美国证券交易制度

ECON394Lecture2,1,OverviewofMarketStructure,TheSecuritiesandExchangeCommission(SEC)wascreatedin1934.StockexchangesareregulatedbytheSEC,buttheyareconsideredself-regulatoryorganizations(SROs)withconsiderablelatitude.ThemajornationalstockexchangesaretheNewYorkStockExchange(NYSE)andtheAmericanStockExchange(AMEX).In1998,theNationalAssociationofSecurityDealers(NASD)acquiredtheAMEX.ItthensoldtheAMEXin2003toaprivateequitygroupforonly$110million.TheNASDregulatesanelectronictradingnetworkcalledtheNASDAQ(NASDAutomatedQuoteSystem).TheNASDwentpublicin2001,tradesunderthesymbolNDAQandisnowcalledtheNasdaqStockMarketIncorporated.Afunnynameforanexchangethatisnotastockmarket(atleastaccordingtotheSEC).,ECON394Lecture2,2,TheNewYorkStockExchange,StockmarketsliketheNewYorkStockExchangeprovidestrictcriteriaforsharestobetradedontheirexchange.Forthisreason,theyarestillcalledlistedsecurities.,NYSEFactsandFigures:,U.S.listingrequirements,Dailytradingvolume,Marketcapitalization,10LargestCompanies,ECON394Lecture2,3,TheNYSETradingFloor,Virtualtour,ECON394Lecture2,4,NYSEParticipants,Togainaccesstothefloor,youmustbuyaseat.Thenumberofseatshasremainedat1,366since1953.Theycurrentlysellforabout$1.5million.EachstocklistedontheNYSEisallocatedtoaspecialist,amarketmakerwhotradesonlyinspecificstocksatadesignatedlocation.Allbuyingandsellingofastockoccursatthatlocation,calledatradingpost.Buyersandsellers-representedbythefloorbrokers-meetopenlytofindthebestpriceforasecurity.,ECON394Lecture2,5,TheNYSEAuctionProcess,Specialistsorganizetheauctionprocessonthetradingfloor.Theyprovideinformationaboutthecurrentstateofthemarket,thepriceatwhichsharescanbebought(bid)orsold(offerorask)andthequantityofsharesavailableateachprice,calleddepth.Thedifferencebetweenthebidandofferiscalledthespread.In2001,allU.S.equitymarketswenttodecimalswithaminimumspreadof$0.01.,ECON394Lecture2,6,TheSpecialistAgentlimitorders:anordertobuyorsellafixedquantityatadesignatedprice;stoporder:anordertobuyorsellonceadesignated“stop”pricehasbeenhit.stop-limitorders:acombinationofalimitandastoporderOntheNYSE,stopordersbecomemarketordersonceatradehasbeenexecutedatthestopprice.,ECON394Lecture2,10,NYSEAutomatedExecutionSystems,SuperDOTADotNYSEDirect+,Largeinstitutionalinvestorscanalsotradeinwhatisknownastheupstairsmarket.,ECON394Lecture2,11,RegulationNMS,(1)Tradethroughrule(2)Accessrule(3)Sub-pennyrule,Theoverridingprincipalofanationalmarketsystemistoenabletraderstogetthebestpricesindependentoftradingvenue.,ECON394Lecture2,12,SpecialistInvestigations,Background:Sincedecimalsandwiththedeclineintradingvolumefollowingthebubble,specialistprofitshavedeclined.,ThestockpriceofpubliclytradedspecialistfirmLaBranche(LAB)confirmsthis.,LABandothersbottomedoutinearly2004whenthe5majorspecialistfirmswerefined$240million.,Calpers(amongmanyothers)hassuedtheNYSEtorecoverinvestormoney.,Criminalcasesarepending.,ECON394Lecture2,13,ExampleOfInterpositioning,ThiswasthestateofthelimitorderbookinonJanuary3,2003at11:04AM.ThestockisVZandSpearLeadsandKellogg(SLKS)wasthespecialist.,Thebookalsoincludedmarketorderstobuy3,300sharesandmarketorderstosell2,100shares.,Thespecialistcouldhavepairedoffthemarketbuyandsellordersandsatisfiedtheremainingorderfromhisaccountoragainstthelimitordersat41.10and41.12.,Instead,thespecialistshorted3,300sharesat41.10,400sharesat41.04,200sharesat41.03,bringingthespreadto41.00X41.10.Atthatprice,hecovered2,100sharesfromthemarketsellorders,earningarisklessprofitonthatportionofthetrade.,ECON394Lecture2,14,GrassosCompensation,DuringhistenureaschairmanandCEOoftheNYSE,RichardGrasso,whohadstartedoutasaclerkofthefloor,receivednearly$160millionincompensation.TheWebbreporthasallthedetails.,EliotSpitzerhassuedGrassotorecoversomeofhispaypackage.,Thebottomline:thespecialiststocksaredown,tradingvolumeisdown,electronicexchangesareerodingNYSEmarketshare,NYSEseatpricesaredownto$1millionfroma1999peakof$2.5million.MutualfundslikeFidelityareactivelyexploringalternativestotheNYSE.,Grassowasessentiallybeingpaidhushmoneytoprotectthespecialists.,Myspeculation:TheNYSEistheonlyremaininglargefloorbasedtradingsystemintheworld.5yearsfromnow,it,likeLondon,maynolongerexist.Nonetheless,thepowerofthisinstitutionishugeanditwillfighttoprotectitsmonopoly.,ECON394Lecture2,15,NYSEGoesPublic,IntheSpringof2005,theNYSEmadetwoboldmovesthatarethemostradicalinitshistory:NYSEendsitspartnershipstructureandwillgopublic.(2)NYSEwillacquireanelectronicexchangecalledArchipelago.NYSEcomments.Archipelagocomments.,ECON394Lecture2,16,WinnersandLosers,Winners:Archipelagotheirsharesjump70%onnewsofthemerger.NYSEseatholders.Mergerestimatesvaluetheirseatsat$3.5millionSomeseatholdersarestilldisgruntled.Goldman:ex-partnerThainnowrunsNYSE,ownsSpear,LeedsAnecdotalevidencefromtheMerrillLynch-HenryBlodgettcase(2)Anoverallbiastowardspositiveratings.InJune2001,accordingtoFirstCall,only2%ofstockshadsellrecommendations,despitemorethanayearlongbearmarket;(3)Theyaredefactocorporateinsiders.JackGrubmanattendedWorldComboardmeetingsandwaspaidconsultingfees.,ECON394Lecture2,37,Reforms,RegFDOnAugust10,2000,theSECapprovedRegulationFairDisclosure(RegFD),whichbecameeffectiveonOctober23rdofthesameyear.AccordingtoEricZitzewitzofStanfordBusinessSchool:Thisregulationprohibitstheselectivedisclosureofmaterialinformationtofinancialprofessionalsincludinganalysts;companieswithmaterialinformationtodisclosemustnowdosoinapressreleaseorconferencecallthatissimultaneouslyopentoallinvestors.”SpitzerinvestigationsMay2002settlementwithMerrillLynch.GlobalsettlementinDec.2002.$1.4billionsettlementwasreachedwithBearStearns($80mn),CreditSuisseFirstBoston($200mn),DeutscheBank($80mn),GoldmanSachs($100mn),JPMorganChase($80mn),LehmanBrothers($80mn),MerrillLynch($200mn),MorganStanley($125),SalomonSmithBarney($400mn)andUBSWarburg($80mn).,ECON394Lecture2,38,ConductRemedies,(1)Theinsulationofresearchanalystsfrominvestmentbankingpressure.Nofeesforbankingbusiness,noanalystsonroadshows.(2)AcompletebanonthespinningofInitialPublicOfferings(IPOs).BrokeragefirmswillnotallocatelucrativeIPOsharestocorporateexecutivesanddirectorswhoareinthepositiontogreatlyinfluenceinvestmentbankingdecisions.(3)Forafive-yearperiod,eachofthebrokeragefirmswillberequiredtocontractwithnolessthanthreeindependentresearchfirms(4)Disclosureofanalystrecommendations.Eachfirmwillmakepubliclyavailableitsratingsandpricetargetforecasts.investmentbanksmaysimplydropresearch.WhywasEliotSpitzerdoingthejobofthefederalgovernment?,ECON394Lecture2,39,MutualFunds,ECON394Lecture2,40,SpitzerGoesAftertheMutualFundIndustry,Managertradingabuses,e.g.RichardStrong,Markettimingtrades,particularlyaproblemwithinternationalfunds,Latetrading,e.g.EdSternofCanaryPartners,Thebottomline:BasedonZitzewitz(2002):T