Getting Out Early: An Analysis of Market Making Activity at the Recommending Analyst's Firm
研究纳斯达克做市商在分析师推荐变更前后的交易量变化，发现推荐分析师所在公司在降级前两天的卖出量异常增加，表明信息源影响交易行为，做市渠道可能补偿研究产出。
ABSTRACT This paper examines trading volume for Nasdaq market makers around analyst recommendation changes issued by an analyst at the same firm. Using Nasdaq PostData, we find a disproportionate increase in market making volume associated with the firm's recommendation changes and evidence of elevated sell volume at the recommending analyst's firm in the 2 days preceding a downgrade. The implications are that the information source matters in determining the placement of trades and that the issuing analyst's firm appears to be rewarded for prereleasing information through increased volume. These findings constitute new evidence of compensation for research production through the market making channel.