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2003 Grant Recipients and Final Papers
From the high quality and quantity of applications received, the Academic Advisory Board funded a total of 10 proposals in 2003, as listed below. We intend to fund another set of proposals next year. Please forward your email address to Microstructure.Research@morganstanley.com to be included on the next announcement.
Proposal
Exploring Systematic Risk Through High Frequency Data
| Submitters | Affiliation |
| Torben G. Andersen | Kellogg School of Management Northwestern University |
| Tim Bollerslev | Duke University |
| Francis Diebold | University of Pennsylvania |
Proposal
The Microstructure of Company Share Repurchases
| Submitters | Affiliation |
| Ekkehart Boehmer | Texas A&M University |
| Charles Jones | Columbia University |
Proposal
Untitled
| Submitters | Affiliation |
| Tarun Ramadadorai | Harvard University |
| Tuomo Vuolteenaho | Harvard University |
| John Campbell | Harvard University |
Proposal
Determinants of Order Choice on the New York Stock Exchange View final paper
| Submitters | Affiliation |
| Andrew Ellul | Indiana University |
| Craig Holden | Indiana University |
| Pankaj Jain | University of Memphis |
| Robert Jennings | Indiana University |
Proposal
A Kindergarten or a Retirement Home? A Peek into the OTC Bulletin
| Submitters | Affiliation |
| James Angel | Georgetown University |
| Jeffrey Harris | University of Delaware |
| Venky Panchapagesan | Nasdaq Economic Research |
| Ingrid Werner | Ohio State University |
Proposal
The Cost of Trend Chasing and the Illusion of Momentum Profits
| Submitter | Affiliation |
| Donald Keim | University of Pennsylvania |
Proposal
Limit Orders as Digital Claims Approach to the Price of Immediacy in Limit Order
Markets
| Submitter | Affiliation |
| Bruce Lehman | University of California, San Diego |
Proposal
Factoring Info. Into Returns
| Submitters | Affiliation |
| Maureen O' Hara | Cornell University |
| David Easley | Cornell University |
| Soeren Hvidkjaer | University of Maryland |
Proposal
The Information Content of Order Flow in the US Equity and Treasury Markets
| Submitter | Affiliation |
| Shane Underwood | University of Pennsylvania (Wharton) |
Proposal
Untitled
| Submitter | Affiliation |
| Jeffrey Russell | University of Chicago |
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