外文翻译---分析师建议和纳斯达克市场庄家活动.docx

参阅外文文献资料Analyst Recommendations and Nasdaq MarketMaking ActivityStock analysts became celebrities in the bull market of the 1990s. In the bear market that followed, they became the focus of retail investor outrage, especially after regulatory investigations revealed widespread conflicts of interest. In December 2002, ten of the leading investment banks paid fines totalling $1.4 billion dollars to settle civil claims brought by Eliot Spitzer, the New York Attorney General.This paper looks at another potential conflict of interest in the stock market, the one betweenmarket making activity and analyst recommendations. I find compelling evidence that at many security firms, market making activity is influenced by analyst recommendations. For both 1999 and 2000, I find that market makers tended to accentuate their bid activity in anticipation of analyst upgrades. I estimate the potential profits from this activity to be substantial, approaching $600 million in a group of 47 large capitalization Nasdaq stocks.The academic literature has focused on both the market power and bias of analysts. It has been well known since Womacks (1996) pioneering work that individual analysts do impact stock returns. Analyst recommendation changes not only produce large daily changes in security prices,but these effects also persist, for as long as six months in the case of downgrades. Barber, Lehavy, McNichols and Trueman (2001) also show that there is investment value in the consensus recommendations.Well before the Spitzer investigation, research had documented serious bias in analyst recommendations.Analysts have been too bullish overall. In June 2001, 15 months into the bear market,First Call reported that only 2% of all security analyst recommendations were sells. Part of this bias reflects potential revenues from investment banking activities. According to Michaely and Womack (1999), lead underwriter analysts issued 50% more buy recommendations. Their recommendationsunder performed picks by unconflicted analysts by more than 25% per year for two years.Spitzers investigation brought into plain view what the statistical evidence could only hint at.There was direct pressure within firms for analysts to slant coverage in cases where other profitable (generally investment banking) relationships existed. These links are illustrated by an e-mail from Kirsten Campbell to Henry Blodget, both Internet analysts at Merrill Lynch: “. . . we are putting half of merrill retail into this stock. . . i dont think thats the right thing to do. We are losing people money and i dont like it. john and mary smith are losing their retirement because we dont want todd Tappin, GoTo CFO to be mad at us.”1 GoT (now known as Overture and recently acquired by Yahoo) was an Internet company that Merrill hoped to win investment banking business from. Large sums of money helped to blur the ethical lines: between December 1999 and November 2000, the Internet group at Merrill produced $115 million in investment banking fees for the firm.Additional conflicts of interest may arise in firms that sponsor sell-side research and make markets in securities. Analyst recommendations create profit opportunities on an agency basis through brokerage commissions and on a principal basis through proprietary trading. Weiss (2003)notes that for the 10 firms cited by Spitzer, their aggregate share of revenues from commissions (9%) and trading (10.8%) exceeded those from investment banking (8.4%).The academic literature has found indirect evidence of these conflicts. Ellis, Michaely and OHara (2000) find that the lead underwriter typically becomes the most active market maker in the stock and that 23% of profits come from inventory gains and trading. Aggarwal and Conroy (2000) highlight the important role underwriters play in price discovery in the aftermarket for IPOs. Irvine (2003) finds that trading activity in Toronto Stock Exchange issues increases at the analysts firm in the two weeks following earnings and recommendation changes. Chung, McInish,Wood, and Wyhowski (1995) demonstrate that analysts are more likely to cover stocks on the NYSE and Nasdaq with wide bid-ask spreads. Schultz (2003) also notes that a Nasdaq firm is more likely to make markets in stocks in which they have analyst coverage.This paper finds empirical evidence of market maker-analyst conflicts in the period leading up to a recommendation change. Section I begins by describing principal and agent relationshipsthat influence liquidity. There is also a discussion of rules and ethical standards regulating these associations.The Nasdaq2 limit order book, described in Section II, allows me to observe liquidity from all market makers. Historical data from the order book is collected in Nasdaqs Nastraq database.Section II also develops a variety of measures of bid or ask pressure. The first relies on the frequency with which a market maker provides the best available price in the marketplace. A second measure takes into account depth on these occasions. A final measure looks at trading activity.I cross reference, in Section III, the Thomson First Call database of analyst recommendations with data from the order book. I have three complete years of overlap in both data sets, 1999 to 2001. In total, I examine nearly 1, 600 recommendations and the corresponding market making activity.For all three liquidity measures, I find evidence of increased bid activity prior to upgrades in the years 1999 and 2000 in Section IV. For downgrades in all years, and for upgrades in 2001, this pattern is not in evidence. In Section V, I find that 7 of the 10 firms fined by Spitzer and 15 of 42 overall show statistically significant links between their analysts and market makers.An analysis of the ex-post returns in Section VI suggests that the potential profits from this activity are large. I compute a very conservative measure that suggests abnormal profits of $1.8 million per recommendation in just a single week. The aggregate abnormal returns for the 42 firms are 75%.I conclude with some general comments in Section VII on the Nasdaq and the functioning of a marketplace in which market makers act as both principal and agent.I. Principal and Agent ConflictsWhen a Nasdaq market maker displays a quote to the market, there are two possible sources for the liquidity. The market maker may be acting on an agency basis, representing a customer order or trading as a principal from the firms inventory. Conflicts3 can arise in either case, but their empirical implications are similar.Sell-side research is provided to clients in return for commission business4. These arrangements are legal under the SEC Exchange Act of 1934 Section 28(e). A conflict of interest could arise,however, if the information concerned the timing of an analysts recommendation change. This would violate the Association for Investment Management and Researchs Standards of Professional Conduct. Section B.3 requires that “.members shall deal fairly and objectively with all clients and prospects when disseminating investment recommendations.” Section B.8 would also require disclosure of any fees the firm earns for providing such information. NASDs Rule 2711, which took effect in July 2002, now clearly prohibits pre-release access of the content of the firms research report.A Nasdaq firm accumulating (selling) shares prior to the public release of the analyst upgrade (downgrade) presents an obvious conflict of interest. This kind of trading would be a violation of NASD Rule 2110.4 which prohibits “.purposefully establishing, creating or changing the firms inventory position.in anticipation of the issuance of a research report.”Both principal and agent conflicts should result in changes in the bid or ask behavior of market makers prior to their recommendation changes. The next section develops several quantitative measures of market maker activity.II.Do analyst firm market makers differ?One possible explanation for my pre-upgrade results is that buyers enter the market because of good news. Analysts then react to bullish news with upgrades. If the signal or information were public though, a randomly selected market maker would on average also be more eager to buy the stock. In this section, I examine and reject this explanation for my results.For every security that undergoes a recommendation change, I construct a list of market makers who are present every day in a one month window before and after the announcement. I then select a market maker randomly from this list and compute the inside bid and ask counts. Results for this randomly selected group are in the first panel of Table VII.V.B Market making subsidiariesThere are many investment firms which do market making through subsidiaries as well. Because of the indirect linkage, it may be possible that some firms use their subsidiary market making relationships to avoid the appearance of a conflict. There are six linked firms in my sample: (1) Goldman Sachs and Spear Leeds and Kellog (SLKC) which merged on September 11, 2000; (2) Morgan Stanley which acquired Dean Witter (DEAN) back in 1997; (3) Deutsche Bank which acquired National Discount Brokers (SHWD, NDBC) in June of 2000; (4) Merrill Lynch acquired Herzog, Heine Geduld, LLC (HRZG) on June 6, 2000; (5) First Boston has an IPO sharing relationship with Charles Schwab (MASH, SCHB) that started in 1997. (6) J.P. Morgan has the same IPO sharing relationship and is a minority shareholder in Schwab Capital Markets (MASH,SCHB).Provided in Cooperation with:Department of Economics, Rutgers UniversitySuggested Citation: Mizrach, Bruce (2003) : Analyst Recommendations and Nasdaq MarketMaking Activity, Working papers / Rutgers University, Department of Economics, No. 2003,07分析师建议和纳斯达克市场庄家活动股票分析师在20世纪90年代的大牛市中成为名人。在随后的熊市中，他们成为了散户投资者的愤怒的焦点，尤其是在监管机构的调查显示广泛的利益冲突。 2002年12月，十领先的投资银行支付了$ 1.4亿美元的罚款，以解决民事索赔所带来的艾略特斯皮策，纽约州检察纸着眼于股市的另一个潜在的利益冲突，之间的一个市场庄家活动和分析师建议。我找到令人信服的证据表明，在许多保安公司，受分析师建议市场庄家活动。对于1999年和2000年，我发现，做市商往往强调他们的申办活动预期的分析师升级。我估计从这个活动是巨大的，潜在的利润接近6亿美元的一组47大市值纳斯达克学术文献都集中在市场力量的分析师和偏见。它已众所周知自沃马克（1996）的开创性工作，个别分析家影响股票收益的。分析师建议改变不仅生产大型证券价格每日变动，但这些影响还存在，只要6个月的情况下，降级。理发，麦克尼科尔斯和楚门（2001）也显示，在斯皮策的调查前的共识的有投资价值，研究记录了严重的偏见已经太分析师中的整体看涨。 2001年6月，15个月的熊市，首先呼叫报告，只有2的所有安全分析师建议卖出。这种偏见反映了部分投资银行业务的潜在收入。据沃马克（1999年）发行的主承销商分析师，50以上的购买建议。他们的建议根据执行精选分析师到普通视图为两个的调查带来每年超过25的统计证据只能暗示的直接压力在企业内部分析师倾斜覆盖的情况下，其他有利可图的（一般投资银行）的关系存在。基尔斯滕坎贝尔电子邮件亨利布洛杰，无论是互联网美林证券的分析师：“说明这些链接。 。 。我们把美林零售到这种股票的一半。 。 。我不认为这是正确的事情。我们正在失去人民的钱，我不喜欢它。约翰和玛丽史密斯失去自己的退休生活，因为我们不希望托德塔平，转到CFO我们是疯了。“1 Go T（现在被称为最近被雅虎收购）是一家互联网公司，美林希望赢得投资银行业务。巨款模糊了道德底线：1999年12月至2000年11月，互联网组生产美林投资银行服务费1.15亿美元的利益冲突中可能出现的企业赞助卖方研究和证券的市场。分析师建议机构通过经纪佣金和自营交易本金的基础上，通过创造利润机会。魏斯（2003年）的指出斯皮策引用的10家公司中，他们的市场占有率合共佣金收入（9）和贸易（10.8）超过了那些从投资银行（8.4）。学术文献发现这些间接证据冲突。埃利斯，奥哈拉的（2000）发现，主承销商通常成为市场最活跃的厂商，在股票和23的利润来自于库存收益和交易。 康罗伊（2000）强调在售后市场进行IPO，承销商在价格发现中发挥的重要作用。欧文（2003）发现在多伦多证券交易所上市的问题，交易活动增加分析师的公司盈利及建议更改之后的两个星期。木材，（1995）表明，分析师们更容易在纽交所和纳斯达克股票宽价差。舒尔茨（2003）也指出，纳斯达克公司更有可能使市场股票，在他们有分析师纸发现做市商分析员利益冲突的建议改变期间的经验证据。节中，我开始描述委托人和代理人之间的关系影响流动性。还有一个调节限制这些订单，第二节中描述的规则和道德标准的讨论，让我观察到所有做市商的流动性。订单从历史数据收集在纳斯达克的还开发了多种措施的出价或要求压力。首先依赖于做市商提供最佳的价格在市场上的频率。第二个措施，需要考虑的深度，在这些场合。最后一个措施，着眼于交易交叉引用，在第三节，调查的数据库从订单的数据分析师的建议。我有满三年重叠的两组数据，1999年至2001年。我总共检查了近1，600建议和相应的市场所有三个流动性措施，我觉得增加的投标活动的证据之前升级在1999年和2000年在第四节。对于在所有年份中，并在2001年升级降级，这个模式是没有证据。在第五节中，我发现，7的10家企业的罚款由斯皮策和15 42整体呈现统计学显着他们的的分析师和市场的事后分析第六节回报之间的联系表明，从这个活动的潜在利润大。我计算一个非常保守的措施表明，每推荐180万美元，在短短的一个星期的非经常性损益。异常报酬总额的42家公司的75。我的结论，在纳斯达克和运作的市场中，做市商作为委托人和代理人都在第七节一些一般性的评论。Garman，Kyle，Glosten，Hasbrouck，Amihud 和Mendelson 的早期理论研究认识到了做市商的重要性以及其在交易报价和交易中的影响。目前，有许多关于金融市场中介（做市商）在交易过程中所起作用的理论及实证研究。最近的实证研究已经看到使用两种不同方法进行做市的市场影响。第一种方法是在交易所市场制度设计中引入了做市商后，研究交易所市场质量变化的自然实验法。相反，第二种研究是对实施和未实施做市商系统的交易所市场质量的横向比较。第一种实证研究主要包括最近进行重组的欧洲交易所的描述。如Nimalendran 和Petrella 最近的研究主要是对印度股票交易所股票交易过程中做市系统的介绍，测量了引入做市商系统前后的市场质量，发现引入之后市场变得更有效率了。特别是，从成交量、价差和流动性(市场深度)来看，他们发现引入做市商后极大地改善了流动性，提高了成交量，降低了股票买卖价差(交易成本)。这种改善对于那些低流动性股票来说更加显著。Mann，Venkataraman 和Waisburg 对于欧洲交易所类似的研究表明在交易所系统里引入做市商确实提高了低流动性股票的交易量。然而，对于高流动性股票，他们没有发现类似的影响，这些股票在引入做市商前后日成交量没什么变化。除了对欧洲交易所的研究，Anand 和Weaver的一篇论文对芝加哥期权交易所在股票期权中引入集中的做市商系统也做了研究。1999 年该交易所加入了集中的做市商系统即引入“指派第一做市商”来替换之前雇佣多个做市商的交易系统。进而对引入集中的做市商系统前后的两种做市商系统进行了比较，他们发现有证据表明集中的做市商系统改善了价差和市场深度。另外，改变交易系统之后，芝加哥期权交易所也从他的竞争者美国期权交易所那里抢占了部分市场份额。总的来说，上述研究发现了大量有关做市商作为流动性提供者所起作用的证据。我们的研究表明，在当前新兴市场中存在一个突出问题就是低流动性和低日交易量。因此，通过对新兴市场引入做市商制度的研究，我们发现了这些市场特殊需求和做市商系统优点的一个联系。有许多实证研究比较了不同交易所的交