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| Winter Research Conference, December 17-19, 2006 |
Theme: “Microstructure of International Financial Markets”
The conference began with a reception on Sunday December 17, with the sessions held on December 18 and 19, 2006.
The conference was sponsored by the National Commodity & Derivatives Exchange Limited (NCDEX) and National Stock Exchange of India (NSE). The $ 5,000 Best Paper award instituted by New York Stock Exchange (NYSE) was shared between Tarun Chordia (Emory University), Richard Roll and Avanidhar Subrahmanyam (UCLA) for the paper "Liquidity and Market Efficiency" and Karl B. Diether, Kuan-Hui Lee and Ingrid M. Werner (Ohio State University) for the paper "Can Short-sellers Predict Returns? Daily Evidence".
This year we received a total of 45 submissions for 10 spots on the programme. The number as well as the high quality of many submissions resulted in keen competition for selection. All accepted papers went through two rounds of reviewing: an initial round for appropriateness and quality and a final round when they were ranked against each other. All papers in the final round were reviewed by two members of the program committee. The committee included Hank Bessembinder (Utah), Sankar De (ISB), Terry Hendershott (Berkeley), Narayan Naik (London Business School), Avanidhar Subrahmanyam (UCLA), S. Viswanathan (Duke), and Pradeep Yadav (Oklahoma).
Agenda
To download papers selected for the conference, click on the following links:
Alessandro Beber (University of Lausanne), Michael Brandt (Duke University) and Kenneth A. Kavajecz (University of Wisconsin)
Flight to Quality or Flight to Liquidity? Evidence from the Euro-Area Bond Market
Sreedhar T. Bharath , Paolo Pasquariello (University of Michigan) and Guojun Wu (University of Houston) Does Asymmetric Information Drive Capital Structure Decisions?
Sugato Bhattacharyya (University of Michigan), Vikram Nanda (Arizona State University)
Portfolio Pumping, Trading Activity and Fund Performance
Jiwei Dong (Lancaster University), Alexander Kempf (Universitat Zu Koln) and Pradeep K. Yadav (Oklahoma University)
Resiliency, the Neglected Dimension of Market Liquidity: Empirical Evidence from the New York Stock Exchange
David Easley (Cornell University), Terrence Hendershott (UC Berkeley) and Tarun Ramadorai (University of Oxford and CEPR)
The Impact of Trading Technology: Evidence from the 1980 NYSE Post Upgrades
Albert J. Menkveld (Vrije Universiteit)
Designated Market Markers for Small Cap- Stocks: Is One Enough?
Santosh Kumar (Morgan Stanley) and Ajay Shah (Indira Gandhi Institute of Development Research)
Commonality in Liquidity of an Open Electronic Limit Order Book Market
Tarun Chordia (Emory University), Richard Roll and Avanidhar Subrahmanyam (UCLA)
Liquidity and Market Efficiency
Karl B. Diether, Kuan-Hui Lee and Ingrid M. Werner (Ohio State University)
Can Short-sellers Predict Returns? Daily Evidence
Tarun Chordia, Amit Goyal (Emory University), Gil Sadka (Columbia University), Ronnie Sadka (University of Washington) and Lakshmanan Shivakumar ( London Business School)
Liquidity and the Post-Earnings-Announcement-Drift
CAF organises two research conferences each year: one in the summer (mid-August) and the other in the winter (late December). Programme schedules and papers presented at earlier conferences can be found on the CAF website at http://www.isb.edu/CAF. The format of earlier conferences has typically been to discuss three research papers in the morning and another two in late afternoon/evening on each day of the conference, with early afternoon hours left for the participants to form their own informal groups and work together.
Please contact Reena Gandhi by Email at: winter_conference2006@isb.edu or by phone at
91-40-2318-7804 if you need more information.
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