The Eighth Annual Conference of The Paul Woolley Centre for the Study of Capital Market Dysfunctionality took place at the London School of Economics on 4-5 June 2015.
Organising Committee: Georgy Chabakauri, Amil Dasgupta, Dong Lou, Igor Makarov, Christopher Polk, Dimitri Vayanos, Michela Verardo, Kathy Yuan, and Kostas Zachariadis.
The conference comprised 5 sessions:
- Arbitrageurs and Experts
- Trading and Market Efficiency
- Frictions
- Price Impact of Institutional Trades
- Search Markets
Sessions
Session 1: Arbitrageurs and Experts
Toxic Arbitrage
Thierry Foucault (HEC, Paris)
Roman Kozhan (Warwick Business School)
Wing Wah Tham (Erasmus University Rotterdam)
Discussant: Joel Peress (INSEAD)
Risk and Return in Segmented Markets with Expertise
Andrea Eisfeldt (UCLA)
Hanno Lustig (UCLA)
Lei Zhang (UCLA)
Discussant: Peter Kondor (Central European University)
Session 2: Trading and Market Efficiency
Learning in Crowded Markets
Peter Kondor (Central European University)
Adam Zawadowski (Boston University)
Discussant: Victoria Vanasco (Stanford GSB)
Quote Stuffing and Market Quality
Cheng Gao (Rutgers University)
Bruce Mizrach (Rutgers University)
Sait Ozturk (Erasmus University)
Discussant: Brian Weller (Kellogg School of Management)
Session 3: Frictions
Optimal Margins and Equilibrium Prices
Bruno Biais (Toulouse School of Economics)
Florian Heider (European Central Bank)
Marie Hoerova (European Central Bank)
Discussant: S. “Vish” Viswanathan (Duke University)
Transparency and Distressed Sales under Asymmetric Information
William Fuchs (Haas School of Business, University of California)
Aniko Őry (Yale University)
Andrzej Skrzypacz (Stanford University)
Discussant: Emiliano Pagnotta (Imperial College Business School)
Session 4: Price Impact of Institutional Trades
An Equilibrium Model of Institutional Demand and Asset Prices
Ralph Koijen (London Business School)
Motohiro Yogo (Federal Reserve Bank of Minneapolis)
Discussant: Valentin Haddad (Princeton University)
Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
Kalle Rinne (University of Luxembourg)
Matti Suominen (Aalto University)
Lauri Vaittinen (Etera Mutual Pension Insurance Company)
Discussant: Huaizhi Chen (LSE)
Session 5: Search Markets
Financial Intermediation Chains in a Search Market
Ji Shen (London School of Economics)
Bin Wei (Federal Reserve Bank of Atlanta)
Hongjun Yan (Yale School of Management)
Discussant: Marco Di Maggio (Columbia Business School)
Benchmarks in Search Markets
Darrell Duffie (Stanford University GSB)
Piotr Dworczak (Stanford University GSB)
Haoxiang Zhu (MIT)
Discussant: Chester Spatt (Carnegie Mellon)
