分析师建议和纳斯达克市场庄家活动.docxVIP

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 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 recommendationsunder performed