The 7th Annual Central Bank Workshop on
the Microstructure of Financial Markets

Monday 22 august and Tuesday 23 august

Monday 8:30-9:00 Registration and Welcome

Monday 9:00-10:30 Predictability?

• Bouwman, Kees; Sojli Elvira; Tham, Wing Wah:Stock market liquidity and bond risk premia

  Discussant: Ekkehar Boehmer

• Della Corte, Pasquale; Rime, Dagfinn; Sarno, Lucio; Tsiakas, Ilias: (Why) Does Order flow forecast exchange rates?

  Discussant: Michael Moore

• Kash, Maria; Rangel, Jose Gonzales; Weigard, Moritz: Market crashes

  Discussant: Bruce Lehmann

Monday 11:00-12:00 Keynote: Chester Spatt

Monday 12:00-13:30 Lunch

Monday 13:30-15:00 Market structure

• Degryse, Hans; Van Achter, Mark; Wuyts, Gunther: Internatialization, Clearing and Settlement, and Stock Market Liquidity.

  Discussant: Chester Spatt

• Boehmer, Ekkehart; Chava, Sudheer;Tookes, Heather E: Capital Structure, Derivatives and Equity Market Quality

  Discussant: Katya Malinova

• Malinova, Katya; Park, Andreas: Subsidizing Liquidity: The impact of make/take fees on market quality

  Discussant: Elvira Sojli

Monday 15:30-16:30 Asset pricing

• Hagstromer, Bjørn; Hansson, Björn; Nilsson, Birger: Conditional asset pricing with liquidity risk

  Discussant: Mathis van Dijk

• Bongaerts, Dion; de Jong, Frank; Driessen, Joost: An asset pricing approach to liquidity effects in corporate bond markets

  Discussant: Vladimir Sokolov

Tuesday 9-10:30 Volatility

• Martinez, Victor and Rosu, Ioanid: High frequency traders, news, and volatiltiy

  Discussant: Paolo Vitale

• Opschoor, Anne; van der Wel, Michel; van Dijk, Dick; and Taylor, Nick: The Public and Private Information Sources of Volatility

  Discussant: Alain Chaboud

• Menkveld, Albert; Wang, Ting: Liquileaks

  Discussant: Loran Chollette

Tuesday 11:00-12:00 Keynote: Harrison Hong

Tuesday 12:00-13:30 Lunch

Tuesday 13:30-14:30 Determinants of trade: Ticks and dabblers

• Heimer, Rawley Z; Simon, David: The Dedicated and the Dabblers: How Social Interaction Propagates Active Investing

  Discussant: Harrison Hong

• Buti, Sabrina; Rindi, Barbara; Wen, Yuanji; Werner, Ingrid: Tick Size Regulation, Intermarket Competition and Sub-Penny Trading

  Discussant: Mark van Achter

Tuesday 15:00-16:00: Liquidity

• Sokolov, Vladimir: The impact of maturity financing choices made by primary bond dealers on repo markets

  Discussant: Siri Valseth

• Banti. Chara; Phylaktis, Kate; Sarno, Lucio: Liquidity in the foreign exhange market

  Discussant: Richard Payne

Presenters are listed in bold