外文翻译---分析师建议和纳斯达克市场庄家活动 本文关键词：纳斯达克，外文，庄家，分析师，翻译
外文翻译---分析师建议和纳斯达克市场庄家活动 本文简介：参阅外文文献资料AnalystRecommendationsandNasdaqMarketMakingActivityStockanalystsbecamecelebritiesinthebullmarketofthe1990s.Inthebearmarketthatfollowed,theybec
外文翻译---分析师建议和纳斯达克市场庄家活动 本文内容：
参阅外文文献资料
Analyst
Recommendations
and
Nasdaq
Market
Making
Activity
Stock
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
between
market
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
Womack’s
(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
recommendations
under
performed
picks
by
unconflicted
analysts
by
more
than
25%
per
year
for
two
years.Spitzer’s
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
from
Kirsten
Campbell
to
Henry
Blodget,both
Internet
analysts
at
Merrill
Lynch:
“.
.
.
we
are
putting
half
of
merrill
retail
into
this
stock.
.
.
i
don’t
think
that’s
the
right
thing
to
do.
We
are
losing
people
money
and
i
don’t
like
it.
john
and
mary
smith
are
losing
their
retirement
because
we
don’t
want
todd
[Tappin,GoTo
CFO]
to
be
mad
at
us.”1
GoTo.com
(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
O’Hara
(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
relationships
that
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
Nasdaq’s
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
Conflicts
When
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
firm’s
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
analyst’s
recommendation
change.
This
would
violate
the
Association
for
Investment
Management
and
Research’s
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.
NASD’s
Rule
2711,which
took
effect
in
July
2002,now
clearly
prohibits
pre-release
access
of
the
content
of
the
firm’s
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
firm’s
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
subsidiaries
There
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
University
Suggested
Citation:
Mizrach,Bruce
(2003)
:
Analyst
Recommendations
and
Nasdaq
Market
Making
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
To.com（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易机制，如Westertholm，Swan
和Liu
研究了三种现存的交易机制(连续报价驱动机制，指令驱动机制和兼具报价驱动和指令驱动的定期拍卖机制)。他们的实证研究使用了32
家交易所250
家公司的详细数据。他们证明，与纯指令驱动系统相比，使用做市商系统的价格波动更低，但是交易成本也更高。
Jain
使用了一种详细截面数据模型研究了国际上51
个股票市场的结构。他发现做市商极大地改善了股票流动性。有趣的是，他发现低流动性的新兴市场与发达市场相比，这种效应，尤其是交易成本的降低更加显著。Bessembinder
研究了NASDAQ
和NYSE
的交易成本，发现NASDAQ
市场的做市商系统成本更高。Bessembinder
和Kaufmann，Huang
和Stoll
同样研究了这两大交易所的执行成本，发现NASDAQ的执行成本是NYSE
的两倍。而且，Christie
和Schultz
在NASDAQ
市场发现了做市商之间的勾结。Panayides
和Charitou
通过对国际上30
个股票交易所的研究，阐述了在新兴市场中如何有效地重建交易制度，使其从做市商系统提供的市场质量中受益，同时
避免在新系统应用中可能出现的一些负面效应（如高的交易成本和交易商市场中的勾结），考虑的因素包括：（a）当前的交易所制度和重组成本；（b）
投资者对国内外交易所的认识；（c）
吸引目标资本国的制度设计；（d）新兴市场规模。随着网络在世界范围内的延伸，各国监管当局都将面临跨国性的业务和客户，金融监管的国际性协调日益重要。这就要求在对网络金融实施监管时，要建立与国际体系中其他金融制度相适应的规则体系和市场标准。多个监管主体间必须加强协调，共享信息，统一监管标准和方式，防止监管重复或监管真空，避免不同监管机构间的意见分歧和信息要求上的不一致。东南亚金融危机以后，在金融监管（包括网络金融监管）方面进行国际合作已引起国际社会的高度重视，越来越多的国家和国际组织加入了这一行列，监管合作的范围也由传统的银行业扩展到证券、保险、外汇、金融衍生产品等各个领域，监管国际化已成为国际金融市场发展的又一趋势。这不仅有利于实现各国之间监管信息的共享，而且可以通过合作和交流提高整个国际金融市场的监管水平和效率，并有效地防范和制止金融风险引起的区域性金融风暴。(四)
严格网络银行的市场准入。网络银行特别是纯网络银行之间的竞争，操作失误或技术失误将可能使现有实体银行倒闭，在我国尚未建立存款保险制度的情况下，很容易引发严重的社会危机。因此，为引导和规范网络银行之间的有序竞争、建立良好的金融秩序、确保金融的稳健运行、引导金融资源在全社会范围内的合理配置，中央银行必须未雨绸缪，严把网络银行的市场准入关。网络银行在我国还是相对比较新的事物，央行对网络银行的监管应该跳出现有监管模式的束缚，在充分研究网络银行的虚拟金融服务的价格、网上金融产生的风险对国家整体金融风险产生的影响及评估、公共基础网络及基础加密工具的安装和升级等方面进行监管的同时，借鉴发达国家网络监管的成功经验，为我所用，走出一条适合中国发展模式的新型监管模式。
来源：罗格斯大学经济学系
建议引用：Mizrach，布鲁斯（2003年）：分析师建议和纳斯达克市场
庄家活动，工作底稿/罗格斯大学经济学系，2003,07号