Second Erasmus Liquidity Conference



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 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




9:15 – 9:20


Welcome address by Mathijs A. van Dijk


9:20 – 11:30






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 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 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






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