Market microstructure.

• Position: Bureau News - Research on the economics of securities markets

The NBER's Working Group on Market Microstructure, directed by Research Associate Bruce Lehmann of University of California, San Diego, met on December 11. The Market Microstructure Group is devoted to theoretical, empirical, and experimental research on the economics of securities markets, including the role of information in the price discovery process; the definition, measurement, control, and determinants of liquidity and transactions costs; and their implications for the efficiency, welfare, and regulation of alternative trading mechanisms and market structures. The December meeting was organized by Lehmann and Andrew W. Lo, NBER and MIT; Matthew Spiegel, Yale School of Management; and Avanidhar Subrahmanyam, University of California, Los Angeles. The following papers were discussed:

Alfredo Mendiola and Maureen O'Hara, Cornell University, "Taking Stock in Stock Markets: The Changing Governance of Exchanges" Discussant: Utpal Bhattacharya, Indiana University

Jay F. Coughenour, University of Delaware, and Lawrence E. Harris, University of Southern California and SEC, "Specialist Profits and the Minimum Price Increment" Discussant Shane Corwin, University of Notre Dame

Paul Bennett and Li Wei, New York Stock Exchange, "Market Structure, Fragmentation, and Market Quality" Discussant: Michael Barclay, NBER And University of Rochester

Luncheon Speaker: Lawrence E. Harris, "Simplification and Diversification"

Sugato Chakravarty, Purdue University; Frederick H. Harris, Wake Forest University; and Robert A. Wood, University of Memphis, "Information Revelation in Financial Markets: Impulse Response Functions for Cointegrated Spreads and Depths" Discussant: Yiuman Tse, University of Texas at San Antonio

J. Doyne Farmer, Santa Fe Institute; Paolo Patelli, Sant' Anna School of Advanced Studies; and Ilija I. Zovko, University of Amsterdam, "The Predictive Power of Zero Intelligence in Financial Markets" Discussant: Ioanid Rosu, MIT

Wenjin Kang, University of California, Los Angeles, "Intraday Returns and Heterogeneous Liquidity Sources" Discussant: Ekkehart Boehmer, Texas A&M University

Over the past five years, ten of the world's largest exchanges have shifted from being cooperatively-organized firms to being publicly-listed corporations. Mendiola and O'Hara investigate the effect of exchange conversions on exchange performance and valuation. They examine the origins of cooperative exchange structure, and consider why exchange governance is now...