Liquidity Conference 2008



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.
To register for this conference, please send an e-mail to, 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 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, 13 June 2008.


9:00 – 9:25

9:25 – 9:30 Welcome address by Mathijs A. van Dijk
9:30 – 11:30 SESSION I
  Session chair: Mathijs A. van Dijk
  KEYNOTE: “Recent Trends in Trading Activity”
  Tarun Chordia, Richard Roll, and Avanidhar Subramanyam
  Discussant: Mathijs A. van Dijk
  “Liquidity and Liquidity Risk Premia in the CDS Market”
  Dion Bongaerts, Frank de Jong, and Joost Driessen
  Discussant: Avi Wohl
  “The Diminishing Liquidity Premium”
  Azi Ben-Rephael, Ohad Kadan, Avi Wohl
  Discussant: Jiekun Huang
11:30 – 12:00 Coffee break
12:00 13:30 SESSION II
  Session chair: Dick van Dijk
  KEYNOTE: “Stock Market Declines and Liquidity”
  Allaudeen Hameed   
  Discussant: Frank de Jong
  “Time-Varying Price Discovery in Fragmented Markets”
  Nicholas Taylor
  Discussant: Michel van der Wel
13:30 – 15:00 Lunch break (M-building, meeting point - 1st floor)
15:00 17:00 SESSION III
  Session chair: Marno Verbeek
  KEYNOTE: “Commonality in Returns, Liquidity, and Turnover Around the World”
  G. Andrew Karolyi, Kuan-Hui Lee, and Mathijs A. van Dijk
  Discussant: Allaudeen Hameed
  “Dynamic Liquidity Preferences of Mutual Funds”
  Jiekun Huang
  Discussant: Hao Jiang
  “Are Market Makers Liquidity Suppliers?”
  Michel van der Wel, Albert J. Menkveld, and Asani Sarkar
  Discussant: Gunther Wuyts
17:00 – 18:00 Drinks
Contact information:

Marno Verbeek