NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

 

Market Microstructure Meeting

 

Bruce Lehmann, Eugene Kandel, and Avanidhar Subrahmanyam, Organizers

 

May 9, 2008

 

Royal Sonesta Hotel

Riverfront Room

40 Edwin H. Land Boulevard

Cambridge, MA

 

PROGRAM

 

THURSDAY, MAY 8:

 

 

7:00 pm

Group Dinner

 

Dante Restaurant

 

Royal Sonesta Hotel

 

 

FRIDAY, MAY 9:

 

 

 8:30 am

Continental Breakfast

 

 

 9:00 am

Steven Heston, University of Maryland

 

Robert Korajczyk, Northwestern University

 

Ronnie Sadka, University of Washington

 

Intraday Patterns in the Cross-Section of Stock Returns

 

 

 

Discussant: Julie Wu, Texas A&M University

 

 

10:00 am

Shmuel Baruch, University of Utah

 

Random Limit-Orders

 

 

 

Discussant: Ioanid Rosu, University of Chicago

 

 

11:00 am

Break

 

 

11:15 am

Stefan Frey, University of Tübingen

 

Patrik Sandas, University of Virginia

 

The Impact of Hidden Liquidity in Limit Order Books

 

 

 

Discussant: Uday Rajan, University of Michigan

 

 

12:15 pm

Lunch – Parkview Room

 

 

 1:15 pm

Andrew Ellul, Indiana University

 

Marios Panayides, University of Utah

 

Do Financial Analysts Restrain Insiders’ Informational Advantage?

 

 

 

Discussant: Paul Irvine, University of Georgia

 

 

 2:15 pm

Amy Edwards, U.S. Securities and Exchange Commission

 

Kathleen Weiss Hanley, U.S. Securities and Exchange Commission

 

Short Selling in Initial Public Offerings

 

 

 

Discussant: Rajdeep Singh, University of Minnesota

 

 

 3:15 pm

Break

 

 

 3:30 pm

Alessandro Beber, University of Lausanne

 

Michael Brandt, Duke University and NBER

 

Kenneth Kavajecz, University of Wisconsin

 

What Can Equity Orderflow Tell Us about the Economy? 

 

 

 

Discussant: Shane Underwood, Rice University

 

 

 4:30 pm

Adjourn

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

5/2/08