Market Microstructure Meeting
Organized by Bruce Lehmann, Avanidhar Subrahmanyam, Tarun Chordia, Amit Goyal, and Gideon Saar
November 30, 2012
Royal Sonesta Hotel
Friday, November 30
1

Dark Trading and Price Discovery

Carole Comerton-Forde Talis Putnins, University of Technology Sydney
2

Catching Falling Knives: Speculating on Market Overreaction

Jean-Edouard Colliard, HEC Paris
3

Large Bets and Stock Market Crashes

Albert S. "Pete" Kyle, University of Maryland, College Park
Anna Obizhaeva, New Economic School
4

Opaque Trading, Disclosure, and Asset Prices: Implications for Hedge Fund Regulation

David Easley, Cornell University
Maureen O'Hara, Cornell University
Liyan Yang, University of Toronto
5

Bid-Ask Spreads and the Pricing of Securitizations: 144a vs. Registered Securitizations

Burton Hollifield, Carnegie Mellon University
Artem Neklyudov, HEC Lausanne
Chester S. Spatt, Carnegie Mellon University and NBER
6

The Trading Profits of High Frequency Traders

Matthew Baron, Georgetown University
Jonathan Brogaard, University of Utah
Andrei Kirilenko, University of Cambridge