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Shuttle vans (3)
depart from the hotel for the NBER at 8:00 and 8:15 am
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8:15
am
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Continental
Breakfast
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8:45 am
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Mariassunta Giannetti,
Stockholm School of Economics
Bige Kahraman, Stockholm
School of Economics
Who Trades Against Mispricing?
Discussant: Ronnie Sadka,
Boston College
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9:35 am
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Break
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9:50 am
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Paolo Pasquariello, University of Michigan
Government Intervention and Arbitrage
Discussant: Clara Vega, Federal
Reserve Board
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10:40
am
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Break
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10:55
am
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Salman Arif, Indiana University
Azi Ben-Rephael, Indiana University
Charles Lee, Stanford University
Do Short-Sellers Profit from Mutual
Funds? Evidence from Daily Trades
Discussant: Adam Reed, University
of North Carolina at Chapel Hill
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11:45
am
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Lunch
Speaker: Ananth
Madhavan, BlackRock,
Inc. background paper
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1:30 pm
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Zhuo Zhong, University of
Melbourne
The Risk Sharing Benefit versus the Collateral Cost:
The Formation of the Inter-Dealer Network in Over-the-Counter Trading
Discussant: Ana Babus,
Imperial College London
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2:20
pm
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Break
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2:35 pm
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Albert Kyle, University
of Maryland
Anna Obizhaeva, New Economic School
Yajun Wang, University of Maryland
A Market Microstructure Theory of the
Term Structure of Asset Returns
Discussant: Bradyn Breon-Drish, Stanford University
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3:25
pm
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Break
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3:40 pm
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Yakov Amihud, New York
University
The Pricing of the Illiquidity Factor’s Systematic
Risk
Discussant: Joonki
Noh, Emory University
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4:30 pm
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Adjourn
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