We had just over eighty submissions and only twelve openings for the Yale-Nasdaq-JFM market microstructure conference. The papers listed below (in no particular order) have been selected for presentation. Our congratulations to the authors. For those that submitted papers but were not included in the program, the committee's decision should not be taken as a comment on the manuscript. Papers were ruled out for any number of quality independent reasons.

Special Guest Speaker: Maureen O'Hara ''The 'Make or Take' Decision in an Electronic Market: Evidence on the Evolution of Liquidity'' (co-authored with Robert Bloomfield, and Gideon Saar).

Speakers have thirty-five minutes, the discussant ten, and ten will be reserved for questions from the audience. There will be a fifteen minute break between each paper.

Thursday June 6:

Friday June 7:

• 8:30 Continental Breakfast
• 9:00 Khanna, and Sonti, ''Irrational Exuberance or Value Creation: Feedback Effect of Stock Currency on Fundamental Values.''
  • Discussant: Anusha Chari
• 10:10 Bernhardt, Miao, and Sato, ''Informed Trading when Information Becomes Stale.''
  • Discussant: Oleg Bondarenko
• 11:20 Antweiler and Frank, ''Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards.''
  • Discussant: Jack Cooney
• 12:30 Lunch
• 1:20-2:15 Maureen O'Hara ''The 'Make or Take' Decision in an Electronic Market: Evidence on the Evolution of Liquidity'' (co-authored with Robert Bloomfield, and Gideon Saar).
• 2:30 Corwin, Harris, and Lipson, ''The Development of Secondary Market Liquidity for NYSE-Listed IPOs.''
  • Discussant: Robert Jennings
• 3:40 Ellul and Pagano, ''IPO Underpricing and After-Market Liquidity.''
  • Discussant: Venkat Eleswarapu
• 4:50 Bessembinder, ''Quote-Based Competition and Trade Execution Costs in NYSE-Listed Stocks.''
  • Discussant: Charles Jones
• 6:00 Cocktails
• 6:45 Dinner

Saturday June 8:

• 8:30 Continental Breakfast
• 9:00 Attari, Mello, and Ruckes, ''Arbitraging Arbitrageurs.''
  • Discussant: Markus Brunnermeier
• 10:10 Domowitz, and Wang, ''Liquidity, Liquidity Commonality and its Impact on Portfolio Theory.''
  • Discussant: Tarun Chordia
• 11:20 Spierdijk, Nijman, and van Soest, ''The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity.''
  • Discussant: Joel Hasbrouck
• 12:30 Lunch
• 1:20-2:15
• 2:30 Fishe, and Robe, ''The Impact of Illegal Insider Trading in Dealer and Specialist Markets: Evidence from a Natural Experiment.''
  • Discussant: Chuck Schnitzlein
• 3:40 Evans, and Lyons, ''Why Order Flow Explains Exchange Rates.''
  • Discussant: Simon Gervais
• 4:50 Goldstein, Irvine, Kandel, and Wiener, ''Brokerage Commissions and Institutional Trading Patterns.''
  • Discussant: Christine Parlour
• 6:00 Cocktails
• 6:45 Dinner