Market Structure, Informed Trading, and Analysts' Recommendations
研究发现，分析师在开盘前向重要客户预发布买入推荐，导致开盘时股价显著上涨；纽交所/美交所股票需5分钟、纳斯达克股票需15分钟才能反映这些私人信息，表明信息不对称高时集中竞价市场比分散做市商市场更有效。
We examine stock price behavior in response to initial coverage, buy recommendations that are pre-released to important clients before the stock market opens, and find a strong positive valuation effect at the open. On average, it takes five minutes of trading for NYSE/AMEX stocks and 15 minutes for NASDAQ stocks to reflect the private information contained in these analyst recommendations, so when informational asymmetry is high, the centralized call market is more efficient than a competitive, but fragmented dealer market. Public news release leaves share prices unaltered. Overall, competition among informed traders causes private information to be rapidly incorporated into stock prices.