3 New Yo r k Stock Exchange American Stock E x c h a n g e D o t
58 3.1 primary market secondary market I P O (seasoned new issues) I B M 3.1.1 u n d e r w r i t i n g S E C p r o s p e c t u s 3-1 A B C D 3-1
3 59 3.1.2 1982 415 1 3.1.3 199588 N e t s c a p e 28 58. 25 108 3-2 [ 1 ] [1] Lawrence Benveniste and Wilhelm. Intial Public Offerings: Going by the B o o k,journal of Applied Corporate Finance 9 (Spring 1997).
60 3-3 3-1 3-2 ( ) TimLoughran, Jay Ritter, and Kristian Ry d q u i s t,initial Public Offerings: International I n s i g h t s,pacific-basin Finance Journal 2(1994), pp.165-99. 1 2 3 4 5 3-3 TimLoughran, Jay Ritter, and Kristian Rydquist, The New Issues Puzzle,T h e Journal of Finance 50(March 1995), pp.23-51.
3 61 Spring Street 160 A n d r e w K l e i n Robert Colby M a r q u e t t e U m i v e r s i t y Daniel We a v e r Charles Schwab Corp. J e ffrey Ta y l o r. SEC Says Brewery May Use Internet to Offer Its Stock, T h e Wall Street Journal, March 26, 1996. 2 200 [ ]
62 3.2 (1) (2) (3) 3.2.1 stock exchange N Y S E [ 1 ] A m e x B o s t o n and Pacific 1878 4 000 1998 200 3-1 3-1 ( ) 1875 6 800 4 300 1990 430 000 250 000 1905 85 000 72 000 1991 440 000 345 000 1935 140 000 65 000 1992 600 000 410 000 1965 250 000 190 000 1993 775 000 500 000 1975 138 000 55 000 1994 830 000 760 000 1980 275 000 175 000 1995 1 050 000 785 000 1985 480 000 310 000 1996 1 450 000 1 225 000 New York Stock Exchange Fact Book, 1996. 3 000 3 1993 2. 645 3-2 1996 85 3-2 1996 / 10 / 10 104. 64 87. 2 4 063.7 89. 6 5. 63 4. 7 91. 3 2. 0 9. 79 8. 2 380. 3 8. 4 120. 06 100. 0 4 535.3 100. 0 N a s d a q 145. 60 100. 0 3 592.50 100. 0 Nasdaq Fact Book and Company Directory, 1997. [1] N a s d a q
3 63 3-3 3-3 3-3 ( ) 2 500 000 2 000 000 40 000 000 40 000 000 1 100 000 1 0 0 2 000 the New York Stock Exchange Fact Book,1996. 80 80 80 Nasdaq, 1983 2. 5 1996 6. 7 I n t e l Apple Computer S u n M i c r o s y s t e m s M C I MCI Communications 10 1984 5 000 1997 5. 43 80 1987 3.2.2 35 000 o v e r- t h e - c o u n t e r O T C
64 O T C O T C 1 971 O T C 1971 b i d p r i c e asked price 5 500 4 000 1 300 3-4 3 3 2 1 3-4 6 000 000 4 000 000 500 000 1 100 000 1 000 000 3 000 000 8 000 000 5 000 000 3 5 4 750 000 1 000 000 750 000 8 0 0 4 0 0 3 0 0 Amex Fact Book, 1997, and Nasdaq World Wide Web page,1997. 3.2.3 third market
3 65 7 0 1972 30 197551 fourth market I n s t i n e tp o s i t P o s i t I n s t i n e t 20 3.2.4 1975 1975 1977 1978 7 3.3 3.3.1 (commission broker) (floor brokers) (registered traders) s p e c i a l i s t ( s p e c i a l i s t s
66 p o s t ) 3.3.2 market orders E x x o n 68 68. 25 100 68. 25 68 68 68. 25 600 1 000 400 68. 125 [ 1 ] 1/4 1/8 1/16 (limit orders) 68. 125 65 68. 125 68. 25 68. 125 68 68. 125 0. 125 1997 1/16 1 5 [1] K. Ross,J.Shapiro, K. Smith,Price Improvement of SuperDot Market Orders on the NYSE,N Y S E Working Paper 96-02.
3 67 1/8 (stop-loss orders) 3-4 (stop-buy orders) 3. 7 3-4 (open or good-till - canceled orders) 6 (fill or kill orders) 3.3.3 [ 1 ] 10 ~ 20 [1]
68 30 32 32 30 303 2 1/41/2 45 44. 504 4. 75 100 000 44. 5 4 3.3.4 3-5 10 000 block transactions 10 000 1997 20 British Petroleum 1 500 3-5 / 1 9 6 5 48 262 3. 1 9 1 9 7 0 450 908 1 5. 4 6 8 1 9 7 5 778 540 1 6. 6 1 3 6 1 9 8 0 3 311 132 2 9. 2 5 2 8
3 69 / 1 9 8 5 14 222 272 5 1. 7 2 139 1 9 9 0 19 681 849 4 9. 6 3 333 1 9 9 5 49 736 912 5 7. 0 7 793 1 9 9 6 58 510 323 5 5. 9 9 246 the New York Stock Exchange Fact Book, 1996. () block houses 3.3.5 DOT D o t S u p e r D o t 30 099 1996 401 500 22 program trades 23 80 1996 38 3.3.6 1 9956 T+ 3 T+ 3 3.4 1 9 8 7
70 S O E S 20. 5 20. 125 20. 375 19941 0 1/8 1/83/85/87/8 1/41/2 19966 19968 O AT S 1) 100 2) I N S T I N E T 3) 1 000 500 1
3 71 30 9. 1 19971 2 3-2 Journal of Finance William Christie Paul Schultz 10 3 9. 1 10 70 % 1 / 8 2 8. 502 8. 75 28. 625 100 1997 30 % 19976 1 / 16 1 / 8 Rutgers University
72 David Whitcomb 6 10 % Why do Nasdaq market makers avoid odd-eight quotes?journal of Finance, May 1994. Nasdaq market reform: new evidence that competition from the public lowers trading costs, Michael Barclay,William Christie,Jeffrey HarrisEugene Kandel and Paul Schultz, Journal of F i n a n c e, Forthcoming. : Reprinted from The Economist, January 17,1998. 3.4.1 3-5 3.4.2 3-5 1996 Nasdaq Fact Book and Company Directory, 1997. S E A Q 3.4.3 T S E 80 s a i t o r i s a i t o r i s a i t o r i
3 73 s a i t o r i I n s t i n e tp o s i t s a i t o r i 1 200 400 3.5 (discretionary account) 3-6 / 3-6 / 0~2 500 2 5 1. 6 0 2 501~5 000 3 5 0. 8 4 5 001~15 000 5 0 0. 4 0 15 001~50 000 6 0 0. 3 0 50 001~250 000 1 0 0 0. 1 2 5 250 000 1 2 5 0. 11 = 36. 25 0. 0275 = 0. 48
74 10 [ 1 ] bid-asked spread 2 1975 30 [2] 0. 25 3.6 ( b r o k e r s call loans) (buying on marg i n ) m a rg i n [1] 30 [2] T. F. L o e b :Trading Cost: The Critical Link between Investment Information and Results,F i n a n c i a l Analysts Journal. May-June 1983.
3 75 50 50 10 000 100 100 6 000 4 000 10 000 4 000 6 000 / 6 000 /10 000 0. 60 70 7 000 4 000 3 000 = / 3 000 /7 000 0. 434 3 4 000 30 P 100 P 1 00 P 4 000 100 P 4 / 100 P 0. 3 1 00 P 4 000 / 100 P0. 3 P5 7. 14 57. 1 ( ) ( ) 3 40 I B M 100 000 I B M 30 10 000 100 3 10 000 I B M I B M 20 000 200
76 9 I B M 30 200 26 000 10 900 15 100 26 000 10 900 15 100 10 000 /10 000 = 51 10 000 30 51 I B M 30 3 70 200 14 000 10 900 3 100 3 100 10 000 /10 000 = 6 9 3-7 I B M 9 3-7 / / 30 26 000 10 900 51 20 000 10 900 9 30 14 000 10 900 6 9 9 10 000 20 000 4 9 5 000 I B M 30 30 3.7 short sale 3-8 ( u p t i c k )
3 77 [ 1 ] 3-8 0 1 + ( + ) 0 1 ( ) ( + ) I B M 100 1 000 1 000 100 000 50 000 50 000 100 000 I B M 1 000 100 000 50 000 50 000 50 000 100 000 / 50 000 /100 000 0. 50 I B M 70 1 000 70 000 100 000 30 000 I B M 30 30 I B M PI B M 1 000P 15 000 1 000P 150 000 1 /1 000P P / (150 000 1 000P)/1 000P= 0. 30 ( ) P11 5. 38 I B M 115. 38 [1]
78 5 40 I B M 3.8 3.8.1 1933 Securities Act of 1933 1934 Securities Exchange Act of 1934 1933 1934 1933 1934 C F T S 1970 Securities Investor Protection Act of 1970 S I P C Federal Deposit Insurance Corporation 500 000 1933 1956 Uniform Securities 3.8.2 C FA(Chartered Financial Analysts) 3-3 1987 Circuit breakers (trading halts) 350
3 79 550 ( s i d e c a r s ) 500 12 D o t 5 12 500 1 ( c o l l a r s ) 50 80 A 25 19971 02 7 500 1987 5 100 1998 8 000 5 400 19982 10 2 2 23 0 2 20 1 1 2 2 30 50 1 2 3
80 4 5 The Standards of Professional Conduct of the Association for Investment Management and Research, 1997 3.8.3 i n s i d e i n f o r m a t i o n 1997 3-4 Pillsbury Co. stock 8 0
3 81 5 45 % 63 Ruth Bader Ginsburg 35 1934 10b James O Hagan 1988 430 Grand Metropolitan PLC P i l l s b u r y Edward Felsenthal, The Wall Street Journal, June 26, 1997. [1] [2] [1] J. Aharony and I. Swary,Quarterly Dividend and Earnings Announcement and Stockholders Return: An Empirical Analysis,Journal of Finance 35 (March 1980). [2] G e o rge Foster, Chris Olsen, and Terry Shevlin,Earnings Releases, Anomalies, and the Behavior of Security Returns,The Accounting Review, October 1984.
82 J a ff e [1] 5 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. [1] J e ffrey F. Jaff e,special Information and Insider Tr a d i n g,journal of Business 47 (July 1974).
3 83 Schwartz, Robert A.,ed. Global Equity Markets :Technological, Competitive, and R e g u l a t o ry Challenges. New York: New York University Salomon Center, 1995. N a s d a q The Fact Books, 1. FBN 100 000 70 50 53 a. F B N b. 2. 100F B N 70 a. b. 78 3. 4. 5. M a r r i o t t / 38 M a r r i o t t 371/ 4 381/ 8 6. 7. 50 / / 4 9. 7 5 5 0 0 5 0. 2 5 1 0 0 4 9. 5 0 8 0 0 5 1. 5 0 1 0 0 4 9. 2 5 5 0 0 5 4. 7 5 3 0 0 4 9. 0 0 2 0 0 5 8. 2 5 1 0 0 4 8. 5 0 6 0 0 a. 100 b. c. 8. D o t 9.
84 10. /( ) / 1 9 9 1 178 917 440 000 1 9 9 2 202 266 600 000 1 9 9 3 264 519 775 000 1 9 9 4 291 351 830 000 1 9 9 5 346 101 1 050 000 1 9 9 6 4 11 953 1 450 000 11. I n t e l 80 / 250 15 000 8 a. I n t e l i8 8 i i8 0 i i i7 2 I n t e l b. 25 c. 10 000 b d. 15 000 i8 8 i i8 0 i i i7 2 I n t e l I n t e e. I n t e l 12. I n t e l 250 80 15 000 a. I n t e l i8 8 i i 80 i i i7 2 I n t e l b. 25 c. I n t e l 2 ab 13. F i n c o r p F i n c o r p / / a. 55 1 / 4 55 1 / 2 b. c. 55 3 /8 d. 55 3 /8 14. F i n c o r p a. ab b. d5 5 3 /8 15. 50 5 000 8 5 000 10 000 a. 10
3 85 b. 30 16. 20 000 80 50 35 7 a. b. 17. 50 / 100 a. 50 b. 30 18. 11 100 Z e n i t h 14 / 31 2 41 9 / 5 0 / 41 19. a. 100I B M 6 b. 6 I B M 6 20. 62 55 100 50 a. 50 b. 55c. 54 7 /8 d. 21. X Y Z 100 34 1 /83 4 3 /16 a. 34 1 /8 b. 34 3 /16 c. 34 3 /16 d. 34 1 /8 22. a. b. c. d. 1. 2.! 100P 4 000 3. 0. 4P 100P 100P 4 000 40P 60P4 000 P6 6. 67 / 4. 150
86 / 30 19 500 5 450 40. 5 15 000 5 450-4. 5 30 10 500 5 450-49. 5 150 000 1 000P 5. 0. 4 1 000P 150 000 1 P4 00P 1 400 P150 000 P1 07. 14 /