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

 

Download the programme PDF here.

 
 

 

 
 

Contact information:

 
 

Dick van Dijk

 
 

Mathijs van Dijk

 
 

Marno Verbeek

 
 

Email

 
 

Email

 
 

Email