8th Annual Paul Woolley Centre Conference

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:

  1. Arbitrageurs and Experts
  2. Trading and Market Efficiency
  3. Frictions
  4. Price Impact of Institutional Trades
  5. Search Markets

View the conference programme


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

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)