6:00 p.m. to 9:00 p.m.
Welcome Reception at Campus Inn
Cocktails and Hors d’Oeuvres

Morning  Friday, June 9

Session 1, 8:30 a.m. - Liquidity

Chair: Han Kim (University of Michigan)

“Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk”
   Matthew Spiegel (Yale University)
   Vivian Wang (Penn State University)

   DISCUSSANT: Avanidhar (Subra) Subrahmanyam (University of California Los  Angeles)

“Episodic Liquidity Crises: Cooperative and Predatory Trading”
   Bruce Carlin (Duke University)
   Miguel Lobo (Duke University)
   S. Viswanathan (Duke University)

   DISCUSSANT: Arvind Krishnamurthy (Northwestern University)

Session 2, 10:15 a.m. - Correlated Trading

Chair: Paolo Pasquariello (University of Michigan) 

“Information Linkages and Correlated Trading”
   Paolo Colla (Università Bocconi – IEP)
   Antonio Mele (London School of Economics)

   DISCUSSANT: Henry Cao (Cheung Kong Graduate School of Business)

“Correlated Trading and Returns”
   Daniel Dorn (Drexel University)
   Gur Huberman (Columbia University)
   Paul Sengmueller (Universiteit van Amsterdam)

   DISCUSSANT: Mark Seasholes (University of California Berkeley)

Afternoon  Friday, June 9

Session 3, 1:30 p.m. - Rationalizing Anomalies

Chair: Sugato Bhattacharyya (University of Michigan)

“Momentum as an Outcome of Differences in Higher Order Beliefs”
   Snehal Banerjee (Stanford University)
   Ron Kaniel (Duke University)
   Ilan Kremer (Stanford University)

   DISCUSSANT: Peter Kondor (London School of Economics)

“Time-Varying Information Asymmetry and the Disposition Effect”
   Günter Strobl (University of North Carolina)

   DISCUSSANT: Tyler Shumway (University of Michigan)

Session 4, 3:15 p.m. - Information and Asset Prices

Chair: Dennis Capozza (University of Michigan)

“Equilibrium Asset Pricing and Portfolio Choice under Asymmetric Information”
   Bruno Biais (Toulouse University, CEPR)
   Peter Bossaerts (California Institute of Technology, CEPR)
   Chester Spatt (Carnegie Mellon University, SEC)

   DISCUSSANT: Matthew Pritsker (Federal Reserve Board)

“Long-Lived Private Information in a Continuous Time Economy: Portfolio Choice, Optimal Consumption, and Utility Gain”
   Jun Liu (University of California San Diego)
   Ehud Peleg (University of California Los Angeles)
   Avanidhar (Subra) Subrahmanyam (University of California Los Angeles)

   DISCUSSANT: Kerry Back (Texas A&M University)

Adjourn for dinner at Campus Inn
Cocktails 6:30 p.m. - Dinner 7:00 p.m.
Keynote Speaker: Stephen Ross (MIT)

Morning  Saturday, June 10

Session 5, 8:30 a.m. - Frictions

Chair: Tak Wakasugi (Tokyo Keizai University)

“Advisors and Asset Prices: A Model of Origins of Bubbles”
   Harrison Hong (Princeton University)
   Jose Scheinkman (Princeton University)
   Wei Xiong (Princeton University)

   DISCUSSANT: Jacob Sagi (University of California Berkeley)

“Asset Prices under Short-Sale Constraints”
   Yang Bai (University of Hong Kong)
   Eric C. Chang (University of Hong Kong)
   Jiang Wang (MIT, CCFR, CEPR)

   DISCUSSANT: Kathy Yuan (University of Michigan)

Session 6, 10:15 a.m. - Order Flow
Chair: Nejat Seyhun (University of Michigan)

“Exchange Rate Fundamentals and Order Flow”
   Martin Evans (Georgetown University, NBER)
   Richard Lyons (University of California Berkeley, NBER)

   DISCUSSANT: Clara Vega (University of Rochester)

“Equilibration under Competition in Smalls: Theory and Experimental Evidence”
   Peter Bossaerts (California Institute of Technology, CEPR)

   DISCUSSANT: Uday Rajan (University of Michigan)

Adjourn for closing lunch
Wyly Hall Room 0750
Best Paper Award announced