外文翻譯---分析師建議和納斯達(dá)克市場莊家活動-全文預(yù)覽
【正文】 s also a discussion of rules and ethical standards regulating these 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 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 cross reference, in Section III, the Thomson First Call database of analyst remendations with data from the order book. I have three plete years of overlap in both data sets, 1999 to 2001. In total, I examine nearly 1, 600 remendations and the corresponding market making 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 analysis of the expost returns in Section VI suggests that the potential profits from this activity are large. I pute a very conservative measure that suggests abnormal profits of $ million per remendation in just a single week. The aggregate abnormal returns for the 42 firms are 75%.I conclude with some general ments 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 firm’s inventory. Conflicts3 can arise in either case, but their empirical implications are research is provided to clients in return for mission 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 remendation change. This would violate the Association for Investment Management and Research’s Standards of Professional Conduct. Section requires that “..members shall deal fairly and objectively with all clients and prospects when disseminating investment remendations...” Section 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 prerelease access of the content of the firm’s
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