Second Erasmus Liquidity Conference

Abstract

In cooperation with CFA Netherlands, the Rotterdam School of Management and the Econometric Institute at Erasmus University jointly organize a one-day conference with the principal objective of presenting and discussing recent advances in academic research on market liquidity. The conference will bring together leading academics in the field and will host a limited number of paper presentations with designated discussants and ample opportunity for discussion and interaction. The conference has been made possible by financial support from the Erasmus Research Institute of Management (ERIM), the Tinbergen Institute, and the Vereniging Trustfonds Erasmus Universiteit Rotterdam.

Registration

To register for this conference, please send an e-mail to liquidity@rsm.nl, with your name and affiliation (as you wish it to appear on the conference badge) as well as your full contact details and your reference for the invoice. The registration fee is €175 and includes lunch, coffee/tea, and electronic copies of the papers. For CFA charter holders and VBA members a reduced fee of €150 applies (please indicate this in your e-mail).

Registration is free of charge for participants from academic institutions.

The deadline for registration is Friday, 12 June 2009.

	Preliminary Program
8:45 – 9:15	Registration

9:15 – 9:20	Welcome address by Mathijs A. van Dijk

9:20 – 11:30	SESSION I
	Session chair: Mathijs A. van Dijk
	KEYNOTE: “Sell-side illiquidity and the cross-section of expected
	stock returns”
	Michael J. Brennan, Tarun Chordia, Avanidhar Subramanyam, and Qing Tong

	Discussant: TBA

	“Is liquidity endogenously determined?”
	Robert Kieschnick, Douglas O. Cook, and Onur Arugaslan

	Discussant: TBA

	“An empirical study on the decoupling movements between corporate bond and CDS spreads”
	Ioana Alexopoulou, Magnus Andersson, and Oana Georgescu

	Discussant: TBA

11:30 – 12:00	Coffee break

12:00 – 13:30	SESSION II
	Session chair: Dick van Dijk
	INVITED: “Strategic cross-trading in the U.S. stock market”
	Paolo Pasquariello and Clara Vega

	Discussant: TBA

	“Arbitrage opportunities: A blessing or a curse?”
	Roman Kozhan and Wing Wah Tham

	Discussant: TBA

	Lunch break

15:00 – 17:00	SESSION III
	Session chair: Marno Verbeek
	INVITED: “Idiosyncratic volatility and liquidity costs”
	Yufeng Han and David A. Lesmond

	Discussant: TBA

	“Private equity and liquidity risk”
	Francesco Franzoni, Eric Nowak, and Ludovic Phalippou

	Discussant: TBA

	“The same bond at different prices: Identifying search frictions and demand pressures”
	Peter Feldhütter

	Discussant: TBA

17:00 – 18:00	Drinks

	Keynote presentation: 40 minutes
	Invited presentations: 30 minutes
	Presentations: 20 minutes
	Discussions: 10 minutes