12th Mitsui Life Symposium on Global Financial Markets Information in Trading

Stephen M. Ross School of Business
University of Michigan
Ann Arbor, MI
June 9 – 10, 2006

Keynote Address: Stephen Ross, Franco Modigliani Professor of Financial Economics at MIT

Friday, June 9
Session 1:  Liquidity
Chair: Han Kim, University of Michigan

Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk,
Matthew Spiegel (Yale University) and 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:  Correlated Trading
Chair: Paolo Pasquariello (University of Michigan)

Information Linkages and Correlated Trading
Paolo Colla (Università Bocconi – IEP) and 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), and Paul Sengmueller (Universiteit van Amsterdam)
Discussant: Mark Seasholes (University of California Berkeley)

Session 3:  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:  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)

Saturday, June 10
Session 5:  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), and 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), and Jiang Wang (MIT, CCFR, CEPR)
Discussant: Kathy Yuan (University of Michigan)

Session 6:  Order Flow
Chair: Nejat Seyhun (University of Michigan)
Exchange Rate Fundamentals and Order Flow
Martin Evans (Georgetown University, NBER) and 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)