Stern Microstructure Meeting Program

Program for the Stern Microstructure Meeting, Friday, May 20, 2011

Organizer	Joel Hasbrouck, Stern School
Program Committee	Charles Jones, Columbia University
	Bruce Lehmann, UCSD
	Avanidhar Subrahmanyam, UCLA

The sessions will be held in Room 2-70 of the Management Education Center, 44 W. 4th St., NYC (near the southeast corner of Washington Square Park). For more complete directions see http://www.stern.nyu.edu/AboutStern/VisitStern/index.htm. There will be a registration desk in the lobby.

Call for papers

Registration: email to Mary Jaffier (mjaffier@stern.nyu.edu, please include "Stern Microstructure" in the subject). Other inquiries: jhasbrou@stern.nyu.edu.

Download program and all papers as a single pdf

Friday, May 20, 2011

8:30 am - 9:00	Continental Breakfast
9:00 - 10:00	The Growth and Limits of Arbitrage: Evidence from Short Interest Samuel Hanson, Harvard Business School Adi Sunderam, Harvard Business School Discussant: Antti Petajisto, Stern School, New York University
10:00 - 11:00	Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality Katya Malinova, University of Toronto Andreas Park, University of Toronto Discussant: Ohad Kadan, Olin School, Washington University, St. Louis
11:00 - 11:15	Break
11:15 - 12:15	Trading Frenzies and Their Impact on Real Investment Itay Goldstein, Wharton Emre Ozdenoren, London Business School Kathy Yuan, LSE Discussant: Wei Xiong, Princeton University
12:15-1:15	Box Lunch
1:15-2:15	Learning from Prices, Liquidity Spillovers, and Market Segmentation Giovanni Cespa, Cass Business School Thierry Foucault, HEC, Paris Discussant: David Skeie, Federal Reserve Bank of New York
2:15-3:15	Notes on Bonds: Liquidity at All Costs in the Great Recession David Musto, The Wharton School, University of Pennsylvania Greg Nini, The Wharton School, University of Pennsylvania Krista Schwarz, The Wharton School, University of Pennsylvania Discussant: Michael Fleming, Federal Reserve Bank of New York
3:15-3:30	Break
3:30-4:30	Illiquidity Premia in the Equity Options Market Peter Christoffersen, University of Torornto Ruslan Goyenko, McGill University Kris Jacobs, University of Houston Mehdi Karoui, McGill University Discussant, Menachem Brenner, Stern School, NYU
4:30	Adjourn