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 There will be a registration desk in the lobby.

Call for papers

Registration: email to Mary Jaffier (, please include "Stern Microstructure" in the subject).  Other inquiries:

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


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


Box Lunch


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



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




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