Eighth Annual 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

• 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)