Analyst disclosure and market making on NASDAQ.

Summary This thesis examines the impact of the behavior of informed market makers on the NASDAQ when market makers and analysts are affiliated with the same investment bank. The objective is to test the assumptions of existing models regarding the role of informed market makers in information dissemination and the impact that their behavior may have on market quality using sophisticated econometric models. In addition, the thesis empirically addresses the issue of anonymity and examines the role of the SIZE identifier in price formation around the affiliated analyst's public announcement and intraday. This component, now named NSDQ, allows holders to anonymously quote their prices in the book. The results show that before the announcement, the aggregate range is lower when analysts and dealers are linked and the informational shares of the identified quotes are higher than those quoted under SIZE. In intraday, quotes under SIZE are abundant when market conditions change. The topic is of institutional and practical interest. Indeed, the SEC is in favor of regulating information and increasing market transparency. However, the results of the thesis suggest that privileged access to keepers can make the trading environment less costly and thus improve the quality of this market. Furthermore, pre-trade anonymity allows the makers to better manage the risk of anti-selection in the presence of informed investors during the day.