The Journal of Financial Economics

Journal of Financial Economics 33 (1993) 369-424. North-Holland

The Journal of Financial Economics

A retrospective evaluation (1974-91)*

G. William Schwert

University qf Rochester, Rochester, NY 14627, USA

Received November 1992, final version received February 1993

Data for the 5 16 papers published in volumes l-30 of the Journal of Financial Economics in the

period 1974-91 are analyzed. 477 authors from 136 institutions contributed papers, and these

papers received 16,23 1 citations according to the Social Science Citation Index. Lists of authors and institutions who have contributed the most papers to the JFE and a list of the mostly highly-

cited JFE papers show why the Journal has been successful in influencing the finance and

economics literature during its first 18 years.

1. Introduction

The Journal of Financial Economics (JFE) has become a preeminent academic journal since its founding in 1974 by Michael Jensen. Through the leadership of Dean William Meckling at the Graduate School of Management at the University of Rochester, and in collaboration with North-Holland

Correspondence to: G. William Schwert, William E. Simon Graduate School of Business Administration, University of Rochester, Rochester, NY 14627, USA.

*Schwert wrote this editorial and was responsible for the data collection and analysis.

Statements about past and prospective editorial policies reflect the views of current and former

Journal of Financial Economics editors (Eugene F. Fama, Michael C. Jensen, John B. Long,

Robert C. Merton, Wayne H. Mikkelson, Richard S. Ruback, G. William Schwert, Clifford W.

Smith, Rene M. Stulz, and Jerold B. Warner, whose comments and suggestions on this editorial

are gratefully acknowledged). The William E. Simon Graduate School of Business Administration at the University of Rochester and the Division of Research of the Harvard Graduate School of Business Administration provided support for this effort and for the Journal of’ Financial

Economics.

0304-405X/93/$06.00 0 1993-Elsevier Science Publishers B.V. All rights reserved

370 G. W. Schwert. JFE retrospective evaluation

Publishing Company, the Journal received strong early support. Eugene Fama and Robert Merton became founding coeditors and worked with Jensen in organizing the JFE. At Merton’s suggestion, the editors adopted citations to JFE papers as one of the major measures by which to evaluate the Journal

and its influence on the profession. To celebrate the publication of Volume 30 in 1991, the JFE compiled a

cumulative index of articles and authors that have appeared in the Journal

since its founding. Data on citations in the Social Science Citation Index

(SSCr) during 1974-9 1 have been collected for all of these papers. The editors also decided to collect and analyze data on the types of papers as well as the affiliations of the authors who have contributed to the Journal in its first 18 years. This editorial summarizes and analyzes these data.

To provide some background, section 2 describes the major editorial policies and goals that have guided the Journal of Financial Economics. The JFE has been innovative in its use of incentive mechanisms, such as submission fees, in managing the review and editorial process. It has also been entrepreneurial in developing new areas of research through special issues, conferences and clinical papers. It has stressed both expositional quality and the importance of empirical implications in theoretical work. Data on the number of submissions, submission fees, the rejection rate for submitted papers, turnaround time, and the topics of published papers (according to Journal of

Economic Literature classifications) show how the JFE has evolved since

1974. Section 3 analyzes data from the Social Science Citation Index on citations

to papers published in the Journal of Financial Economics. These data show which papers, authors, and institutions have had the most influence on the

finance and economics literature. Both time-series and cross-sectional

analyses of these data provide insight into the effects of JFE policies over the past 18 years. Readers of past editorials in Volumes 18 (1987) and 28 (1990) know that the Journal of Financial Economics has a consistently high rank compared with other economics journals in terms of citation rate. For

example, the latest study of journal rankings by the SSCI (1989) ranks the JFE

higher than all other economics journals except the Journal of Economic

Literature and Econometrica. Out of 1,400 social science journals, the JFE

ranks 1 7th. These rankings are based on the 1989 ‘impact factor’ (the number of citations in 1989 to papers published in 1987 and 1988, divided by the

‘A Lotus@ l-2-38 or Microsoft@ ExaP spreadsheet containing the data used in preparing this

editorial is available for a nominal handling fee on request to the Journal o/‘Financial Economics office in Rochester.

G. W. Schwert, JFE retrospective evaluation 371

number of papers published in 1987 and 1988). For 1989, the impact factor

for the JFE was 3.557. Other top-ranked economics journals (and their impact

factors) are the Journal ofEconomic Literature (5.455), Econometrica (3.599),

the Journal of Political Economy (2.32 I), and the American Economic Review

(1.739). In the business/finance group, the JFE was the top-ranked journal; the next highest journals (and their impact factors) were the Journal of

Monetary Economics (2.446), the Journal ofAccounting & Economics (2.4 17), and the Journal of Finance (1.402).

Of course, the use of citation data is sometimes controversial. Edward Learner (198 1) summarized this debate as follows:

Many ofyou will conjure up reasons why the number of citations should be ignored.

There arefods; there are self-citations; there are citations conspiracies; there are

derogatory citations; there are bribes to editors and referees, there ore

sycophantic students; and there are subjects capable of direct understanding only

b_v a ftiw. But why didn’t your papers start fads; whv don’t you publish more and

cite yourselA why did your conspiracies foil: why don’t you become an editor:

why don’t your students care about your welfare; and why do you insist on writing

about obscure issues?

The citation data analyzed here help explain the overall success of the JFE. Section 4 provides concluding remarks.

2. JFE editorial policies

The ‘aims and scope’ of the Journal of Financial Economics are described

on the inside cover of each issue:

The Journal of Financial Economics provides a specialized f&urn jbr the

publication of research in the area offinancial economics and the theor?, of the

firm, placing primary emphasis on the highest quality analytical, empirical, and

clinical contributions in the .following major areas: capitol markets, financial

institutions, corporate finance, corporate governance. and the economics of

organizations.

In addition, at the beginning of every issue of the Journal of Financial

Economics since 1975, we have published editorial data describing turnaround times and the rejection rate for papers under review during the preceding 12

*Econometric& factor impact has risen from 1.82 in 1987 and 2.52 in 1988, whereas the

Journal qf Financial Economics’ impact factor was 2.93 and 3.39 in 1987 and 1988.


months. These data reflect not only the importance placed by the JFE editors on a prompt, high-quality review process but also our desire to communicate our productivity to authors and thereby to have our performance continually monitored. Of course, no journal would aspire to publish low-quality, irrelevant papers using a slow, low-quality review process. However, the JFE has used several innovative editorial policies to differentiate itself from competing journals.

2.1. Using prices to improve efficiency

From its inception, the Journal of Financial Economics has charged authors submission fees and paid referees for submitting reports within predetermined time limits. We subsequently began paying editors for prompt service after they became the bottleneck. At the same time, we started publishing turnaround data inside the front cover. Submission fees have always been refunded to authors of accepted papers, so the expected fee for a high-quality paper is low. On the other hand, papers that require several revisions before meeting publication standards must pay several submission fees. The JFE

editors have tried to keep submission fees high enough to induce authors to improve their papers as much as possible before asking a referee and an editor to read and critique their work. The editorial in Volume 17 (1986) provides a more detailed history and analysis of the role that submission fees play in

the management of the Journal.

Fig. 1 plots submission fees (deflated by the Consumer Price Index to August 1973 dollars) along with the number of submissions per month to the Journal of Financial Economics from August 1973 through December 199 1. This plot shows that there has been a secular rise in the demand for JFE editorial services, despite the growth in real submission fees (students of simultaneous equations methods will recognize that the scatter plot of submissions versus fees would be upward-sloping because the demand curve has shifted outward over time, not because the demand elasticity is positive).

Fig. 2 shows the rejection rate and the median turnaround time for JFE

submissions in 1974-9 1. Since the first few years of operation, rejection rates and turnaround times have been stable with only a small upward trend. There have been brief periods when these measures of editorial activity have varied from normal levels, often due to an unusually large number of submissions (see fig. 1). Some of these unusual episodes have been related to special issues of the JFE (see section 2.4). At other times, when the number of submissions has overwhelmed the current editorial staff and turnaround times rose, we have expanded the number of editors, as can be seen in table 1.

70

60

50

5 : r b 40 a

g .8 .g 30 E 9 (I)

20

10

0

G. W. Schwert, JFE reirospecrive evaluation 313

JFE Submissions & Fees

Submissions

Real Fees -

$120

$100

$20

$0 73 74 75 76 77 70 79 60 61 02 63 84 05 66 67 88 89 90 91

Month of Submission

Fig. 1. Monthly number of JFE submissions and real submission fees (in August 1973 dollars) in the period August 1973 - December 1991.

100% r

JFE Rejection Rate & lhmaround Time

1 45

90%

60%

Rejection Rate Turnaround - -

- 40

3 mx

- 35 0

“E t=

z - 30 z

;;r E z

- 25 s $I z

- 20

““I” I” 74 75 76 77 78 79 80 81 82 03 84 85 86 87 88 89 90 91

Months

Fig. 2. JFE rejection rate and median turnaround time for the preceding twelve months for each issue in the period January 1974 - December 199 I.


Table 1 lists editors and their periods of service. It includes those who have served as coeditors and advisory editors, since these individuals sometimes make editorial decisions on submitted papers. The last column in table 1 shows the total number of papers that these nine editors have authored in the JFE during 1974-91, and the next-to-last column shows how many of these papers were authored while acting as editors (section 3 contains more information about authors who have contributed to the JFE).

Table 1

Editors of the Journal of Financial Economics, 1974-91

Includes service as Managing Editor, Editor, Coeditor, or Advisory Editor. The

last columns show the number of JFE papers authored while serving as an Editor

and the total number of JFE papers authored during 1974-91.

Years of Service Papers Authored

First Last Total Volumes While

Editor Editor

Fama, E.F. 74 91 18 30 11 11

Jensen, M.C. 74 91 18 30 6 6

Long, J.B. 83 91 9 20 1 5

Merton, R.C. 74 77 4 4 3 4

Ruback, R.S. 88 91 4 9 0 7

Schwert, G.W. 79 91 13 24 2 5

Smith, C.W. 83 91 9 20 4 8

Stulz, R.M. 83 86 4 8 1 8

Warner, J.B. 87 91 5 13 2 7

2.2. Peer review and feedback

All academic journals depend on the peer review system for their success. Successful authors and others who exhibit expertise in a particular area are frequently identified by journal editors as potential referees. Given the scarce time available to referees, how can one journal elicit quicker and higher- quality reviews?

G. W. Schwerl, JFE retrospective evaluation 315

From the beginning, Michael Jensen advocated both price and feedback incentives to affect referees’ behavior. The JFE was only the second economics journal to pay referees who returned their reports within a prespecified 21-day period from receipt of the paper, although many major finance and economics journals now pay referees for prompt reports. Since the submission fee for papers was raised to $275 in 1986, we have offered a l/3 submission fee discount for timely referees’ reports, in addition to a dollar payment. Thus, referees face a lower effective submission fee than others who do not contribute to the peer review system. While these payments do not compensate for the time of the referee, they do give referees an incentive to move JFE papers up in their queue of work. Some authors are particularly sensitive to speed in the review process. For example, junior faculty who face a tenure review within a short period gain the most from quick feedback on their work. By publishing the distribution of turnaround times on the first page of each issue of the Journal, and by striving to have a limited backlog of accepted papers waiting for publication, the JFE has stressed speed as an important aspect of its service.

Of course, speed is not the only dimension of journal service. Authors also want comments and criticisms that will improve the quality of their work, whether or not their papers are published in the Journal. The JFE has departed from many of its competitors in several ways that are intended to improve the quality of feedback to authors. First, most submissions are reviewed by only one referee, making the referee more responsible for the outcome (i.e., the free rider problem is smaller). The cost of this policy is that idiosyncratic judgement by a single referee could expose the author to more risk. However, this risk is alleviated by having the editor who handles the paper carefully monitor the referee report. The editor often acts as a second referee in providing comments to the author. Most important (and most unusual compared with the practices of other journals), the referee always receives a copy of the letter written by the editor to the author. Thus, if the editor feels that a referee has erred, that information is conveyed to both the referee and the author. This feedback device enables the editors to convey JFE policies to both authors and referees in a consistent way, which is important since many of our best referees are also authors. Coupled with the

‘The Bell Journal qfEconomrcs and Management Science began paying referees for prompt

reports when it began operation in 1970. Its founding editor, Paul MacAvoy, reports that The BeN

Journal was unusual in that it paid authors substantial royalties for accepted papers and it mailed

subscriptions free to all members of the American Economics Association. The budget for The

Bell Journal was provided by American Telephone and Telegraph Company. The Bell Journal

did not use submission fees.

Tab

le

2

Ass

ocia

te

Edi

tors

of

the

Jou

rnal

of

Fin

anci

al

Eco

nom

ics,

19

74-9

1

The

las

t co

lum

ns

show

the

num

ber

of J

FE

pape

rs a

utho

red

whi

le

serv

ing

as a

n A

ssoc

iate

E

dito

r an

d th

e to

tal

num

ber

of J

FE

paps

au

thor

ed

in t

he p

erio

d 19

74-9

1.

Ass

ocia

te

Edi

tor

Years of

Se

rvic

e

Firs

t L

ast

Tot

al

V0l

UII

l.X

Pap

ers

Aut

hore

d

Whi

le

Ass

E

d T

otal

Asq

uith

, P

. 84

90

Bak

er,

G.P

. 89

91

Bar

clay

, M

.1.

87

91

Ban

, V

.S.

77

81

Bla

ck,

F.

74

86

Blu

me,

M

.E.

75

81

Bre

aley

, R

.A.

74

81

Bre

eden

, D

.T.

82

87

Bra

man

, M

.J.”

74

91

Cam

pbel

l, J.

Y

89

90

Cas

s,

D.

74

78

Dam

, L

.Y.

87

91

DeA

ngel

o,

H.

84

91

Don

alds

on,

G.

89

91

3 5 5 13 I 8 6 IO

2 5 5 8 3

17

6 12 5 I8 8 9 12

19

6 6 I3

18

7

2 4

4

Ass

ocia

te

Edi

tor

Years of

Ser

vice

Firs

t L

ast

Tot

al

Vol

umes

Pat

ws

Aut

hore

d

Whi

le

Ass

E

d T

otal

May

a,

D.

14

91

18

30

7 7

Mer

ton,

R

.C.

78

83

6 8

1 4

Mik

kels

on,

W.H

86

91

6

16

2 7

Mill

er,

M.

74

83

10

I2

0 0

Mos

sin,

J.

74

78

5

6 0

0

Mye

rs,

S.C

. 74

88

15

22

2

2

Pal

epu,

K

.G.

89

91

3 8

1 2

Plos

ser,

c.

19

83

5

6 0

0

Ric

hard

, S.

F.

76

83

8 10

2

3

Rol

l, R

. 74

91

18

30

7

I

Ros

s,

S.A

. 74

83

10

I2

5

5

Roz

eff,

M

S.

77

83

I 8

0 3

Rub

ack,

R

.S.

82

87

6 12

6

7

Rub

inst

ein,

M

. 74

91

I8

30

2

2

Fre

nch,

K

.R.

84

91

8 18

5

Gav

er,

K.

II

78

2 2

0

Gei

sel,

M.

14

78

5 6

0

Gib

bons

, M

.R.

82

88

I 15

3

Gon

edes

, N

. 14

75

2

2 0

Gou

ld,

J.P

. 76

83

8

IO

1

Gra

nger

, C

.W.J

. 74

78

5

6 0

Hak

anss

on,

N.H

. 74

81

8

9 2

Hite

, G

.L.

82

91

10

21

2

Inge

rsol

l, J.

E.

19

88

10

16

2

Lon

g,

J.B

. 14

82

9

17

4

Kap

lan,

S

.N.

91

91

1 2

1

Kle

idon

, A

.W.

84

89

6 13

0

Kra

us,

A.

II

85

9 11

0

Lin

tner

, I.

14

78

5

6 0

Litz

enbe

rger

, R

. 80

88

9

17

3

Man

delb

rot,

B.B

14

78

5

6 0

Mas

ulis

, R

.W.

87

89

3 8

I

0 2 3 4 5 5 2 0 0 7 0 6

Sam

uels

on,

P.A

. 74

78

5

6

Scho

les,

M

.S.

74

83

10

12

Sch

war

tz,

E.S

. 87

91

5

12

Sch

wa-

t, G

.W.

71

18

2 3

Sha

nken

, J.

87

91

5

12

Shle

ifer

, A

. 87

91

5

12

Smith

, C

.W.

II

82

6 6

Stam

baug

h,

R.F

84

91

8

18

Stal

l, H

.R.

86

91

6 16

St&

, R

.M.

87

91

5 12

Vi&

y,

R.W

. 87

91

5

12

War

ner,

J.

B.

79

86

8 11

Wat

ts,

R.L

. 74

88

I5

22

Wha

ley,

R

.E.

89

91

3 8

Wol

fson

, M

.A.

89

91

3 7

Wru

ck,

K.H

. 89

91

3

8

Zel

lner

, A

. 74

7s

2

2

3 0 3 3 2 3 4 0 5 2 4 2 0 3 0

“Mic

hael

B

renn

an

resi

gned

fr

om

the

Boa

rd

whi

le

he w

as E

dito

r of

the

Jou

rnal

of

Fin

ance

an

d th

e R

evie

w

of F

inan

cial

St

udie

s.

378 G. W. Schwert, JFE retrospective evaluation

careful selection of referees, our ongoing monitoring of referees delivers the generally high quality of feedback sought by authors.

The Board of Associate Editors includes people who provide the highest level of peer review. Typically, associate editors have been important contributors to the JFE as both referees and authors. Occasionally, they help the Journal identify important papers for solicitation (for which the submission fee is waived). Table 2 lists the associate editors and their periods of service. The last column shows the number of papers these people have authored in

the JFE since 1974, and the next-to-last column shows the number of papers they authored while serving as associate editors. While the Board of

Associate Editors includes well-known senior people, many members were added early in their careers because they were identified as productive scholars and reviewers. Indeed, many of these people were on the JFE Board before they were given similar recognition by other finance and economics journals, including many editors of the Journal of Finance and the Review of Financial

Studies (Blume, Brennan, Mayers, Stulz, Gibbons, Ingersoll and Stambaugh), as well as Douglas Breeden, currently serving as editor of the Journal of Fixed

Income, John Campbell, currently serving as an editor of the American

Economic Review, Charles Plosser, currently serving as an editor of the Journal of Monetary Economics, Andrei Shleifer, currently serving as an editor of the Quarterly Journal of Economics, and Ross Watts, one of the founding Editors of the Journal of Accounting & Economics.

2.3. Expositional policies

The Journal of Financial Economics has always stressed expositional clarity as an important goal for the papers it publishes. Beyond the usual help that editors and referees provide authors, the JFE offers two additional processes aimed at improving expositional quality. First, every accepted paper is reviewed and critiqued by a professional copy editor. Second, every accepted

paper is read and critiqued by the managing editor, Michael Jensen. The JFE also has unusual standards for tables and figures. The goal is for

each table and figure to be virtually self-contained; that is, readers should be able to understand the information in the table or figure without frequent reference to the text of the article. We believe this objective is important since many readers skim a paper’s abstract, tables, figures, and conclusions in deciding whether to devote the time to read the paper carefully. In addition,

many readers use results from JFE papers as separate classroom handouts to highlight a particular fact or result. (Since RenC Stulz became its editor in 1987, the Journal of Finance has instituted table and figure policies similar to

G. W. Schwert. JFE relrospective evaluation 379

those of the JFE.) To help authors achieve this goal, we send a packet of

materials containing good examples of tables and figures when authors are being encouraged to revise and resubmit a paper for further review. Frequently, JFE editors also send authors instructions on footnotes (we strive to minimize footnotes) and other matters of exposition (e.g., Hamermesh (1992), McCloskey (1985) Twain (1962), Wydick (1978) and Zimmerman (1989)). The editors believe that expositional quality is important, along with analytical quality, in determining the success of the Journal of Financial

Economics. While it is hard to measure the effect of this policy on the success of the Journal, we believe it has been substantial.

The JFE stresses clarity, but it also has a policy of ignoring absolute length in judging the publishability of a paper. We would rather see one longer comprehensive paper with superior content than several shorter papers (whose cumulative length is greater). This policy also distinguishes the JFE from many competing economics and finance journals. For example, the American

Economic Review has a policy that submitted manuscripts should be shorter than 50 manuscript pages. Fig. 3 shows the distribution of paper lengths for the 516 papers published in Volumes l-30. The average length is about 24 Journal pages, but 20 papers have been more than 40 Journal pages long (and some of these papers are among the most cited papers, as seen in table 7, below).

2.4. Entrepreneurial activities: Conferences, special issues, and

clinical papers

Another policy that has differentiated the JFE from other finance and economics journals is the frequent effort to highlight and cultivate new areas of research. Table 3 lists the special symposium issues of the Journal of

Financial Economics, many of which resulted from conferences that were cosponsored by the Journal. It shows the topic of the symposium, the number of papers and pages in the special issue, the editors responsible, and the total number of citations to these papers from publication through 1991 (from the Social Science Citation Index). It also shows the average citations per year per paper for each symposium. While these special issues vary in size and subject matter, it is clear from the citation data that they have been highly influential on the literature. For the special issues prior to 1989, the average number of citations per year per paper is 6.8, almost twice as high as the 3.5

average citations per paper per year for normal issues of the JFE. (The citations to articles in volumes with 1989-91 publication dates are artificially low because the Journal had substantial publication lags in those years. For

380

100 --

60 -- E z 2 p 60 --

$

5 z

40 --

20

0

G. W. Schwert, JFE retrospective evaluation

Number of JFE Papen by Leagtb in Pagea

10.51 (5,101 (10.151 (15,201 (20.251 (25.301 (30,351 (35.401 (40,451 (45.501 >50

Page Length Interval

Fig. 3. Frequency distribution of 5 16 JFE papers by page length in the period 1974-91, Volumes l-30. Mean number of pages equals 23.9 and the standard deviation is 9.3 (the notation (5,101 denotes more than 5 and less than or equal to 10 pages).

JFE Papers by JEL Financial Economics Categories

Corp Finance & Governance

Financial lnatNutians_ _ _

JEL Financial Economics Categories

Fig. 4. Frequency distribution of number of JFE papers by Journal of Economic Literahm (JEL) financial economics categories plus ‘Other’ non-financial economics categories, for 5 16 papers with 736 JEL classifications in the period 1974-91. For papers classified in n categories, each category is credited with l/n paper.


example, Volume 25, No. 2, which had a December 1989 publication date, was mailed to subscribers in December 1990, and Volume 30, No. 2, with a December 1991 publication date was mailed in April 1992.) Section 3 provides further analysis of citation patterns for JFE papers.

Table 3

Special Issues of the Journal of Financial Economics, 1974-91

Citations

Topic Year Volume Papers Pages Total

Paper/

Yeat Editors

Option Pricing Models

Anomalous Evidence

Regarding Market

Effxiency

Futures Pricing

The Market for

Corporate Control: The Scientific Evidence

Size and Stock Returns,

and Other Empirical

Regularities

Investment Banking and

the Capital Acquisition

PKXf?SS

The Distribution of

Power Among Corporate Managers, Shareholders,

and Directors

The Structure and

Governance of

Enterprise

76 3 6 176 814 8.5

78 6 9 235 402 3.2

81 9 3 62 214 6.5

83 11 16 466 1060 7.3

83 12 8 154 554 7.7

86 15 10 279 550 9.2

88 20 18 504 378 5.3

90 27 23 604 59 1.3

Average for JFE Special Issues, 1974-88

Average for Normal Issues of the JFE, 1974-88

6.8

3.5

Jensen &

Smith

Jensen & Warner

Jensen &

Ruback

Citations are from the So&[ Science Citation Index from the year of publication through 1991. Since

the Journal ofFinancial Economics had substantial publication lags in 1989-91, the citations for these

issues are artificially low.


Besides the special issues, in 1989 the JFE began a section on clinical papers under the guidance of Richard Ruback (see the editorial at the beginning of Volume 24). Through the end of Volume 30, 17 clinical papers have been published. The average number of citations to these papers through 199 1 is 1.7, compared with 2.1 average citations for the 86 non-clinical papers published since Volume 24. Thus, while these papers differ in style and subject matter from traditional JFE articles, they appear to be having a similar impact on the literature. Of course, the goal of the clinical papers section is somewhat different, so it is not appropriate to judge the success of this experiment solely on the basis of citations from the academic journal literature.

3. Evaluation of the results

There are many ways to summarize the activity of the Journal of Financicl Economics. The following data show the topics of JFE papers (by Journal of

Economic Literature (JEL) categories), the authors and institutions who have contributed to the JFE, and the citations received by JFE papers, authors and institutions. The citation data are from the Social Science Citation Index

(SSCI) online database and were collected by Michael Stevenson of Baker Library, Harvard Business School. Data were collected on the number of citations to each paper for each year since it was published in the JFE. The citations for 1991 are lower than for 1990 because of data collection and reporting lags; some journals with 1991 publication dates do not appear until 1992, and the SSCI enters citation data with a lag after citing journals appear. Moreover, as the JFE suffered publication lags in 1989-9 1, citations to papers in these issues will be artificially low for a couple of years (fig. 8 below shows this effect).

Several checks were performed on the accuracy of the citation data. For example, the William E. Simon Graduate School of Business Administration at the University of Rochester has collected citation data from the SSCI books for many business school faculty members as part of its personnel review

process. The Rochester data for JFE papers was compared with the data collected for this paper. While there are some differences in year-by-year citation counts for many papers, these differences are not large or systematic. While there are undoubtedly errors in this database, we have no reason to believe that the errors would affect the conclusions drawn from these data (readers who notice apparent errors in our citation counts are encouraged to send copies of their data to the Rochester JFE office so that the database can

be updated).

G. W. Schwert, JFE retrospective evaluarion

Table 4

383

Journal of Economic Literature Classifications Used in Journal of Financial Economics Index

General Financial Markets

G I I Portfolio Choice

Gl2 Asset Pricing

Gl3 Contingent Pricing; Futures Pricing

Cl4 Information and Market Efficiency

G IS International Financial Markets

Gl8 Government Policy and Regulation

Financial Institutions and Services

G21 Banks; Other Depository Institutions;

Mortgages

G22 Insurance; Insurance Companies

G23 Pension Funds; Other Private Financial Institutions

G24 Investment Banking

G28 Government Policy and Regulation

Corporate Finance and Governance

G3 1 Capital Budgeting; Investment Policy

G32 Financing Policy; Capita1 and Ownership structure

G33 Bankruptcy; Liquidation

G34 Mergers; Acquisitions; Restructuring;

Voting; Proxy Contests

G35 Payout Policy

G38 Government Policy and Regulation

Econometric and Statistical Methods

Cl 1 Bay&an Analysis

Cl5 Statistical Simulation Methods; Monte Carla

Methods

C22 Single Equation Time-Series Models

C3 I Multiple Equation Cross-Sectional Models

Microeconomics

D23 Organizational Behavior; Transaction Costs;

Property Rights

D5 1 Exchange and Production Economies

D52 Incomplete Markets

D8l Criteria for Decision-Making under Risk and

Uncertainty

D82 Asymmetric and Private Information

DS3 Search, Learning, and Information

D91 Intertemporal Consumer Choice; Life Cycle

Models and Saving

D92 Intertemporal Firm Choice and Growth,

Investment, or Financing

Macroeconomics and Monetary Economics

E3l Price Level; Inflation; Deflation

E32 Business Fluctuations; Cycles

E43 Determination of Interest Rates; Term

Structure of Interest Rates

ES1 Money Supply; Credit; Money Multipliers

International Economics

F3l Exchange Rates; Foreign Exchange

Intervention

Public Economics

H20 General: Taxation and Subsidies

H26 Tax Evasion

Labor and Demographic Economics

J33 Compensation Packages; Payment Methods

law and Economics

K21 Antitrust Law

K22 Corporate and Securities Law

Industrial Organization

L14 Transactional Relationships; Contracts and

Reputation L22 Firm Organization and Market Structure;

Markets vs. Hierarchies; Vertical Integration

Business Administration

M4l Accounting


Cumulative Number of JFE Papers by

JEL Capital Markets Categories _..._ _....~......~._ _._.

al Markets Total ciency (G14) ing (G12)

(G13) Term Structure (E43)

ort Choice (Gil)

74 75 76 77 76 79 60 61 82 63 04 65 66 67 66 69 90 91

Year of Publication

Fig. 5A. Cumulative number of JFE papers from 1974 through Year of Publication in the six major JEL Capital Markets categories for the period 1974-91, and the total for all six categories. For papers classified in n categories, each category is credited with l/n paper.

Citations to JFE Papers by Year

for JEL Capital Markets Categories

.51000- ,’

400 - ,’ , ’ ’ ital Markets Total ficiency (G14)

-’ ‘#‘I , , lwt! cing (Gl2)

200 - , ’ #a# g (Gl3) rm Structure (E43)

_ * I I R # I I I # I I I 6 @ I I @ I Port Choice (Gil) ’ n- I I fl l I l l # l l # # l l fl l lntl Finance (G15)

” 74 75 76 77 76 79 60 61 02 03 64 65 66 67 66 69 90 91

Year of Citation

Fig. 5B. Total annual citations from the Social Science Citation Index to all JFE papers published up to the Year of Citation in the six major Capital Markets categories for the period 1974-91, and the total for all six categories. For papers classified in n categories, each category is credited with l/n citations.


Cumulative Number of JFE Papers by JEL

Corporate Finance&Governance Categories

50 - ’

Total

_’ I 0

74 75 76 77 76 79 80 El 62 83 84 85 86 87 88 69 90 91

Year of Publication

Fig. 6A. Cumulative number of JFE papers from 1974 through Year of Publication in the six major JEL Corporate Finance & Governance categories for the period 1974-91, and the total for all six categories. For papers classified in n categories, each category is credited with I/n paper.

Citations to JFE Papers by Year for JEL

Corporate Finance & Governance Categories

= 1000 .s 2 0 m 800

z

z 600

400

200

0 I

74 75 76 77 78 79 60 81 82 83 84 65 66 67 88 89 90 91

Year of Citation

Total

Fig. 6B. Total annual citations from the Social Science Citation Index to all JFE papers published up to the Year of Citation in the six major Corporate Finance & Governance categories for the period 1974-91, and the total for all six categories. For papers classified in n categories, each category is credited with l/n citations,

386 G. W. Schwert, JFE retrospective evaluarion

3.1. Subject matter

Table 4 lists the JEL classifications used in creating the cumulative index of the Journal of Financial Economics for Volumes l-30 (see pages 369-394 at the end of Volume 30). Fig. 4 shows the major JEL classifications of the 516 JFE papers for the financial economics categories (Gil-G38 plus E43), as well as the sum of all other categories grouped together. If a paper is categorized in n JEL groups, each category gets credit for l/n papers. There are 736 classifications for the 516 papers, so the average JFE paper is categorized in about 1.5 areas. These data show that the categories of Asset Pricing, Contingent Pricing, Market Efficiency, Capital Structure, and Corporate Control have the largest number of published papers.

Fig. 5A shows the time series of JFE papers published in the major capital markets areas: Information and Market Efficiency, Asset Pricing, Contingent & Futures Pricing, Term Structure of Interest Rates, International Financial Markets, and Portfolio Choice. Again, papers that are classified into n

categories are credited with l/n paper in each group. The most notable feature of fig. 5A is that papers on portfolio choice were prominent in early issues of the JFE, but have dwindled in recent years. (The Journal of Finance is believed to show a similar pattern.)

Fig. 5B shows the citations in each year of 1974-91 to JFE papers in the major capital markets areas. Citations to capital markets papers grew rapidly from 1974 to 1986, when they were over 800 per year. The growth has been slower in recent years as citations to some early papers has dropped off. In 1990, capital markets papers received about 1,100 citations. Papers on Market Efficiency (G14) produce the largest number of citations among the capital markets categories.

Fig. 6A shows the time series of JFE papers published in the major corporate finance areas: Corporate Control (Mergers, Acquisitions, Restructur- ing, Voting, Proxy Contests), Capital and Ownership Structure, Payout Policy, Investment Banking, Bankruptcy, and Capital Budgeting. Compared with the capital markets papers in fig. 5A, corporate finance papers have grown faster from a smaller initial base. Moreover, it is clear from fig. 6A that the special issues on corporate control in 1983, 1988, and 1990 represented a major shift in the supply of research on these topics. Similarly, the special issue on investment banking in 1986 caused the supply of those papers to jump and then grow. These special issue initiatives have clearly affected the focus of research published in the Journal of Financial Economics.

Fig. 6B shows the citations in each year of 1974-91 to JFE papers in the major corporate finance areas. Citations to corporate finance papers grew rapidly after 1980, and there have been significant jumps in these citations

G. W. Schwerr. JFE retrospecrive evaluation 387

associated with the major corporate finance special issues of the JFE in 1983, 1986, 1988, and 1990. In 1990, corporate finance papers received over 1,000 citations. Papers in the Capital Structure (G32) and Corporate Control (G34) categories produced the largest number of citations among the corporate finance categories.

Through Volume 30 in 1991, about 50% of the papers published in the JFE

are in the major capital markets categories, while about 35% of the papers are in the major corporate finance categories.

3.2. Authors

From 1974-91, 477 authors have contributed papers to the Journal of

Financial Economics. These authors have written 5 16 papers. If each coauthor receives full credit for each paper, there are 88 1 author-papers (222 papers were written by single authors, 230 were by two authors, 58 were by three authors, five were by four authors, and one was by five authors). Table 5 lists the authors who have published the most papers in the Journal of Financial Economics, ranked by papers (where each of n coauthors receives l/n credit for a paper). It also shows author-papers (giving each coauthor full credit for each paper) and the citations from the SSCI to papers written by these authors (giving each coauthor credit for l/n of the citations). Hence- forth, the term ‘paper’ means that n coauthors each receive l/n of the credit, and the term ‘author-paper’ means that each coauthor receives full credit for each paper. Table 5 shows the total average citations per author per year for all papers written by the author, which adjusts for the age of different papers (a paper published in 1974 will have many years in which it could have received citations compared with a similar paper published in 1989).

Eugene Fama tops the list of JFE authors with eight papers and 11 author- papers. Michael Jensen’s papers have received the most citations per author, both in total (788.5) and in terms of average citations per year (113.6). Richard Roll ranks second in both papers published and total citations per author. While the 73 authors listed in table 5 account for 223 papers, the 404 other authors account for 293 JFE papers.

Because table 5 is sorted by the number of papers, several authors whose papers are heavily cited are omitted. For example, if authors were sorted based on the citations per author per year to all papers written by the author, William Meckling would rank third with 70.8 citations per year (based on 0.5 papers), Stewart Myers would rank 12’h with 42.4 citations per year (based on 1.5 papers), and Nicholas Majluf would rank 23’d with 26.9 citations per year (based on 0.5 papers).

Tab

le

5

Aut

hors

of

Jo

urna

l of

Fin

anci

al Ec

onom

ics

Pap

ers,

R

anke

d by

P

aper

s Pu

blis

hed,

V

olum

es

l-30

, 19

74-9

1

Pap

ers:

ea

ch o

f n

auth

ors

rece

ives

l/n

cr

edit

for

a JF

E

pape

r.

Aut

hor-

pape

rs:

each

coa

utho

r re

ceiv

es

full

cred

it fo

r ea

ch p

aper

. T

he t

able

al

so

show

s th

e to

tal

acro

ss

all

pape

rs

of t

he a

vera

ge

cita

tions

pe

r ye

ar

from

th

e So

cial

Sc

ienc

e C

itat

ion

Inda

fo

r ea

ch y

ear

sinc

e a

pape

r w

as p

ublis

hed,

an

d th

e to

tal

num

ber

of

cita

tions

to

pap

ers

by t

his

auth

or.

The

re

arc

477

auth

ors

who

pub

lishe

d 51

6 pa

pers

in

the

JFE

fr

om

1974

-91.

Ran

k P

aper

s A

utho

r-

Aut

hor

Cite

s/

Aut

hor/

Tot

al

Cite

s/

Pape

rs

Yea

r A

utho

r

1 8.

00

II F

ama,

E

.F.

2 6.

00

7 R

oll,

R.

3 5.

67

8 St

&,

R.M

.

4 5.

50

7 R

ubac

k,

R.S

.

5 5.

33

8 Sm

ith,

C.W

.

6 5.

00

6 C

onst

antin

ides

, G

.M

7 4.

83

7 St

amba

ugh,

R

.F.

8 4.

50

5 G

arm

an,

M.B

.

9 4.

33

7 F

renc

h,

K.R

.

9 4.

33

5 L

ong,

J.

B.

11

4.00

6

Jens

en,

M.C

.

11

4.00

5

Kap

lan,

S

.N.

13

3.92

9

McC

onne

ll,

J.J.

14

3.83

6

Mas

ulis

, R

.W.

14

3.83

7

Mik

kels

on,

W.H

.

54.4

39

1.0

51.8

57

0.0

29.2

16

2.7

18.2

12

1.0

61.0

46

1.8

13.0

96

.5

47.0

18

3.8

4.4

63.0

54.2

20

7.3

7.5

122.

0

113.

6 78

8.5

12.3

33

.0

23.3

83

.2

54.8

36

5.8

33.9

14

3.5

Cite

s/

Tot

al

a R

ank

Pap

ers

Aut

hor-

A

utho

r A

utho

r/

Cite

s/

y

Pap

ers

Yea

r A

utho

r ? z-

39

39

39

39

39

39

39

39

39

39

49

49

49

49

49

2.50

2.50

2.50

2.50

2.50

2.50

2.50

2.50

2.50

2.50

2.33

2.33

2.33

2.33

2.33

4 4 3 3 4 4 3 4 4 3 4 4 3 4 4

Bar

clay

, M

.J.

Bre

nnan

, M

.J.

Eck

bo,

B.E

.

Har

vey,

C

.R.

Mal

ates

ta,

P.H

.

Par

tch,

M

.M.

Ric

hard

, S.

F.

Sch

war

tz,

E.S

.

Ver

recc

hia,

R

.E

Will

iam

s,

J.T

.

Asq

uith

, P

.

Bha

gat,

S.

Gils

on,

SC.

Smith

, A

.J.

Tho

mps

on,

R.

5.2

7.5

14.7

3.7

15.4

20.7

10.6

7.2

8.7

23.1

37.1

5.1

6.2

14.7

14.9

rl;

12.5

-2

43.5

2

101.

0 ;E

:

10.0

; .s

: b

74.0

:: -7

70

.5

w

91.5

9 : P

61.5

:,

41.5

9

184.

5

168.

0

27.5

11.3

38.0

76.7

14

3.83

7

War

ner,

J.

B.

93.5

46

1.7

17

3.75

5

Kei

m,

D.B

. 37

.4

237.

0

18

3.50

4

Bla

ck,

F.

24.4

33

5.5

18

3.50

7

DeA

ngel

o,

H.

46.8

19

4.0

18

3.50

7

May

ers,

D

. 11

.4

55.2

18

3.50

4

Mel

ton,

R

.C.

16.4

22

4.5

18

3.50

4

Pou

nd,

J.

4.0

14.5

18

3.50

4

Rei

ngan

um,

M.R

26

.1

259.

5

18

3.50

4

Sha

nken

, J.

15

.7

92.0

25

3.33

5

Schw

elt,

G.W

. 40

.1

215.

3

26

3.25

4

Ges

ke,

R.

8.6

104.

0

27

3.08

7

Litz

enbe

rger

, R

. 16

.5

69.0

28

3.00

5

Baw

a,

V.S

. 9.

9 11

1.0

28

3.00

3

Cor

nell,

B

. 8.

0 10

9.0

28

3.00

5

Kal

ay,

A.

12.0

64

.5

28

3.00

4

Wha

ley,

R

.E.

18.4

13

5.0

32

2.83

5

Dan

a,

L.Y

. 32

3

174.

3

32

2.83

4

Ww

k,

K.H

. 14

.0

27.7

32

2.83

4

Inge

rsol

l, J.

E.

16.4

11

7.2

32

2.83

8

Kim

, E

.H.

30.6

75

.3

36

2.61

5

Bri

ckIe

y,

J.A

. 12

.8

37.8

36

2.67

6

Wal

klin

g,

R.A

. 12

.6

24.2

36

2.67

5

Ros

s,

S.A

. 27

.1

153.

2

54

55

55

55

55

55

55

55

55

55

55

55

55

55

55

55

55

55

55

55

2.17

4

Titm

an,

S.

13.8

2.00

3

Boy

le,

P.P

. 3.

5

2.00

2

Bre

eden

, D

.T.

21.1

2.co

4

Bro

wn,

S

.J.

57.8

2.00

2

Cha

rest

, G

. 6.

3

2.00

3

Dod

d,

P.

29.3

2.00

3

Gal

ai,

D.

14.9

2.00

3

Gib

bons

, M

.R.

13.9

2.00

2

Hak

anss

on,

N.H

0.

8

2.00

4

Hol

dem

ess,

C

.G

7.9

2.00

3

Jam

es,

CM

. 7.

5

2.00

4

Kar

poff

, J.

M.

2.6

2.00

2

Lo,

A

.W.

0.7

2.00

2

Lon

gsta

ff,

F.A

. 1.

0

2.00

2

Mor

gan,

L

G.

0.4

2.00

3

Pot

erba

, J.

M.

16.5

2.00

4

Rav

iv,

A.

15.7

2.00

3

Roz

eff,

M

S.

9.1

2.00

4

Scho

les,

M

.S.

31.5

2.00

2

Whe

atle

y,

SM.

2.7

293

547

All

Oth

ers

1,38

3

516

881

Tot

al

2,94

9

68.2

32.0

248.

0

264.

5

88.0

236.

5

131.

0 n 7

100.

0 0,

14.0

$

21.0

.-

7

34.5

5

4.5

2

4.0

2 e 3.

0 :: 2.

6.

0 z

37.0

2 $

31.5

f?

F’

81

.0

3

247.

0

10.0

6,47

3

16,2

31


Number of JFE Autborr and Papers for

Vatiou Numbera of Rperc per Author _...__._.._.._._ _..._._ _..__..._._ ._.

q Authors n Papers

to.o.51 L5.11 (1.21 (a.31 (3.41 (4.51 a5

Papers per Author

Fig. 7A. Frequency distributions of number of JFE Authors and number ofJFE Papers for various numbers of Papers per Author. In calculating the number of Papers per Author, each of n coauthors of a Paper is credited with l/n Paper. The notation (4,5] denotes more than 4 and less than or equal to 5 Papers per Author. The universe consists of 477 Authors, 5 16 Papers, and 881 Author-Papers (where each coauthor receives full credit) from Volumes l-30 in the period 1974-9 1.

600 Ii 5 LL

: 500 ;

0

5 z 400 -l

g 60 e’

a e

300 0 ‘;i % 40 0 5

E 1 200 4 E -i

20 100 5 P

0 0 0 (0.11 (I.21 (2.31 (3.41 (4.51 (5.101 (10.151 (15,201 (20.251 (25.501 =-50

Average Annual Citations to an Author

Fig. 7B. Frequency distributions of number of Authors and total number of Average Annual Citations to JFE Authors (all Papers by an Author) for various numbers of Average Annual Citations to an Author. In calculating the number of Citations per Author, each of n coauthors of a Paper is credited with l/n Citations. The notation (5, lo] denotes more than 5 and less than or equal to 10 Average Annual Citations per Author. The universe consists of 477 Authors and 2,949 Average Annual SC1 Citations for Volumes I-30 in the period 1974-91. The median Average Annual Citations per Author is 2.1 and the mean is 6.2.


Fig. 7A shows the distribution of the number of papers per author for the

477 JFE authors, as well as the number of papers represented by each group. For example, 230 authors have written no more than 0.5 JFE papers each, and this represents 101 JFE papers. Five authors have written more than five JFE papers each, representing 31 papers.

Fig. 7B shows the distribution of average annual citations to JFE papers by a given author and the number of citations per year represented by each group. There are 50 authors with no citations, and another 103 receive one or less average citations per year. Nine authors receive over 50 average citations per year to their JFE papers, and these authors account for 6 12 citations per year. Using average citations per year is intended to adjust for the different ages of

JFE papers, but this measure is imperfect. Most of the papers published in

1989 through 199 1 have received few, if any, citations because of publication

and data collection lags. There are only two JFE papers published before 1989 that have received no citations through 1991.

Fig. 8 shows a time series plot of the average citations per year to volumes published in each year from 1974-9 1, adjusted to an average volume with 420 pages. To provide a comparison, fig. 8 also shows the average citations per year to volumes from 1974-8 1 using citations from 1974-8 1. After 1975, this line is much lower than the level of average citations based on 1974-91 data. The 1974-81 citation data show that even highly-cited papers do not achieve their peak level of citation until several years after publication.

In sum, while a few authors have contributed greatly to the success of the Journal of Financial Economics as measured by published papers and

(especially) by citations, the number and variety of JFE authors is large.

3.3. Institutions

The 477 JFE authors have been affiliated with 136 institutions, as deter- mined by the information published on the title page of the article, not the author’s current institution. Table 6 lists the institutions that have published

the most papers in the Journal of Financial Economics, ranked by the number of papers (where each of n coauthors receives l/n credit for a paper). It also shows author-papers (giving each coauthor full credit) and the average citations per year from the SSCI to papers written by these authors (giving

each coauthor credit for l/n of the citations). Finally, table 6 shows the total citations per author for all papers written by authors at this institution.

The Universities of Chicago and Rochester top the list of affiliations of JFE authors with 52.5 and 45.2 papers, respectively. Together, they represent 19% of the 5 16 JFE papers. Rochester and Chicago papers also receive the most

Tab

le

6

Inst

itutio

ns

of A

utho

rs

of J

ourn

al

of Fi

nunc

ial E

cono

mic

s Pa

pers

, R

anke

d by

Pa

pers

Pu

blis

hed,

V

olum

es

l-30

, 19

74-9

1

Pape

rs:

each

of

n a

utho

rs

rece

ives

l/n

cr

edit

for

a JF

E

pape

r. A

utho

r-pa

pers

: ea

ch

auth

or

rece

ives

fu

ll cr

edit

for

each

pa

per.

The

ta

ble

also

sh

ows

the

tota

l ac

ross

pa

pers

of

the

ave

rage

nu

mbe

r of

cita

tions

pe

r ye

ar

per

auth

or

from

th

e So

&d

Scie

nce

Cit

atio

n In

dex

for

pape

rs

wri

tten

at t

his

inst

itutio

n,

and

the

tota

l ac

ross

al

l pa

pers

of

the

ci

tatio

ns

per

pape

r pe

r au

thor

. T

here

ar

e 13

6 in

stitu

tions

w

ith

auth

ors

publ

ishi

ng

JFE

pa

pers

fr

om

1974

-91.

Ran

k Pa

pers

A

utho

r-

Pape

rs

Inst

itutio

n

Ave

rage

Cita

tions

/ T

otal

Yea

r C

itatio

ns

1 52

.50

87

U.

Chi

cago

22

2.3

2 45

.17

69

U.

Roc

hest

er

311.

5

3 24

.08

38

Mas

sach

uset

ts

Inst

. T

ech.

10

0.9

3 24

.08

37

U.

Cal

. (L

os

Ang

eles

) 10

7.8

5 21

.50

30

Har

vard

U

. 72

.5

6 20

.42

32

U.

Penn

sylv

ania

74

.1

7 15

.83

20

U.

Cal

. (B

erke

ley)

29

.2

8 14

.20

26

New

Y

ork

U.

23.2

9 14

.00

26

Ohi

o St

ate

U.

30.8

10

12.1

7 19

U

. B

ritis

h C

olum

bia

40.5

11

12.0

0 22

St

anfo

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?.


74-91 Citations 74-81 Citations

74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91

Year of Publication

Fig. 8. Average Annual Citations to Standard Length (420 page) JFE Volumes by Year of Publication, 1974-9 1. The lighter, dashed line shows Average Annual Citations based on citations from 1974-8 1 to show that it takes several years for JFE papers to reach their long-run average level of citation. Thus,

after five years the average citation rate to recent JFE volumes should rise substantially.

300

250

q Papers n Citations

Ten Institutions with the Most JFE Papers

Fig. 9. Ten Institutions with the most JFE Papers and the Average Annual Citations to these Papers in the period 1974-9 1. ‘Others’ represents the remaining 126 Institutions whose authors have published JFE Papers. In calculating the number of Papers and the number of Citations, each of n coauthors of a Paper receives 1 ln credit. The universe consists of 477 Authors at 136 Institutions who wrote 5 16 Papers that received 2,949 Average Annual Citations.

G. W. Schwert. JFE retrospective evaluation 395

citations, with 3 10 and 220 average citations per year, respectively, representing 30.6% of the average annual citations to the JFE. The 68 institutions with one or less JFE papers are grouped together and labeled ‘all others’ in table 6. They represent 45.75 papers, or 8.9%, and 157.1 average citations per author per year, or 5.4%.

Fig. 9 shows the papers published and average citations for the top ten institutions from table 6 as well as the remaining 126 institutions with JFE

publications. Most of the schools with large proportions of papers have even larger proportions of citations, consistent with the hypothesis that the JFE

editorial process applies higher standards to papers from leading institutions, particularly Rochester and Chicago. (Alternatively, authors from these schools may self-select their better papers to submit to the Journal of Financial

Economics.) It is also possible that citation patterns differ systematically by type of paper (empirical versus theoretical) and by the reputation of the author, causing other factors to influence citation patterns.

3.4. Papers

Table 7 lists the 36 papers published in the JFE that have received ten or more average citations per year since publication. The table also shows the

authors and the total number of citations. Finally, it shows the average number of citations per year to the paper adjusted for length (multiplying the average citations to the paper by the average number of pages in JFE papers (23.9), then dividing by the length of the paper). Appendix A at the end of the paper lists the remaining 408 papers published through 1989. The papers published in 1990 and 1991 are not included since they appeared so late that few of them have received any citations yet.

The Jensen and Meckling (1976) agency cost paper has the largest citation rate and the highest total citations by a large margin. Even on a length- adjusted basis, this paper receives the most citations of all JFE papers (although the Banz (1981) size effect paper is close on a length-adjusted basis). The survey papers published at the front of JFE special issues are among the most highly cited papers: Jensen and Ruback (1983) is second, Smith (1986) is tenth, Smith (1976) is 47ti, and Schwert (1983) is 78”. Several highly-cited papers are methodological, including third-ranked Brown and Warner (1985), fifth-ranked Roll (1977), sixth-ranked Brown and Warner (1980), and seventh-ranked Scholes and Williams (1977). In general, there is a good mix of methods, topics, and authors represented in this list of highly- cited papers.

Tab

le

I

Pap

ers

Publ

ishe

d in

the

Jour

nal of

Fin

an

cia

l E

con

omic

s, 1

97

4-8

9, R

anke

d by

Ave

rage

C

itatio

ns

per

Yea

r in

the

Soc

ial

Sci

ence

Cita

tion

In

dex

, fo

r P

aper

s w

ith

Ten

or

Mor

e A

vera

ge

Cita

tions

pe

r Y

ear.

T

he ta

ble

also

sh

ows

the

auth

ors,

tit

le,

volu

me,

pu

blic

atio

n ye

ar,

tota

l ci

tatio

ns

sinc

e th

e pa

per

was

pu

blis

hed,

an

d th

e av

erag

e nu

mbe

r of

ci

tatio

ns

per

year

ad

just

ed

for

leng

th

(mul

tiply

ing

the

aver

age

cita

tions

to

the

pa

per

by

the

aver

age

num

ber

of p

ages

in

JFE

pa

pers

, 24

, th

en

divi

ding

by

th

e le

ngth

of

thi

s pa

per)

.

Ave

nge

Cit

atio

ns/

Tot

al

Cit

atio

nsi

Yea

r/

Ran

k A

utho

rs

Pape

r V

olum

e Y

ear

Cita

tions

Y

ear

24 P

ages

76

II32

70

8 30

.1

I Je

nsen

, M.C.,

Mec

klin

g,

W.H

.

2 Je

nsen

, M

c.,

Rub

ack,

R

.S

3 B

row

n,

S.I.,

War

ner,

1.B

.

4 M

yen,

S.

C.,

Maj

luf,

S.

5 R

oll,

R.

6 B

row

n,

S.I.,

War

ner,

J.B

.

7 Sc

hole

s,

M.S

.,

Will

iam

s,

J.

8 K

eim

, D

.B.

9 B

anz,

RW

.

IO

Smith

, C

.W.

I I

Fren

ch,

K.R

.,

Schw

en,

G.W

.,

Stam

baug

h,

R.F

.

12

Bre

eden

, D

.T.

13

Asq

mtb

, P

,

Mul

lins,

D

.W.

14

Smith

, C

.W.,

War

ner,

J.B

.

15

Rei

ngan

um,

M.R

I6

DeA

ngel

o,

H.,

The

ory

of t

he

firm

: M

anag

eria

l be

haw

or,

agen

cy

cost

s an

d ow

ners

hip

stru

ctur

e

The

m

arke

t fo

r co

rpor

ate

cont

rol:

T

he

scie

ntif

ic

evid

ence

II

83

28

6 31

.8

16.5

Usi

ng

daily

st

ock

retu

rns:

T

he

case

of

eve

nt

stud

ies

I4

85

202

28.9

22

.9

Cor

pora

te

fina

ncin

g an

d in

vest

men

t de

cisi

ons

whe

n fi

rms

have

in

form

atio

n th

at

inve

stor

s do

no

t ha

ve

I3

84

215

26.9

17

.8

A c

ritiq

ue

of t

he

asse

t pr

icin

g th

eory

’s

test

s:

Pan

r O

n pa

st

and

pote

ntia

l te

stab

ility

of

the

th

eory

4

77

377

25.1

12

.5

Mea

suri

ng

secu

rity

pr

ice

perf

orm

ance

8

80

290

24.2

10

.7

Est

imat

ing

beta

s fr

om

nons

ynch

mno

us

data

5

77

317

21.1

25

.2

Sne-

rela

ted

anom

alie

s an

d st

ock

retu

rn

seas

onal

ity:

Furt

her

empm

cal

evid

ence

The

re

latio

nshi

p be

twee

n re

turn

an

d m

arke

t va

lue

of c

mm

n~n

stoc

ks

Inve

stm

ent

bank

ing

and

the

capi

tal

acqu

isiti

on

proc

ess

Exp

ecte

d st

ock

retu

rns

and

vola

tility

I2 9 I5

19

83

I78

19.8

23

.6

81

213

19.4

28

.9

86

107

17.8

15

.2

87

88

17.6

15

.0

An

inte

ltem

pora

l as

set

pric

ing

mod

el

with

st

ocha

stic

co

nsum

ptio

n an

d in

vest

men

t op

port

uniti

es

7 79

22

6 17

.4

13.0

Equ

ity

issu

es

and

offe

ring

di

luti

on

I5

86

102

17.0

13

.5

On

fina

ncia

l co

ntra

ctin

g.

An

anal

ysis

of

bon

d co

vena

nts

7 79

21

1 16

.2

8.4

Mis

spec

ific

atio

n of

cap

ital

asse

t pn

cmg:

E

mpi

rica

l an

omal

ies

base

d on

ea

rnin

gs’

yiel

ds

and

mar

ket

valu

es

9 81

17

6 16

.0

13.6

Opt

imal

ca

pita

l st

ruct

ure

unde

r co

rpor

ate

and

pers

onal

ta

xatio

n 8

80

190

I58

13.5

Mas

ulis

, R

.W.

17

Mye

rs,

SC.

18

Pot&

a,

J M

.,

Sum

mer

s,

L.H

.

19

Fren

ch,

K.R

.,

Rol

l, R

.

20

Fam

a,

E.F

.,

Schw

en,

G.W

.

21

Mik

kels

on,

W H

.,

Part

ch.

M.M

22

Gal

al,

D.,

Mas

ulis

, R

.W.

23

Man

delk

er,

G

24

Bla

ck,

F.

25

Stul

z,

R.M

.

25

Bra

dley

, M

.,

Dew

A

.,

Kim

, E

.H.

27

Dim

son.

E

.

28

Dod

d,

P.,

War

ner,

1 B

.

29

Dod

d,

P.

30

cox,

J.

C.,

Ros

s,

S.A

.

30

Mer

ck,

R.,

Shle

ifer

, A

.,

Vis

hny,

R

.W.

32

Mas

uhs,

R

.W.,

Kon

var,

A

.

33

Glo

sten

, L

.R..

Milg

mm

, P.

R.

34

Asq

uith

, P.

35

Mas

ulis

, R

.W

35

Roc

k.

K.

37

Fam

a,

E.F

.

Fren

ch,

K.R

.

Det

erm

inan

ts

of c

orpo

rate

bo

rrow

mg

Mea

n re

vers

ion

in

stoc

k pr

ices

: E

vide

nce

and

impl

icat

ions

5

22

I7 5 I5 3 1 3

20

21

77

233

15.5

12

.4

88

62

15.5

10

.9

Stoc

k re

turn

va

rian

ces.

T

he

arri

val

of i

nfor

mat

ion

and

the

reac

tion

of t

rade

n

Ass

et

rchm

,s

and

infl

atio

n

86

81

135

146

77

193

12.9

9.

6

Val

uatio

n ef

fect

s of

sec

urity

of

feri

ngs

and

the

issu

ance

pr

oces

s 86

74

12

.3

9.8

The

op

tmn

pric

ing

mod

el

and

the

risk

fa

ctor

of

sto

ck

76

193

12.1

9.

6

Ris

k an

d re

turn

::

?he

case

of

mer

ging

fi

rms

The

pr

icin

g of

com

mod

ity

cont

ract

s

Man

agen

al

cont

ml

of v

otin

g ri

ghts

: Fi

nanc

ing

polic

ies

and

the

mar

ket

for

corp

arat

c co

ntro

l

Syne

rgis

tic

gain

s fr

om

corp

orat

e ac

quis

ition

s an

d th

eir

dtvi

sion

be

twee

n th

e st

ockb

olde

n of

tar

get

and

acqu

irin

g

firm

s

74

209

II.6

8.

1

76

I84

II.5

21

.1

88

45

II.3

a.

9

88

45

I I.

3 71

Ris

k m

easu

rem

ent

whe

n sh

ares

ar

e su

bjec

t to

mfr

eque

nt

trad

ing

On

corp

orat

e go

vern

ance

: A

stu

dy

of p

roxy

co

ntes

ts

Mer

ger

prop

osal

s,

man

agem

ent

disc

retio

n an

d st

ockh

olde

r w

ealth

Tix

va

luat

ion

of o

ptio

ns

for

alte

mah

ve

stoc

hast

ic

proc

esse

s

Man

agem

ent

owne

rshi

p an

d m

arke

t va

luat

ion-

A

n em

piri

cal

anal

ysis

79

146

11.2

a.

9

83

100

II.1

7.

0

80

133

11.1

7.

8

76

172

10.8

II

.7

88

43

10.8

Seas

oned

eq

uity

of

feri

ngs.

A

n em

pmca

l m

vest

igat

ion

IS

86

64

10.7

9.

1

Bid

, as

k an

d tr

ansa

ctnn

pr

ices

in

a s

peci

alw

m

arke

t w

ith

hete

roge

neou

sly

info

rmed

tr

ader

s 14

85

74

10

.6

8.4

Mer

ger

bids

, un

cert

aint

y,

and

stoc

khol

der

retu

rns

II

83

94

10.4

7.

3

The

ef

fect

s of

cap

ital

stru

ctur

e ch

ange

on

se

curi

ty

pric

es

A

stud

y of

exc

hang

e of

fers

a

80

122

10.2

6.

1

Why

ne

w

issu

es

are

unde

rpri

ced

I5

86

61

10.2

9.

3

Dw

iden

d yi

elds

an

d ex

pect

ed

stoc

k r&

ums

22

88

40

10.0

9.

9


70 r

, 250

El Papers W Citations

I? 40

150 K

t r!

a” ,D

30 b 100 S

k

20 2 ;

50 5

10

0 0 0 (0..5] (.5.11 (1.1.51 (1.521 (2,31 (3.41 (4.51 (5.7l (7.101 (IO.151 (15.201 ‘20

Average Annual Citations

Fig. 10. Frequency distributions of number of Papers and total number of Average Annual Citations to JFE Papers for various numbers of Average Annual Citations to a Paper. The notation (4,5] denotes more than 4 and less than or equal to 5 Average Annual Citations per Paper. The universe consists of 5 16 Papers and 2,949 Average Annual SSCI Citations for Volumes l-30 in the period 1974-91. The median Average Annual Citations per Paper is 1.9 and the mean is 3.4.

10

Amual SSCI CItstions to JFE, 197491.

Papen Pub&bed in or before Citation Year __._____.____.._.___ ______ _..__.__._

Cross-sectional standard

__._..__.__._.._

0 74 75 76 77 78 79 a0 01 82 83 84 85 86 07 88 89 90 91

Year of Citation

Fig. Il. Cross-sectional average and standard deviation of Citations per Paper by Year of Publication, in the period 1974-91, for all Papers published in or before the Year of Citation.

G. W. Schwert. JFE retrospective evaluation 399

Fig. 10 shows the distribution of average citations per year to JFE papers as well as the number of citations per year attributable to each group. There are about 50 papers in each of the following ranges of citations per year: 0, (0.51, (0.5,1], (1,1.5], (1.5,2], (2,3], and (3,4]. Together these approximately 350 papers account for about 575 citations per year. On the upper end of the distribution, there are 18 papers with over 15 citations per year. These papers account for 417 citations per year. Thus, a small proportion of JFE papers account for a large proportion of the citations to the Journal.

Fig. 11 shows the cross-sectional average and standard deviation of the number of citations per JFE article for each year from 1974-91. Both the average and the standard deviation rose steadily from 1974-83 and have been relatively stable since then. This reflects the maturation of the Journal, whereby the addition of new papers which receive fewer citations is offset by older papers that receive larger numbers of citations, as well as older papers whose citations decay as new research areas become popular. The fact that the standard deviation is almost twice as large as the average is another indication that the distribution of citations is positively skewed (a few papers receive many citations, while many papers receive few).

3.5. Regression analysis of citations to JFE papers

As a final method of analyzing the characteristics of papers with larger citation rates, table 8 contains estimates of a regression model explaining the average number of citations per year for each of the 5 16 papers published during 1974-91 in the Journal of Financial Economics. To reflect the heteroskedasticity in the regression errors, White (1980) standard errors are reported. Several variables are significant in explaining the pattern of average citations to JFE papers. As a sensitivity check, the model is also estimated omitting variables with t-statistics less than 1.5 in absolute value. These estimates are reported in the right-hand columns of table 8.

The age of the paper in years (AGE) adds 0.14 citation per year to the overall average of 3.42 citations per year. The t-statistic of 2.19 shows that the effect of age is reliably greater than zero, reflecting an increase in citations as a paper becomes better known. Of course, when the literature matures, citations to very old papers decline, although this effect has apparently not

been strong enough to offset the startup phenomenon for JFE papers.

4The notation ‘(’ refers to the bottom of an interval excluding the end-point, the notation ‘[’ refers

to the bottom of an interval including the end-point, and likewise for ‘)’ and ‘1’.


As mentioned earlier, the JFE has been late in publishing its recent issues. The coefficient for LATE in table 8 says that average citations per year are 3.34 lower for papers published a year later than the nominal publication date (the t-statistic is -3.85).

Longer papers should contain more citable material if the authors, referees, and editors are doing their jobs. The coefficient of LTH in table 8 is 0.14, with a t-statistic of 3.04. So a paper ten pages longer than the average paper (which is 24 pages long) would receive 1.4 extra citations per year. Average citations per page are about equal, holding the other variables in the regression constant (an extra 24 pages would yield an additional 3.36 citations per year).

Fig. 9 shows that papers published by authors from the Universities of Chicago and Rochester receive more citations per paper, so the model in table 8 includes dummy variables if the paper had either a Chicago or Rochester author. The coefficient for Chicago authors (UC) is positive (0.45), but not reliably greater than zero (t-statistic of 0.63). The coefficient for Rochester authors (UR) is larger (2.76) and the t-statistic is 1.85. The number of authors (ATH) has a coefficient of 0.37, with a t-statistic of 1.50, suggesting that coauthored papers may receive more citations. The capital markets variable (CAPMKT) and the corporate finance & governance (CORPFIN) variables all have positive coefficients, but none are reliably greater than zero, with t-statistics well below 1.5 in absolute value.

If the paper is part of a JFE special issue (shown in table 3), it receives 2.66 more citations per year, on average. This coefficient estimate is reliably positive, since the t-statistic is 3.62. On the other hand, clinical papers (CL) receive 1.06 fewer citations per year, with a t-statistic of - 1.75.

Finally, the editors of the Journal of Financial Economics have always arranged the papers appearing in a given issue according to their perceptions of the quality or importance of the papers. (Exceptions to this policy occur with symposium issues, in which papers are grouped by topic, or clinical

papers; within each group of papers, we choose ordering based on quality or importance.) Table 8 contains three variables intended to measure this ordering. FST equals one if a paper is the first article in an issue, SEC equals one if a paper is the second article in an issue, and ORD is the order of the paper in the issue (from 1 to N). The estimates in table 8 show that lead articles receive 2.59 more citations on average (t-statistic of 3.39) second articles receive 1.23 more citations on average (t-statistic of 1.68), and papers placed later in the issue receive fewer citations, but this latter effect is not reliably different from zero (t-statistic of -0.12). Thus, it appears that the JFE editors have been able to identify papers that will receive more citations and put them at the beginning of issues, but it is not clear that ordering after the first two papers contains much information about prospective citation rates.

G. W. Schwert, JFE retrospective evaluation

Table 8

401

Regression Model for Average Citations per Paper per Year to JFE Papers Published during

1974-91, Volumes l-30

Explanatory variables include: AGE is the age of the paper in years, LATE is the lateness in

years of publication of the issue containing that paper, LTH is the length of the paper in pages,

UC equals l/n if a University of Chicago author was one of n authors of the paper, UR equals

I/n if a University of Rochester author was one of n authors of the paper, ATH is the number of

authors of this paper, CAPMKT equals one if the topic is in the capital markets area, CORPFIN

equals one if the topic is in the corporate finance & governance area, SPEC equals one if the

paper is included in a special issue of the JFE, CL equals one if the paper is in the Clinical

Papers section of the JFE, FST equals one if the paper appears first in its issue, SEC equals one

if the paper appears second in its issue, and ORD is the order of the paper in its issue. All

variables are measured as deviations from means, so the constant term in the regression is the

unconditional average number of citations per year to JFE papers. ii’ is the coeff%ent of

determination adjusted for degrees of freedom and the Standard Error of the Estimate is the

standard deviation of the regression residuals. White (1980) standard errors are reported to

reflect the heteroskedasticity in the regression errors.

ii’

Standard Error of Estimate

Variable Coefticient

Constant 3.417

AGE 0.142

LATE -3.339

LTH 0.143

UC 0.450

UR 2.753

ATH 0.367

CAPMKT 0.340

CORPFIN 0.643

SPEC 2.664

CL -I 057

FST 2.592

SEC 1.227

ORD -0.008

Std

Error

0.197

0.065

0.867

0.047

0.714

1.487

0.245

0.436

0.539

0.736

0.604

0.764

0.730

0.069

0.2546

4.536

T-Statistic

17.35

2.19

-3.85

3.04

0.63

1.85

I .50

0.78

1.19

3.62

-1.75

3.39

1.68

-0.12

Coefficient

3.417

0.135

-3.247

0.144

2.690

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2.73 1

-1.030

2.685

1.303

Std

ErrOK

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4.523

T-Statistic

17.33

2.40

-3.82

3.08

1.77

1.49

4.75

-1.65

4.10

1.79


Citations to and from the JFE, 1981-89,

Citations to and from All SSCI Sources .._.__.__..__.___.__.._-._....-._ _ _

0 JFE citing JFE &i Total Cites from JFE n Total Cites to JFE

Y

01 02 83 84 85 86 a7 80 89

Year of Citation

Fig. 12. Citations to the JFE from the JFE, Citations from the JFE to all other journals, and Citations from all SSCI sources to the JFE in the period 198 I-89.

Cttations Between JFE & J Nnance as a

Percent of Chttons from 111 SSCI Sourws JFE citing JFE JFin citing JFE JFin citing JFin JFE citing JFin

+ + - -

.._._ _ _.__....._._.._._.._.. _.-..

25% -

0% 1 ’ I I , 1 I I I I I

61 02 63 64 85 66 67 60 89 Avg

Year of Citation

Fig. 13. Citations to the JFE from the JFE, to the JFE from the Journal ofFinance (JFin), to the JFin from the JFin, and to the JFin from the JFE in the period 198 l-89, and the Average (Avg) for the period, all expressed as a percentage of the Citations Received by the respective Journals from all SSCI sources.


3.6. Citation patterns across journals

Another question that naturally arises in judging the high citation rate for Journal of Financial Economics papers is whether JFE papers have an unusual propensity to cite past JFE papers, which could occur for many reasons, including specialization of the literature or preferences of editors, referees, and authors. Fig. 12 shows the total number of citations of past JFE papers by current JFE papers for each year from 198 l-89. These dataare from different

issues of the SSCI Journal Citation Reports. Fig. 12 also shows the total number of citations from JFE papers each year and the total number of citations to JFE papers from all SSCI sources. It is clear from this figure that self-citations do not account for the high rate of citations to JFE papers.

Moreover, fig. 12 also shows that total citations to JFE papers have grown much faster than the number of citations from current JFE papers.

Fig. 13 provides a comparison of cross-citation rates with the Journal of

Finance. It shows the rates of self- and cross-citation between the Journal of

Financial Economics and the Journal of Finance, each expressed as a percentage of the total citations received in a given year of 1981-89. About 15% of the citations to the JFE come from the JFE and another 15% come from the Journal of Finance; thus, about 70% of JFE citations come from other journals. By comparison, about 15% of the citations to the Journal of

Finance come from the Journal of Finance, and another 5% come from the

JFE, leaving 80% to come from other journals. Taken together, these figures show that the high rate of citations to papers

in the Journal of Financial Economics is not under control of the authors, editors, or referees of the Journal.

4. Summary

Financial economics has grown and flourished in the past three decades, as reflected in part by several recent Nobel Prizes in Economics. Distinguishing between luck and skill when there is only one set of observations to evaluate is similar to asking whether Warren Buffett has extraordinary money management skills, and judging the success of the JFE is no exception. Nevertheless, when compared with other journals specializing in finance, the Journal of Financial Economics has been very successful during its first 18 years. The variety of published papers, their impact on the literature as reflected in citations, and the people who have been associated with the Journal as authors, referees, associate editors, and editors is tangible evidence of this success. The editors want to thank all those who have contributed their time, effort, and creative talent to this endeavor.


Rdcrences

Hamermcsh, Daniel S., 1992, The young economist’s guide to professional etiquette, Journal CJ/

Economic Perspectives 6, 169-l 79.

Journal r$Financial Ecotlonrics, 1974-9 1, I-30.

Learner. Edward E., 1981, The hit parade of economics articles, Compnrative Economic Systems.

E.~ara,ns, Puzzles, and Problems 14, 3-54.

McCloskey, Donald, 198.5, Economical writing, Economic Inquiry 24, 187-222.

Social Scierlce Citation Index, 1974-9 I. Twain. Mark, 1962, Conper’s prose style, in: Bernard DeVoto, ed., Letters,fiom the earth (Harper

& Row, New York, NY) 117-124.

White, Ilalbert, 1980, A heteroskcdasticity-consistent covariance matrix estimator and a direct test

for hctcroskedasticity, Econometrica 48, 817-838.

Wydick, Richard T., 1978, Plain English for lawyers, Ca/i/timia Lnw RerJiew 66, 727-761.

Zimmerman, Jerold L., 1989, Improving a manuscript’s readability and likelihood of publication,

Issues bz Accounting Education 4, 458-466.

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t, M

.

82

Mam

is,

L.,

Schi

pper

, K

.,

Smith

, A

.

85

Con

stan

tinid

es.

G.M

.

86

Ead

es,

K.M

.,

Hes

s,

P.I.,

Kim

, E

.H.

87

Dia

mon

d,

D.W

.,

Ver

recc

hia,

R

.E.

88

Wha

lcy,

R

.E.

89

Lak

onis

hok,

1.

.

Ver

mae

len,

T

.

89

Dun

n,

K.B

.,

Sing

leto

n,

K.J

.

91

Mal

ates

ta,

P.H

.

91

Da”

“,

L.Y

.,

DeA

ngel

o,

H.

93

Mal

ates

ta,

P.H

.,

Wal

klin

g,

R.A

.

94

Gib

bons

, M

.R.,

Pers

on.

W.

95

Tim

Ian.

s.

Evi

denc

e on

th

e ca

pita

lized

va

lue

of m

erge

r ac

tivity

fo

r ac

quir

ing

firm

s

Ass

et

pric

ing

and

the

bid-

ask

spre

ad

Tra

ding

co

sts

for

liste

d op

tion

s:

The

im

plic

atio

ns

for

mar

ket

cffi

cim

xy

Out

side

di

rect

ors

and

CE

O

turn

over

Hor

izon

tal

mer

gers

, co

llus

ion,

an

d st

ockh

olde

r w

ealth

Size

an

d st

ock

retu

rns,

an

d ot

her

empi

rica

l re

gula

ritie

s

Inve

stm

ent

bank

ing,

re

puta

tto”,

an

d th

e un

derp

rici

ng

of i

nitia

l pu

blic

of

fetin

gs

The

re

latio

nshi

p be

twee

n ea

rnin

gs’

yiel

d,

mar

ket

valu

e an

d re

turn

fo

r N

YSE

co

mm

on

stoc

ks.

Furt

her

evid

mce

Som

e ev

iden

ce

on

the

uuqu

enes

s of

ban

k lo

ans

The

ef

fect

of

poi

son

pill

secu

ritie

s on

sh

areh

olde

r w

ealth

Wea

lth

effe

cts

of g

oing

pr

ivat

e fo

r se

nior

se

curi

ties

Opt

imal

st

ock

trad

ing

with

pe

rson

al

taxe

s:

Impl

icat

ions

fo

r pr

ices

an

d th

e ab

nom

xal

Janu

ary

retu

ms

On

Inte

rpre

ting

secu

rity

re

tuns

du

ring

th

e ex

divi

dcnd

lnfc

mna

tio”

aggr

egat

ion

in a

nas

y ra

tiona

l ex

pect

atIo

”s

econ

omy

Val

uatm

” of

Am

eric

a”

call

opti

ons

an

divi

dmd-

payi

ng

stoc

ks:

Em

piri

cal

test

s

Tax

-Ind

uced

tr

adtn

g ar

ound

a-

divi

dend

da

ys

I9

87

30

6.0

7.2

R

20

88

24

6.0

3.4

23

89

18

6.0

3.9

g .?

13

84

47

5 9

5.4

$

13

84

46

5.8

4.3

;;:

7 E

‘D

9 81

61

55

8.

3 2 2.

w

10

82

55

5.5

4.4

2

I6

86

33

5.5

3.9

4 z

Mod

elin

g th

e te

rm

sfn~

ctur

r of

int

eres

t ra

tes

unde

r no

n-se

para

ble

utili

ty

and

dura

biht

y of

goo

ds

The

w

ealth

ef

fect

of

mer

ger

activ

ity

and

the

obje

cttv

e fu

nctio

ns

of m

ergi

ng

firm

s

Stan

dstil

l ag

reem

ents

, pr

ivat

ely

nego

tiate

d st

ock

repu

rcha

ses,

an

d th

e m

arke

t fo

r ca

pora

te

cont

rol

Poi

son

pill

secu

ritie

s:

Stoc

khol

der

wea

lth,

pmfi

tabi

bty,

an

d ou

wxh

ip

stru

ctur

e

Tes

ting

asse

t pr

icin

g m

odel

s w

ith

chan

ging

ex

pect

atio

ns

and

an

unob

serv

able

m

arke

t po

rtfo

lio

17

86

33

5.5

4.4

$

II

83

48

5.3

4.5

II

83

48

5.3

4.9

20

88

21

53

4.2

14

85

36

5.1

6.1

The

ef

fect

of

cap

ital

stru

ctur

e on

a

firm

’s

liqui

dano

n de

cisi

on

13

84

41

5.1

7.6

II

83

57

63

4.2

I7

86

38

6.3

5.4

8 80

75

63

6.

5

20

88

25

63

5.0

II

83

56

6.2

4.4

I2

83

56

6.2

14.8

I5

86

37

6.2

7.4

I2

83

55

6.1

5.2

Ran

k A

Utb

OIS

Tab

le

Al

(con

tinue

d)

Pap

.?1

Ave

rage

C

~tat

ions

J

Tot

al

Cit

atio

ns/

Yea

r/

Vol

ume

Yea

r C

itatio

ns

Yea

t 24

Pag

es

96

Cha

o,

KC

.,

Che

n.

N.F

.,

Hsl

eh,

D.A

96

Glo

sten

, L

.R.,

Har

ris,

L

.E.

96

Wm

ck,

K.H

.

96

Alle

n,

F.,

Faul

habe

r,

G.R

.

100

Rol

l, R

101

Jarr

ow,

R.A

.,

Old

fiel

d,

G.S

.

102

Rol

l, R

.

103

Seyh

oo,

H.

104

Bal

l, R

.

104

Bra

dley

, M

, W

akem

an,

L.M

.

JO6

Ges

ke,

R.

107

Bri

ckIc

y.

J.A

.,

Lea

se.

R.C

.,

Smith

, C

.W.

I08

Cor

nell,

B

.

108

Vas

icek

, 0

110

Ho,

T.,

Stal

l, H

.R.

I I I

MaJ

d,

S..

Pmdy

ck,

R.S

.

112

McC

onne

ll,

J.J.

,

Mos

care

lla.

C J

I I3

Fm

ssm

an,

S.J.

.

Shill

er,

R J

.

I14

Ibbo

tson

. R

.G.

II5

Chi

ras,

D

.P,

Manaster,

S.

An

expl

orat

ory

inve

stig

atio

n of

the

fi

rm

size

ef

fect

14

85

35

5.

0 5.

4

Est

imat

ing

the

com

pone

nts

of t

he

bid/

ask

spre

ad

21

88

20

5.0

6.0

Equ

ity

owne

nhlp

co

ncen

trat

ion

and

firm

va

lue:

E

vide

nce

from

pr

ivat

e eq

uity

fi

nanc

ings

Sign

abng

by

un

derp

rici

ng

in

the

IPO

m

arke

t

23

89

15

5.0

4.6

23

89

I5

5.0

5.4

An

anal

ytic

va

luat

ion

form

ula

for

onpm

tect

ed

Am

eric

an

call

opti

ons

on

stoc

ks

with

kn

own

divi

dend

s

Fonu

ard

cont

ract

s an

d fu

ture

s co

ntra

cts

5 9

77

81

74

54

4.9

4.9

14.7

II.7

On

com

putin

g m

ean

~etu

ms

and

the

smal

l fi

rm

pwm

om

12

83

44

49

7.3

Insi

ders

’ pr

ofits

, co

sts

of t

radi

ng,

and

mar

ket

effi

cien

cy

16

86

29

4.8

4.8

Ano

mal

ies

in

rela

tions

hips

be

twee

n se

curi

hes

yiel

ds

and

yxld

su

rrog

ates

6

78

67

4.8

4.8

The

w

ealth

ef

fect

s of

tar

gete

d sh

are

repu

rcha

ses

II

83

43

4.8

4.1

The

va

luat

ion

of c

ompo

und

opti

ons

Ow

ners

hip

stm

ctor

e an

d vo

ung

on

antit

akeo

ver

amen

dmen

ts

79

62

4.8

3.8

88

19

4.8

4.4

Spot

ra

tes,

fo

rwar

d ra

tes

and

exch

ange

m

arke

t ef

fici

ency

An

eqm

hbri

um

char

acte

riza

tion

of t

he

tem

~ st

roct

urc

Opt

imal

de

aler

pr

icin

g un

der

tran

sacu

ons

and

retu

rn

unce

rtai

nty

70

4.7

9.3

70

4.7

93

51

4.6

3.9

Tim

e to

bui

ld,

opti

on

valu

e,

and

inve

stm

ent

deci

sion

s 23

4.

6 5.

0

Cor

pora

te

capa

l ex

pend

ihlr

e de

cwon

s an

d th

e m

arke

t va

lue

of t

he

firm

Con

sum

ptio

n co

rrel

ated

ness

an

d ri

sk

mea

sure

men

t in

ec

onon

nes

wth

no

n-tr

aded

as

sets

an

d he

tero

gene

ous

mfo

rmat

lon

7

20 5 5 9 I8

14

IO 2 6

77

77

81

87

a5

82

75

78

32

4.6

4.5

45

4.5

4.5

4.4

6.7

Pric

e pe

rfom

nnce

of

com

mon

st

ock

new

is

sues

The

in

form

atio

n co

nten

t of

opt

ion

pric

es

and

a te

st

of m

arke

t ef

fici

ency

76

62

2.8

4.8

I IS

D

eAng

elo,

H

.,

DeA

ngel

o,

L.

115

M~k

kels

on.

W.H

.,

Rub

ack,

R

.S.

118

Smith

, C

.W.

118

A&

l, R

.A.

120

Schi

pper

, K

.,

Smith

, A

120

DeA

ngel

o, H ,

DcA

ngel

o,

L.

122

Jens

en,

M.C

.

123

Gtin

blat

t, M

.S.,

Mas

ulis

, R

.W,

Titm

an,

S.

123

Tin

ic,

S.M

.,

Wes

t, R

.R.

123

Hea

ly.

P.M

.,

Pale

pu,

K.G

.

126

Roz

cff,

M

.S.,

Kin

ney,

W

.R.

127

Lon

g,

J B

.

128

M&

k&on

, W

.H.,

Paitc

h,

M.M

.

128

Mal

ates

ta,

P.H

.,

Tho

mps

on.

R

130

Shet

in,

H.M

.,

Stat

man

, M

.

130

Con

stan

tinid

es,

F.M

..

Inge

noll,

J.

E

132

Rub

inst

ein,

M

.

133

M~k

kels

on,

W H

.

133

Boo

th,

I.R.,

Smith

, R

.L.

133

Shan

ken,

I.

133

Wig

gins

, J.

B.

133

Gro

ssm

an,

S.J.

,

Hal

t, O

.D.

Man

ager

ial

owne

rshi

p of

vot

ing

righ

ts:

A

stud

y of

pub

lic

corp

orat

ions

w

ith

dual

cl

asse

s of

com

mon

st

ock

An

empu

ical

an

alys

ts

of t

he

Inte

rfir

m

equt

y in

vest

men

t pr

oces

s

14

a5

31

4.4

28

Alte

rnat

ive

met

hods

fo

r ra

isin

g ca

pita

l: R

ight

s ve

rsus

un

dew

ntte

n of

feri

ngs

A

mon

thly

ef

fect

m

st

ock

retu

rns

Eff

ects

of

rec

ontr

actin

g on

sh

areh

olde

r w

ealth

. T

he

case

of

vol

unta

ry

spin

affs

Pmxy

co

ntes

ts

and

the

gove

rnan

ce

of p

ublic

ly

held

co

rpor

atm

ns

14

a5

31

4.4

3.3

5 77

66

4.

4 2.

9

18

87

22

4.4

7.5

12

83

39

43

3.2

23

89

13

43

3.2

Som

e an

omal

ous

evid

ence

re

gard

ing

mar

ket

effi

cien

cy

6 78

60

4.

3 12

.8

The

va

luat

ion

effe

cts

of s

tock

sp

lits

and

stoc

k dw

iden

ds

13

84

34

4.3

3.4

Ris

k an

d re

turn

: Ja

nuar

y vs

. th

e re

st

of t

he

year

Ear

ning

s m

fonn

atio

n co

nvey

ed

by

divi

dend

m

itiat

ions

an

d ot

mss

ions

M

13

84

34

4.3

7.2

%

5 21

88

17

43

3.

6 ”

Cap

ital

mar

ket

seas

onal

ity:

The

ca

se

of s

tock

r&

urns

3

76

67

4.2

4.2

2 ;P

Stoc

k pr

ices

, in

flat

mn,

an

d th

e te

rm

stru

ctur

e of

int

eres

t ra

tes

Stoc

k pr

ice

effe

cts

and

cost

s of

sec

onda

ry

dism

butio

ns

Part

ially

an

ticip

ated

ev

ents

: A

m

odel

of

sto

ck

pric

e re

actio

ns

wth

an

ap

plic

atio

n to

cor

pora

te

acqu

isiti

ons

Exp

lain

ing

inve

stor

pr

efer

ence

fo

r ca

sh

diw

dend

s

Opt

imal

bo

nd

trad

ing

with

pe

rson

al

taxe

s

An

aggr

egat

ion

theo

rem

fo

r se

curi

ties

mar

kets

Con

vert

ible

ca

lls

and

secu

rity

re

turn

s

Cap

ital

rais

ing,

un

derw

ritin

g an

d th

e ce

rtif

icat

ion

hypo

thes

is

I 74

75

4.

2 2.

5 5 e

14

as

29

4.1

3.3

‘h 2 =r

14

a5

29

4.1

7.1

B

2 13

84

33

4.

1 3.

3 e 6

13

84

33

4.1

2.6

z.

9

I 74

74

4.

1 49

9 81

44

4.

0 3.

4

15

86

24

4.0

45

Mul

tivar

iate

pr

oxie

s an

d as

set

pric

mg

rela

tions

: L

ivm

g w

ith

the

Rol

l cr

itiqu

e 18

87

20

4.

0 4.

8

Opt

ion

valu

es

unde

r st

ocha

stic

vo

latih

ty:

The

ory

and

empi

rica

l es

timat

es

19

87

20

40

4.3

One

sh

arco

ne

vote

an

d th

e m

arke

t fo

r co

rpor

ate

cont

rol

20

88

16

4.0

3.4

Ran

k A

utho

rs

Tab

le

A 1

(co

ntin

ued)

Pape

r

Ave

rage

C

itat

ions

/

Tot

al

Cit

atio

ns/

Yea

r/

VC

JlU

tIle

Y

ear

Cita

tions

Y

ear

24 P

ages

138

Pate

ll,

J.M

.,

Wol

fson

, M

A.

139

Schi

pper

, K

.,

Smith

, A

.

139

Den

nis,

D

-K.,

McC

onne

ll,

J.J.

I41

Fam

a.

E.F

.

142

Fam

a,

E.F

.

142

E&

y,

D.,

O’H

am,

M.

142

Ritt

cr,

J.R

.

145

Cha

rcst

, G

.

146

Baw

a,

V.S

.

147

Am

ihud

, Y

..

Men

dcls

on.

H

147

Bar

ry,

C.B

.,

Bm

vm.

S.J.

147

Gay

, G

.D.,

Mas

ter,

S.

147

Lak

onis

hok,

I.,

Smid

t. S.

147

Jens

en. M.C ,

War

ner,

J.B

.

147

Har

ris,

M

.,

Raw

, A

.

I53

Hol

dcm

css,

C

.G ,

Shee

han,

D

.P.

I54

Chr

istie

, A

.A.

I55

Gul

tcki

n.

M..

Gul

teki

n,

B.

I55

Brc

cdcn

, D

.T.

I55

Smxl

ock,

M

..

St&

s,

L.

The

in

tmda

y sp

eed

of a

djus

tmen

t of

sto

ck

pric

es

to e

arni

ngs

and

dwid

cnd

annw

nccm

cnts

I3

I5

84

31

3.9

3.1

A

com

pari

son

of e

qmty

ca

rvca

tts

and

seas

oned

eq

uity

of

feri

ngs:

Sh

am

pric

e cf

icts

an

d co

rpor

ate

nstm

ctui

%lg

86

23

3.8

2.7

Cor

pora

te

mer

gers

an

d se

curi

ty

retu

rns

I6

86

23

3.8

2.0

Forw

ard

rate

s as

pr

edic

tors

of

fut

ure

spot

m

tcs

Ris

k-ad

just

ed

disc

ount

ra

tes

and

capi

tal

budg

etin

g un

der

unce

naim

y

Pric

e,

trad

e si

ze,

and

info

rmat

ion

in

secu

ritie

s m

arke

ts

76

61

3.8

5.1

71

57

3.8

4.1

87

I9

3.8

4.1

The

co

sts

of g

oing

pu

blic

Split

in

form

atio

n,

stoc

k re

tum

s an

d m

arke

t ef

fici

ency

-

II

Opt

imal

ru

les

for

orde

ring

un

cert

ain

pros

pect

s

Dea

lers

hip

mar

ket:

Mar

ket-

mak

ing

with

in

vent

ory

87

I9

3.8

6.5

78

53

3.8

2.7

75

64

3.8

3.3

80

45

3.8

37

Dif

fere

ntia

l m

form

atio

n an

d th

e sm

all

fitm

ef

fect

I3

I3

84

30

3.8

7.5

The

qu

ality

op

tion

Im

plic

it in

fu

ture

s co

ntra

cts

84

30

3.8

5.0

Vol

ume

and

turn

-of-

the-

year

be

havi

or

I3

84

30

3.8

4.1

The

di

stri

butio

n of

pow

er

amon

g co

rpor

ate

man

ager

s.

shar

ehol

ders

, an

d di

rect

ors

20

88

I5

3.8

4.1

Cor

pora

te

gove

rnan

ce:

Vot

ing

righ

ts

and

maj

onty

ru

les

88

15

2.6

Rai

dcrs

or

sav

mrs

?Tne

ev

iden

ce

on

six

cont

mve

rs~a

l in

vest

ors

20

I4

85

26

3.8

3.7

3.7

3.7

37

3.7

3.4

The

st

ocha

stic

be

havi

or

of c

omm

on

stoc

k va

rian

ces:

V

alue

. le

vera

ge

and

inte

rest

ra

te

effe

cts

IO

82

Stoc

k m

arke

t se

ason

ality

. In

tern

atio

nal

evid

ence

12

83

37

33

22

22

3.4

6.2

Con

sum

ptio

n,

prod

uctio

n,

infl

atio

n an

d in

tens

t ra

tes:

A

sy

nthe

sis

Day

af-t

he-w

eek

and

inha

day

effe

cts

in

stoc

k re

turn

s

I6

86

I7

86

2.3

6.2

155

Kei

m,

D.B

.

159

Wha

ley,

R

.E.

160

K&

y,

A.

160

Patc

h,

M.M

160

Bnc

kley

, J.

A..

Dar

k,

F.H

.

163

Still

man

, R

.

164

Fam

a.

E.F

164

Hol

dem

ess,

C

.G.,

Shee

han,

D

.P.

164

Leh

man

n,

B.,

Mod

est,

D M

.

167

Gri

nhla

tt,

M.S

.,

Titm

an,

S.

168

Wat

ts,

R.L

.

168

Ohl

son,

J.

A.,

Penm

an.

S.H

170

Hua

ng.

Y.S

..

Wal

klin

g,

R A

171

Ben

ston

, G

.J.,

Hag

erm

an,

R.L

.

171

Bro

wn,

P.

.

Kei

m,

D B

.,

Klc

idan

, A

.W.,

Mar

sh,

T.A

.

171

HI%

G

.L.,

Ow

en.

J.E

.

174

Gre

en.

R.C

.

174

Poun

d.

J.

174

Con

nor,

G

.,

Kom

jczy

k,

R.A

I77

Hes

s,

P.J.

,

Bic

ksle

r,

J.L

.

I78

Coh

en,

K.J

.,

Haw

awim

, G

.A.,

Mai

er.

S.F.

,

Schw

artz

. R

.A.,

Wbi

tcom

b.

D.K

.

Tra

ding

pa

ttern

s.

bid-

ask

spre

ads,

an

d es

timat

ed

secu

rity

re

tum

~.

The

ca

se

of c

cxm

mm

st

ocks

at

ca

lend

ar

turn

ing

poin

ts

On

the

valu

atio

n of

Am

eric

an

call

optm

ns

on

stoc

ks

with

kn

own

divi

dend

s

Stoc

khol

der-

bond

hold

er

conf

lict

and

divi

dend

co

nstr

aint

s

The

cr

eatio

n of

a c

lass

of

lim

Ited

vo

ting

com

mon

st

ack

and

shar

ehol

der

wea

lth

The

ch

oice

of

org

aniz

atio

nal

form

: T

he

case

of

fra

nchi

sing

Exa

min

mg

antm

ust

polic

y to

war

ds

hori

zont

al

mer

gers

Tce

rm

in b

ond

ream

s pr

emun

s

The

ro

le

of m

ajor

ity

shar

ehol

ders

in

pu

blic

ly

held

co

rpor

atio

ns:

An

expl

orat

ory

anal

ysis

The

em

piri

cal

foun

datio

ns

of t

he

arbi

nage

pr

icin

g th

eory

25

89

II

3.7

3.6

9 81

40

3.

6 14

.5

10

82

36

3.6

3.7

18

87

18

3.6

3.1

18

87

18

3.6

4.3

11

83

32

36

5.3

13

84

28

35

4.6

20

88

14

3.5

2.8

21

88

14

3.5

2.0

P 3

Fac

tor

pric

ing

in a

fi

nite

ec

onom

y

Syst

emat

ic

abno

rmal

re

turn

s af

ler

quar

terl

y ea

mm

gs

anno

unce

men

ts

Vol

atili

ty

incr

ease

s su

bseq

uent

to

sto

ck

split

s:

An

empi

rica

l ab

erra

tion

Tar

get

abno

rmal

re

turn

s as

soci

ated

w

ith

acqu

isiti

on

anno

unce

men

ts:

Paym

ent,

acqu

isiti

on

form

, an

d

man

ager

ial

resi

stan

ce

Det

erm

inan

ts

of b

id-a

sked

sp

read

s in

th

e ov

er-t

heax

mte

r m

arke

t

Stoc

k re

turn

se

ason

alio

es

and

the

tax-

loss

se

lling

hy

poth

esis

: A

naly

sis

of t

he

argu

men

ts

and

Aus

tral

ian

ewde

nce

Secu

nty

pric

e re

actm

ns

amun

d co

rpor

ate

spin

-off

an

noun

cem

ents

12

83

30

33

3.3

2 =,

w

2 B

12

83

30

3.3

2.8

s z.

0 In

vest

men

t m

eent

ives

, de

bt,

and

wan

ants

84

35

-

13

26

3.3

Prox

y co

ntes

ts

and

the

effi

cien

cy

of

shar

ehol

der

over

sigh

t 20

88

13

3.

3 2.

6

Ris

k an

d re

turn

m

an

equi

libri

um

APT

: A

pplic

aoon

of

a n

ew

test

m

etho

dolo

gy

21

88

13

3.3

2.2

12

83

31

3.4

6.8

t, E

6 78

48

3.

4 3.

4 ,’

14

85

24

34

5.1

.z

19

87

17

3.4

3.7

2 2

I 74

60

3.

3 66

: 2 %

Cap

ital

asse

t pr

ices

ve

rsus

tim

e se

ries

m

odel

s as

pre

dict

ors

of i

nfla

tion:

T

he

expe

cted

re

al

rate

of

in

tere

st

and

2 75

55

3.

2 3.

9

mar

ket

effi

cien

cy

Fri

ctio

n in

th

e tr

adin

g pr

oces

s an

d th

e es

timat

ion

of s

yste

mat

ic

risk

I2

83

29

32

48

f

Ran

k A

utho

rs

Tab

le

Al

(con

tinue

d)

Pape

r

Ave

rage

C

~tat

mns

/

Tot

al

Clt

atio

nsi

Yea

d

Vol

ume

Yea

r C

itatio

ns

Yea

r 24

Pa

ges

178

Dyb

vig,

P.

H

180

Jobs

on,

I.D.,

Kor

kie,

B

180

Shan

ken,

J.

182

Bra

man

, M

.J.,

Schw

artz

, E

S

183

Gar

man

. M

B

184

Inge

rsol

l, 1.

E

I84

H,te

, G

.L..

Ow

ers,

J

E.,

Rog

ers,

R

.C.

I84

Stam

baug

h,

R.F

.

184

Fam

a,E

F.

Fren

ch,

K.R

.

I88

War

ner,

J.B

.

I89

Kim

, E

.H ,

Lew

elle

n,

W.G

.,

McC

onne

ll,

J.J.

190

Han

djim

cola

ou,

G

Kal

ay,

A.

I91

Dan

n.

L.Y

,

May

en,

D ,

Raa

b,

R.J

.

192

Ric

hard

, S

F.

192

Fam

a,

E.F

..

Jens

en,

M.C

192

Kal

ay,

A,

Loe

wen

stei

n,

u.

195

Ges

ke,

R.

196

Kan

del,

S.,

Stam

baug

h,

R.F

An

expl

icit

boun

d on

in

divi

dual

as

sets

’ de

wat

ions

fr

om

APT

pr

icin

g in

a f

ine

econ

omy

I2

83

29

3.2

5.5

Pote

ntia

l pe

rfor

man

ce

and

test

s of

por

tfol

io

effi

cien

cy

IO

82

32

3.2

2.2

A B

ayw

an

appr

oach

to

tes

tmg

port

foho

ef

fici

ency

I9

87

I6

3.

2 3.

5

Savi

ngs

bond

s,

retr

acta

ble

bond

s an

d ca

llabl

e bo

nds

5 71

47

31

3.

4

Mar

ket

m~~

rost

~chu

e

A

cont

inge

ntcl

aim

s va

luat

ion

of c

onve

rhbl

e se

curi

ties

The

m

arke

t fo

r in

terf

irm

as

set

sale

s:

Part

ial

sell-

affs

an

d to

tal

hqui

datio

ns

3 76

49

3.

1 3.

7

4 71

45

30

2.

1

18

87

I5

3.0

30

The

in

form

atio

n m

fo

war

d ra

tes’

Im

plic

atio

ns

for

mod

els

of t

he

term

st

mct

urc

21

88

I2

3.0

2.4

Bus

ines

s co

nditi

ons

and

expe

cted

re

turn

s on

st

ocks

an

d bo

nds

25

89

9 3.

0 2.

6

Ban

krup

tcy,

ab

solu

te

prio

rity

, an

d th

e pn

cing

of

ris

ky

debt

cl

aim

s 4

77

44

2.9

I.8

Fman

cial

le

vera

ge

clie

ntel

es.

The

ory

and

evid

ence

7

19

38

2.9

2.5

Wea

lth

redi

stnb

won

s or

cha

nges

in

fi

rm

valu

e.

An

anal

ysis

of

ret

urns

to

bon

dhol

ders

an

d st

ockh

olde

rs

arou

nd

divi

dend

an

noun

cem

ents

I3

84

23

2.9

2.3

Tra

dmg

rule

s,

larg

e bl

ocks

an

d th

e sp

eed

of p

rice

ad

just

men

t 4

77

29

34

An

arbi

trag

e m

odel

of

the

te

rm

stru

ctur

e of

mte

rest

ra

tes

Org

aniz

atio

nal

form

s an

d in

vest

men

t de

cisi

ons

6 78

I4

85

2.9

2.6

2.9

3.4

Pred

icta

ble

even

ts

and

cxcc

ss

retu

rns:

T

he

case

of

div

iden

d an

noun

cem

ents

A n

ote

on

an

anal

ytic

al

valu

atio

n fo

rmul

a fo

r un

prot

ecte

d A

mer

ican

ca

ll op

tion

s on

st

ocks

w

ith

know

,,

divi

dend

s

On

corr

elat

ions

an

d in

fere

nces

ab

out

mea

n-va

nanc

e ef

fici

ency

I4 7 I8

85

2.9

2.4

19

2.8

87

43

40

20

20

31

14

2.8

II.3

2.2

196

Dia

mon

d,

D W

.,

Ver

recc

hia,

R

.E.

198

Lin

n,

S.C

.,

Pine

gar,

J.

M

199

Kle

in,

R.W

.,

Baw

a,

V S

200

Schu

ltz,

P

200

Fow

ler,

D

.J..

Ror

ke,

C.H

.

200

Fren

ch,

K R

203

Lan

g,

L.H

.P.,

Stul

z,

R.M

.,

Wal

klin

g,

R.A

203

Lan

g,

L.H

.P

,

Litz

enbe

rger

, R

.

205

Fut

ido,

E

.P H

.,

Roz

eff,

M

.S

205

Penm

an,

S.H

207

Shap

e,

W F

.

207

Cha

r+

G.

207

Bha

gat,

S.,

Fro

st,

P.A

.

207

Has

brou

ck,

J.

21 I

St&

, R

.M.,

John

son,

H

.

212

Old

fiel

d,

G S

..

Rog

alsk

i, R

J.,

Jarr

ow.

R.A

.

212

Mac

Km

lay,

A

C

214

Bla

ck,

F.

215

Kan

del,

S.

216

Farm

, E

.F.,

Schw

en,

G.W

216

Con

nor,

G

.,

Kor

ajcz

yk,

R.A

.

216

Gay

, G

.D.,

Man

aste

r, S.

The

ef

fect

of

iss

umg

pref

erre

d st

ock

on c

omm

on

and

pref

erre

d st

ockh

olde

r w

ealth

The

ef

fect

of

est

imat

ion

risk

on

op

timal

po

nfol

io

choi

ce

Tra

nsac

tmn

cost

s an

d th

e sm

all

fin,

, ef

fect

: A

co

mm

ent

Rw

k m

easu

rem

ent

whe

n sh

ares

ar

e su

bjec

t to

inf

requ

ent

trad

mg.

C

omm

ent

A

com

pari

son

of

futu

res

and

forw

ard

pric

es

Man

ager

ial

perf

orm

ance

, T

obin

’s

q.

and

the

gain

s fr

om

succ

essl

id

tend

er

offe

rs

Div

iden

d an

noun

cem

ents

. C

ash

flow

si

gnal

ling

vs

free

ca

sh

flow

hy

poth

eses

? 24

89

8

27

5.3

The

w

ealth

ef

fect

s of

com

pany

in

&re

d m

anag

emen

t ch

ange

s I8

87

13

2.

6 4.

4 f r

The

di

stib

utw

n of

eam

mgs

ne

ws

over

tim

e an

d se

ason

aliti

es

in

aggr

egat

e st

ock

reun

s

Cor

pora

te

pens

ion

fund

ing

pobc

y

Spla

t in

fonn

atlo

n,

stoc

k re

turn

s an

d m

arke

t ef

fici

ency

I

Issu

ing

cost

s to

exi

stm

g sh

areh

olde

rs

m

com

petit

ive

and

nego

tiate

d un

derw

ritte

n pu

bbc

utili

ty

eqw

ty

offe

ring

s

Tra

des,

qu

otes

, m

vent

orie

s,

and

mfo

nnat

ion

An

anal

yw

of s

ecur

ed

debt

I8

87

I3

2.6

21

3 76

40

2.

5 5.

0 6

78

35

2.5

I .9

2

I5

86

I5

2.5

21

2 8 22

88

IO

15

2.

5 2 _.

I4

85

17

2.4

26

x !z

On

mul

tivan

ate

t&s

of t

he

CA

PM

lnte

mah

onal

ca

p&

mar

ket

equi

hbri

um

wth

m

vest

men

t ba

rnet

s

‘IIx

lik

ehho

ad

rati

o te

st

stat

istic

of

mea

n-va

rian

ce

effi

cien

cy

wit

hout

a

risk

less

as

set

Hum

an

capi

tal

and

capi

tal

mar

ket

equi

libri

um

Perf

orm

ance

m

easu

rem

ent

with

th

e ar

bitr

age

pric

ing

theo

ry.

A

new

fr

amew

ork

for

anal

ysis

Impl

icit

debv

ery

opti

ons

and

optim

al

deliv

ery

stra

tegi

es

for

fina

ncia

l fu

ture

s co

ntra

cts

I8

87

14

28

I .9

22

88

II

2.8

2.2

3 76

43

2.

7 3.

6

I2

83

24

27

80

I2

83

24

2.7

12.7

I2

83

24

27

2.0

24

89

8 27

3.

5 Q

f

5 77

36

2.

4 I9

&

P

:. 2 I8

87

I2

2.

4 I8

I 74

43

24

36

I3

84

I9

24

3.1

4 77

35

2.

3 1.

8

I5

86

I4

23

2.5

I6

86

I4

2.3

I.7

z w

Tab

le

Al

(con

tinue

d)

Ran

k A

utho

rs

Pap

er

Ave

rage

C

itatio

nsi

Tot

al

Cita

tions

/ Y

ead

Vol

ume

Yea

r C

itatm

ns

Yea

r 24

Paz

es

216

Ric

hard

son,

G.,

Sef

cik,

S.E

.,

Tho

mps

on,

R.

216

Hay

n,C

.

216

Kap

lan,

S

.N.

222

Litz

enbe

rger

, R

.,

Ram

asw

amy,

K

223

Ror

eff,

M.S

224

Bar

clay

, M

.I.,

Litz

enbe

rger

. R

.

224

Kim

, Y

.C.,

Stu

lz,

R.M

.

226

Rub

ack,

R

.S

226

Cop

elan

d,

T E

,

May

ers,

D.

226

Kau

l. G

.

229

Cor

nell,

B

.

230

Cha

ng,

EC

..

Pin

egar

, J.

M.

231

May

ers,

D.,

Ric

e, E

M.

232

Kei

m,

D B

.

233

Fec

nber

g, D

.

234

Con

stan

tinid

es,

G.M

235

Tho

mps

on,

R

236

Kle

in,

R.W

..

Baw

a, V

S.

237

Dot

han,

L.

U.

237

Bha

nach

alya

, M

.

237

Hol

thau

sen,

R

.W.

Leftw

ich,

R

.W.,

May

ers,

D.

A

test

of

divi

dend

im

leva

nce

usin

g vo

lum

e re

acho

ns t

o a

chan

ge i

n di

vide

nd

pobc

y 17

86

14

2.

3 2s

Tax

at

trib

utes

as

det

erm

inan

ts

of s

hare

hold

er g

ains

m c

orpo

rate

acq

uisi

tions

Cam

peau

’s a

cqui

sitio

n of

Fed

erat

ed:

Val

ue

dest

roye

d or

val

ue

adde

d

The

eff

ect

of p

erso

nal

taxe

s an

d di

vide

nds

on c

apita

l as

set p

rices

: T

heor

y an

d em

pxic

al

evtd

ence

Mon

ey

and

stoc

k pn

ces:

M

arke

t ef

ficie

ncy

and

the

lag

in e

ffec

t of

mon

etar

y po

licy

Ann

ounc

emen

t ef

fect

s of

new

equ

ity

issu

es a

nd t

he u

se o

f in

trad

ay

pric

e da

ta

The

Eum

bond

m

arke

t an

d co

rpor

ate

finan

cial

po

licy:

A

tes

t of

the

clie

ntel

e hy

poth

esis

The

eff

ect

of d

iscr

etio

nary

pr

ice

cont

ml

deci

sion

s on

equ

ity

valu

es

The

Val

ue

Line

en

igm

a (1

965-

1978

):

A

case

stu

dy o

f pe

rfor

man

ce

eval

uatio

n is

sues

Sto

ck r

etur

ns a

nd i

nfla

tion.

T

he r

ole

of t

he m

onet

av

sect

or

I8

87

II

The

con

sum

ptio

n ba

sed

asse

t pric

ing

mod

el:

A

note

on

pote

ntia

l te

sts

and

appl

icat

ions

9

81

24

Ret

urn

seas

onal

ity a

nd t

ax-lo

ss s

ellin

g in

the

m&

et

for

long

-ter

m

gove

rnm

ent

and

corp

orat

e bo

nds

17

86

I3

Mea

surin

g po

rtfo

lio

perf

omnn

ce

and

the

empi

rical

co

nten

t of

ass

et p

ricin

g m

odel

s 79

28

Div

iden

d yi

elds

an

d st

ock

retu

rns:

lm

phca

tions

of

abn

orm

al

Janu

ary

retu

ms

Doe

s th

e in

vest

men

t in

tere

st l

imita

tion

expl

am

the

exls

tcnc

e of

div

iden

ds?

Adm

issi

ble

unce

rtai

nty

in t

he i

nter

tem

pora

l as

set p

ricin

g m

odel

The

Inf

orm

atio

n co

nten

t of

dis

coun

ts

and

prem

ium

s on

clo

sedu

nd

fund

sh

ares

The

eff

ect

of l

imite

d in

form

atio

n an

d es

hmat

ion

risk

on o

ptim

al

ponf

olio

di

veni

ficat

ion

I4 9 8 6

85

I5

81

23

80

25

78

29

77

31

On

the

term

shu

ctur

e of

int

eres

t ra

tes

Tra

nsac

tions

da

ta t

ests

of

effic

ienc

y of

the

Chi

cago

B

oard

Opt

ions

E

xcha

nge

The

eff

ect

of l

arge

blo

ck

tran

sact

ions

on

secu

rity

pric

es:

A

cros

s-se

ctm

nal

anal

ysis

I2

19

78

28

83

18

87

IO

23

25

21

22

IO

IO

89

7 2.

3 1.

6

89

7 2.

3 2.

5

79

30

23

I .6

74

41

2.3

0.9

88

9 23

1.

8

88

9 23

3.

0

a2

22

82

22

2.2

2.2

22

2.2

22

2.2

2.1

2.1

2.1

2.1

2.1

2.0

2.0

2.0

2.2

I5

2.2

8.7

2.0

2.0

2.8

8.3

3.1

I4

2.1

4.0

1.8

I .5

237

Jatr

ell,

G.A

.,

Paul

sen,

A

.B.

237

Kle

in,

A.,

Ros

enfe

ld,

J.

237

Whe

atle

y,

S.M

237

Btc

nnan

, M

.J.,

Cop

elan

d,

T.E

.

237

Mitc

hell,

M

.L..

Net

ter,

I.M

.

237

Ham

s.

M.,

Raw

, A

.

237

Bak

er,

G.P

.,

Wtu

ck,

K.H

.

247

Wei

nste

in,

M.I.

248

Scha

efer

. S

M.

248

Asc

h.

P.,

Mal

kiel

, B

.G.,

Qua

ndt,

R.E

.

248

Ren

dlem

an.

R.J

.,

Jone

s,

C.P

,

Lat

ane.

W

.A

251

Bha

gat.

S.

252

Ber

gman

, Y

.Z.

253

Rol

l, R

.

254

May

ets,

D

.,

Smith

, C

W.

254

Ram

asw

amy,

K

,

Sund

ates

an,

SM.

256

Stat

iz,

R.

256

Mas

ulis

, R

.W

256

Ofe

r,

A.R

,

Nat

araj

an,

A.

256

K&

y.

A.,

Shim

rat,

A.

260

Gal

ai,

D

261

Rub

ack,

R

.S.

Dua

l-cl

ass

reca

ptta

lizat

ions

as

an

titak

eove

r m

echa

nism

s:

The

re

cent

ev

iden

ce

20

88

8 2.

0 2.

0

Tar

gete

d sh

are

repu

rcha

ses

and

top

man

agem

ent

chan

ges

20

88

8 2.

0 3.

4

Som

e te

sts

of i

nter

natio

nal

equi

ty

inte

grat

ion

21

88

8 2.

0 1.

3

Stoc

k sp

lits,

st

ock

pric

es,

and

ttans

actto

n co

sts

22

88

E

20

24

Tri

ggen

ng

the

1987

sto

ck

mar

ket

cras

h:

Ant

itake

over

pr

ovis

ions

in

the

pr

opos

ed

Hou

se

Way

s an

d M

eans

ta

x 24

89

6

2.0

1.5

bill

The

de

sign

of

sec

untte

s 24

89

6

2.0

I.4

Org

aniz

atm

nal

chan

ges

and

valu

e cr

eatio

n m

le

vera

ged

buyo

uts:

T

ote

case

of

the

O

.M.

Scot

t &

So

ns

25

89

6 2.

0 1.

7 9

com

pany

?

The

ef

fect

of

a r

atin

g ch

ange

an

n~un

cetn

ent

on b

ond

pric

e 5

77

29

1.9

1.4

3 T

ax-i

nduc

ed

clie

ntel

e ef

fect

s m

th

e m

arke

t fo

r B

ritis

h go

vern

men

t se

cunt

ies:

Pl

acin

g bo

unds

on

se

curi

ty

IO

82

19

19

I.1

z-

valu

es

in a

n m

com

plet

e m

arke

t 3

Rac

etra

ck

betti

ng

and

info

tmed

be

havi

or

IO

82

19

I .9

5.7

.- 2

Em

pitic

al

anom

alie

s ba

sed

on

unex

pect

ed

earn

ings

an

d th

e tm

patta

nce

of r

isk

adJu

stm

ents

10

82

I9

I .9

2.

3 $ a 8

The

ef

fect

of

pte

anpt

ive

righ

t am

endm

ents

on

sh

areh

olde

r w

ealth

12

83

I7

19

2.

0 2 2.

T

lmc

pref

emtc

e an

d ca

pita

l as

set

pric

ing

mod

els

14

85

13

I9

2.8

z

A

repl

y to

May

ets

and

Ric

e (1

978)

7

79

24

I .8

4.4

2

Om

ctsh

tp

st~c

tur

and

cont

ml:

The

m

utua

liza

tion

of

sto

ck

life

insu

ranc

e co

mpa

ntes

16

86

II

1.

8 1.

7 g

The

va

luat

ion

of f

loat

ing-

rate

in

stm

mcn

ts:

The

ory

and

ewde

nce

17

86

11

I .8

20

9 9

Do

fore

cast

~t

tors

or

ter

m

ptet

ma

real

ly

mak

e th

e di

ffer

ence

be

twee

n lo

ng

and

shot

-t r

ates

?

Cha

nges

in

ow

etsh

ip

sttu

ctur

e,

conv

ersi

ons

of m

utua

l sa

ving

s an

d lo

ans

to s

tock

ch

atte

r

Con

vert

ible

ca

ll po

licie

s:

An

empi

rica

l an

alys

is

of a

n in

form

atio

n-si

gnal

ing

hypo

thes

is

Firm

va

lue

and

seas

oned

eq

uity

ts

sucs

: Pr

ice

pres

sure

, w

ealth

te

dist

tibut

ion,

or

neg

ativ

e in

form

atio

n

Em

piri

cal

test

s of

bou

ndar

y co

nditi

ons

for

CB

OE

op

tion

s

Ass

essi

ng

com

petit

ion

in

the

mat

itet

for

corp

orat

e ac

quts

ition

s

IO

82

I8

1.8

5.4

18

87

9 I8

I .

3

I9

87

9 I

.s

2.4

19

87

9 I8

2.

4

6 78

25

1.

8 I .

6

II

83

I6

I.8

3.0

e VI

Tab

le

Al

(con

tinue

d)

Ran

k A

utho

rs

Pape

r

Ave

rage

C

itatm

nsJ

Tot

al

Cit

atio

nsi

Yea

r/

Vol

ume

Yea

r C

itatio

ns

Yea

r 24

Pag

es

262

Inge

rsol

l, J.

E

262

Litz

enbe

rger

, R

.,

Rol

fo,

J.

262

Kam

ma,

S (

Wei

ntm

p,

I.,

Wie

r,

P.

262

Mar

lt,

N.C

.

266

Schw

artz

, E

S.

261

Fam

a,

E.F

.,

Mac

Bet

h,

J D

.

268

Am

&r,

C.E

,

Schm

idt,

P.

269

Bla

ck,

F.

270

Mer

ton,

R

.C.

270

Lea

se,

R.C

.

McC

onne

ll,

J.J.

,

Mik

kels

on,

W.H

.

270

Bri

ckle

y,

J A

.

270

Skel

ton,

J.

L

270

Ber

nard

, V

L.

270

Mar

sh,

T.A

.,

Ros

enfe

ld,

E.R

270

Fam

a,

E.F

.

270

Skin

ner,

D.J

.

270

Har

vey,

C

.R.

270

Gils

on,

SC

280

Ede

ring

ton,

L

.H.

281

Lon

g,

J.B

.

282

Stul

z,

R.M

.

282

Fetw

m,

W.E

.,

Ma-

rick

. 1.

1.

A t

heor

etic

al

and

empi

rica

l in

vest

igat

ion

of t

he

dual

pm

-pos

e fu

nds:

A

n ap

plic

atio

n of

con

tinge

nt&

ims

anal

ysis

3 76

28

1.

8 I .

o

Arb

itrag

e pr

icm

g,

tran

sact

ion

cosr

s an

d ta

xatm

n of

cap

ital

gain

s:

A

stud

y of

gov

ernm

ent

bond

s w

ith

the

sam

e m

atur

ity

date

I3

84

I4

18

2.6

Inve

stor

s’

perc

eptio

ns

of t

he

Del

awar

e Su

prem

e G

out

deci

sion

m

UN

OC

AL

v.

M

esa

20

88

7 18

3.

5

Tim

e-va

ryin

g be

tas

and

risk

pr

cmia

m

th

e pr

icm

g of

fon

vard

fo

reig

n ex

chan

ge

cont

ract

s 22

88

7

1.8

2.1

The

va

luat

mn

of w

arra

nts:

Im

plem

entin

g a

new

ap

proa

ch

4 77

26

1.

7 2.

6

Tes

ts

of t

he

mul

tipet

iod

two-

para

met

er

mod

el

I 74

31

1.

7 I

.I

A

Mon

te

Car

lo

mve

st@

ion

of t

he

accu

racy

of

mul

tivar

iate

C

APM

te

sts

I4

85

12

1.7

2.3

Ban

k fu

nds

man

agem

ent

in a

n ef

fici

ent

mar

ket

2 75

29

I .

7 2.

3

On

the

pnci

ng

of c

ontm

gent

cl

ams

and

the

Mod

tglia

ni-M

iller

th

eore

m

5 77

25

1.

7 4.

0

The

m

arke

t va

lue

of c

ontr

ol

in p

ublic

ly-t

rade

d co

rpor

atio

ns

11

83

15

1.7

I .2

Shar

ehol

der

wea

lth,

info

rmat

ion

sign

alm

g an

d th

e sp

ecia

lly

desi

gnat

ed

dtvi

dend

, A

n em

piri

cal

stud

y

Ban

ks,

firm

s an

d th

e re

lativ

e pr

icin

g of

tax

-exe

mpt

an

d ta

xabl

e bo

nds

Una

ntic

ipat

ed

infl

atio

n an

d th

e va

lue

of

the

firm

Non

-tra

dmg.

m

arke

t m

akm

g,

and

estim

ates

of

sto

ck

pnce

vo

latib

ty

I2

83

15

1.7

17

12

83

15

1.7

2.8

15

86

10

I7

I .o

I5

86

IO

1.7

2.8

Tec

rm p

rem

ums

and

defa

ult

prem

ium

s in

mon

ey

mar

kets

17

86

IO

1.

7 1.

8

Opt

ions

m

arke

ts

and

stoc

k re

turn

vo

lanl

ity

23

89

5 I

.7

2.2

Tim

e-va

ryin

g co

nditi

onal

co

vari

ance

s in

te

sts

of a

sset

pr

icin

g m

odel

s 24

89

5

I.7

1.3

Man

agem

ent

funo

ver

and

fina

ncta

l di

stre

ss

25

89

5 I

.7

I.8

Unc

enam

ty,

com

petit

ion,

an

d co

sts

in c

orpo

rate

bo

nd

unde

rwri

ting

2 75

28

1.

6 1.

6

The

m

arke

t va

luat

ion

of c

ash

divi

dend

s:

A

case

to

con

side

r 6

78

23

I .6

I.

3

Opt

ions

on

th

e m

inim

um

or t

he

max

imum

of

tw

o ri

sky

asse

ts:

Ana

lyst

s an

d ap

plic

atio

ns

IO

a2

lb

I6

I .5

Non

-sta

tiona

rity

an

d st

age~

f-th

e-bu

sine

ss~y

cle

effe

cts

m

cons

umpt

ion-

base

d as

set

pric

ing

rela

tions

18

87

8

1.6

I .9

282

Com

men

t, R

.,

Jarc

ell,

G A

285

Stic

k.%

SE

.

286

Lon

g,

J.B

.

286

Wilb

ams,

J.

T.

286

Pet

tit,

R.R

.

289

Bri

ckIc

y,

J.A

.,

Jam

es,

C.M

.

289

Bus

er,

%A

.,

Hes

s,

P.J

289

Cha

d,

V.V

.,

Jaga

nnat

tran

, R

.,

Ofe

r,

A.R

.

289

Bar

clay

, M

.J..

Smith

, C

.W.

289

Bro

wn.

K

.C.,

Har

low

, w

.v,

Tin

ic,

S.M

294

Ead

es,

K.M

.,

Hes

s,

P.J

,

Kim

, E

.H.

295

Off

icer

, R

.R

296

Jone

s,

E.P

.

296

Bra

uer,

G

.A.

298

But

ler,

I.

%,

Scha

chte

r, B

298

Bre

nnan

, M

J.

298

Die

tichC

ampb

ell,

J,

Schw

artz

, E

.

298

Hol

thau

sen,

R

W..

Jxfl

wic

h,

R.W

.

298

Dim

son,

E

.,

Mar

sh,

P.

298

Man

kiw

, N

.G.

298

Nat

han,

K

.S.,

O’K

eefc

, T

.B.

298

Koh

, F,

Wal

ter,

T

.

Tw

o-tie

r an

d ne

gotia

ted

tend

er

offe

rs:

The

im

pris

onm

ent

of t

he

free

-rid

mg

shar

ehol

der

The

ef

fect

of

Val

ue

Lin

e Jn

vest

mcn

t Su

rvey

ra

nk

chan

ges

on

cmm

ncm

st

ock

pric

es

Eff

icie

nt

port

foli

o ch

oice

w

ith

diff

emtti

al

taxa

tion

of d

ivid

ends

an

d ca

pita

l ga

ins

Cap

ital

asse

t pr

ices

w

ith

hete

roge

neou

s be

befs

Tax

es,

tran

sact

ions

co

sts

and

the

clie

ntel

e ef

fect

of

div

iden

ds

Acc

ess

to d

epos

it in

sura

nce,

in

solv

ency

ru

les

and

the

stoc

k re

turn

s of

fin

anci

al

inst

itut

ions

Em

piri

cal

dete

rmin

ants

of

th

e re

lativ

e yi

elds

on

tax

able

an

d ta

x-ex

empt

se

cunt

ies

Seas

onal

ities

in

se

curi

ty

retu

ms:

T

he

case

of

ear

ning

s an

noun

cem

ents

Cor

pora

te

payo

ut

polic

y:

Cas

h di

vide

nds

vers

us

open

-mar

ket

repu

rcha

ses

R1s

.k a

vers

ion,

un

cert

ain

info

rmat

ion,

an

d m

arke

t ef

icw

tcy

Mar

ket

ratio

nalit

y an

d di

vide

nd

atm

ounc

ctne

nts

Seas

onal

ity

m

Aus

tral

ian

capi

tal

mar

kets

. M

arke

t ef

fici

ency

an

d em

piri

cal

issu

es

Opt

mn

arbi

trag

e an

d st

rate

gy

with

la

rge

pric

e ch

ange

s

‘Ope

nmdi

ng’

clos

eden

d fu

nds

Unb

iase

d es

timat

ion

of t

he

Bla

ckiS

chol

es

form

ula

A

theo

ry

of p

rice

li

mit

s in

fu

ture

s m

arke

ts

Val

uing

de

bt

opti

ons:

E

mpi

rica

l cv

iden

cc

The

ef

fect

of

ban

d ra

ting

chan

ges

on

com

mon

st

ock

pric

es

Eve

nt

stud

y m

etho

dolo

gies

an

d th

e si

ze

effe

ct:

The

ca

se

of U

K

pres

s re

com

men

datio

ns

The

eq

uity

pr

emiu

m

and

the

conc

entr

atio

n of

agg

rega

te

shoc

ks

The

ri

se

in

take

over

pr

emiu

ms:

A

n ex

plor

ator

y st

udy

A

dire

ct

test

of

R

ock’

s m

odel

of

the

pr

icin

g of

uns

easo

ned

issu

es

I9

87

8 1.

6 I

.4

I4

85

I1

I .6

1.

6

5 77

23

I.

5 1.

2

3 77

23

I.

5 1.

7

5 77

23

1.

5 2.

0

I6

86

9 1.

5 I .

3

I7

86

9 1.

5 I .

6

21

88

6 I.

5 I .

6 3 3

22

88

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6 F

:

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88

6 I

.5

I.1

7 ?

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85

IO

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I.

4

z 2

2 75

24

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4 %

I3

84

II

I .

4 I .

4 n 2.

13

84

II

I.

4 I.

8 z

IS

86

8 I .

3 I.

8

s 16

86

8

I .3

I .4

%

16

86

8 1.

3 I.

3 B

’ 3

I7

86

8 I .

3 0.

9

I7

86

8 1.

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1

I7

86

8 I.

3 3.

5

23

89

4 I.

3 1.

6

23

89

4 I.

3 1.

4 P

z

Ran

k A

utho

rs

Tab

le

A 1

(co

ntin

ued)

Pape

r

Ave

rag

e C

itat

ions

/

Tot

al

Cit

atio

nsi

Yea

r/

Vol

ume

Yea

r C

itatio

ns

Yea

I 24

Pa

ges

298

Mus

care

lla,

C.J

.,

Vct

suyp

ens,

M

R.

298

Mel

ville

, L

J.,

Piep

tea,

D

.R.

298

Ben

vcni

ste,

L

.M.,

Spin

dt.

P.A

.

298

Eck

bo.

B.E

.,

Lan

gohr

, H

.

298

Bal

l, R

,

Kot

hati,

S.

P.

298

Shle

tfer

, A

.,

Vis

bny,

R

.W

312

Bha

gat,

S.,

Btic

kley

, J

A.,

Lea

se,

R.C

312

Rol

l, R

.

314

Met

ton,

R

.C.,

Sam

uels

on,

P.A

.

3 I5

B

oyle

, P.

P.,

Em

anue

l. D

.

315

Rub

ack,

R

.S

3 I5

K

arpo

ff,

J.M

.,

Wal

klin

g,

R.A

318

Mill

er,

M.M

.,

Scho

les.

M

S.

3 I9

H

awki

ns,

G.D

319

Cum

by,

RE

..

Mod

est,

D.M

.

3 I9

K

im,

E.H

.,

Scha

tzbe

rg.

J.D

322

Rub

ack,

R

.S.

322

Vu,

I.D

.

A

sim

ple

test

of

B

amn’

s m

odel

of

IPO

un

derp

rici

ng

24

89

4

Stoc

k-pr

ice

vola

tility

, m

ean-

reve

rtin

g di

ffis

ion,

an

d no

ise

24

89

4

How

in

vest

men

t ba

nkcn

de

teni

ne

the

offe

r pr

ice

and

allo

catio

n of

new

is

sues

24

89

4

lofo

rmat

ion

disc

losu

re,

met

hod

of p

aym

ent,

and

take

over

pr

emiu

ms:

P

ubli

c an

d pr

ivat

e te

nder

of

fers

in

Fran

ce

Non

stat

iona

ry

expe

cted

re

turn

s:

Impl

icat

ions

fo

r te

sts

of m

arke

t ef

fici

ency

an

d se

rial

co

rrel

atio

ns

m

retu

rns

Man

agem

ent

entr

ench

men

t. T

he

case

of

man

ager

-spe

cifi

c in

vest

men

ts

24

89

4

25

89

4

25

89

4

lnce

nuve

ef

fect

s of

sto

ck

purc

hase

pl

ans

14

85

9

A n

ote

on

the

geom

etry

of

Sha

nken

’s

CSR

T

-squ

are

test

fo

r m

eael

vari

ance

ef

fict

ency

14

85

9

Falla

cy

of t

he

log-

norm

al

appm

xim

atio

n to

opt

nnal

po

rtfo

lio

deci

sion

-mak

ing

over

m

any

peri

ods

I 14

23

Dis

cret

ely

adju

sted

op

tion

he

dges

8

80

I5

Coe

rciv

e du

al-c

lass

ex

chan

ge

offe

rs

Shoe

-ter

m

trad

ing

arou

nd

exdi

vide

nd

days

: A

dditi

onal

ev

iden

ce

20

88

5

21

88

5

Div

iden

ds

and

taxe

s 6

78

I7

An

anal

ysts

of

rev

olvi

ng

cred

it ag

reem

ents

Tes

tmg

for

mar

ket

timin

g ab

ility

: A

fr

amew

ork

for

fore

cast

ev

alua

tion

IO

82

12

I9

87

6

Vol

unta

ty

corp

orat

e liq

uida

tions

19

87

6

Cal

cula

ting

the

mar

ket

valu

e of

ris

kles

s ca

sh

flow

s

An

empi

rica

l in

vest

igat

ion

of c

alls

of

non

conv

ettib

le

bond

s

I5

86

7

16

86

7

I.3

I .3

I.3

1.3

13

I3

I .3

I .3

1.3

I3

1.3

1.3

1.2

I .2

I.2

I2

1.2

I .2

2.1

I .4

1.6

08

1.3

I.8 I .4

3.1

I.1

I .2

I .4

37

09

12

I .3

I .6

1.5

09

322

322

326

321

328

329

330

330

330

330

334

335

336

336

336

336

336

336

336

336

336

336

Park

. S.

Y.,

Rei

ngan

um,

M.R

Bar

one-

Ade

si,

G.,

Wha

ley,

R

.E.

Cor

nell,

B

.

Boy

le,

PP.,

Ana

ntha

nara

yana

,

Jaga

onat

han,

R

.

McC

onne

ll,

J.J.

,

Scha

llhci

m,

J.S.

Schw

cn,

G.W

.

Boy

le,

PP

.

Gre

ene,

M

.T.,

Fiel

itz,

B.D

.

Baw

a,

V.S

.,

Lin

denb

erg,

E

.B.

Miln

e,

F

Gou

ld,

J.P.

,

Gal

ai.

D.

Bre

nnan

, M

.J ,

Schw

artz

, E

.S.

Shill

er,

R 1

..

Mod

iglia

ni.

F

Hilh

ner,

SC

.,

Yu,

P.

L.

Jarr

ow,

R.A

,

Rud

d,

A.

Em

anue

l, D

.C.

Pete

rson

, PP

..

Pete

lson

, D

.R.,

Ang

, J.

S.

Bro

wn,

S.

I..

Wei

nste

in,

M.I.

Pote

tba,

J.

M.

Lar

cker

, D

.F.,

Lys

, T

.

Day

, T

.E.,

Lew

is,

C.M

.

The

pu

rlin

g pr

ice

beha

vior

of

Tre

asur

y bd

ls

that

m

atur

e at

the

to

m

of c

alen

dar

mon

ths

16

86

7 I .

2 I

.6

The

va

luat

ion

of A

mer

ican

ca

ll op

tion

s an

d th

e ex

pect

ed

exdt

vide

nd

stoc

k pr

ice

decl

ine

I7

86

7 I.

2 I.

3

J.E

Asy

mm

etri

c in

form

atio

n an

d po

nfoh

o pc

rfon

nanc

e m

easu

rem

ent

The

im

pact

of

van

aoce

es

timao

on

in

opti

on

valu

atio

n m

odel

s

7 79

I5

I

.2

2.8

5 77

I7

II

1.

9

Cal

l op

tion

s an

d th

e ri

sk

of u

nder

lyin

g se

curi

ties

I3

84

9 I.

1 2.

7

Val

uatio

n of

ass

et

leas

ing

cont

ract

s I2

83

IO

I.

1 IO

Stoc

k ex

chan

ge

seat

s as

ca

pita

l as

sets

Opt

ions

. A

M

onte

C

arlo

ap

proa

ch

Lon

g-te

rm

depe

nden

ce

in

coon

non

stoc

k re

runs

4 77

I6

I.

1 0.

9 n

Cap

ital

mar

ket

equd

ibri

um

in a

mea

n-lo

wer

pa

rtia

l m

omen

t fr

amew

ork

Cho

w

over

as

set

econ

omie

s:

Def

ault

risk

an

d co

rpor

ate

leve

rage

Tra

nsac

tions

c&

s an

d th

e re

latio

nshi

p be

twee

n pu

t an

d ca

ll pr

ices

4 77

I6

II

16

4 77

I6

I.

1 2.

1

3

5 77

I6

I.

1 2.

1 z-

9

2 ?

75

18

I.1

I.1

I 74

I9

1.

1 1.

0

The

pr

icin

g of

equ

ity-l

inke

d lif

e in

sura

nce

polic

ies

with

an

as

set

valu

e gu

aran

tee

Cou

pon

and

tax

effe

cts

on n

ew

and

seas

oned

bo

nd

yiel

ds

and

the

mea

sure

men

t of

the

co

st

of d

ebt

capi

tal

The

m

arke

t sp

eed

of a

djus

nenr

to

new

in

form

atio

n

3 76

I6

1.

0 1.

2 2 %

2

7 79

13

I.

0 IO

B

:.

7 79

I3

1.

0 0.

9 z 2

App

roxi

mat

e op

tion

va

luat

ion

for

arbi

trar

y st

ocha

sttc

pr

oces

ses

War

rant

va

luat

ion

and

exer

cise

st

rate

gy

Dre

ct

evid

ence

on

th

e m

argm

al

rate

of

tax

atio

n on

di

vide

nd

inco

me

IO

82

IO

I .o

I .o

$ f?

I2

83

9 I.

0 0.

9 8’

3

I4

85

7 1.

0 I.

5

Der

ived

Fa

ctor

s m

ev

ent

stud

ies

I4

85

7 1.

0 4.

0

The

m

arke

t va

luat

ion

of

ca

sh d

ivtd

eods

. T

he

Citt

zens

U

tili

ties

ca

se

reco

nsid

ered

An

empn

ical

an

alys

is

of t

he

ince

ntiv

es

to e

ngag

e in

cos

tly

info

rmat

ion

acqu

isitt

on.

?l~l

he ca

se

of r

isk

arbi

trag

e

The

be

havi

or

of t

he

vola

tility

im

plic

it in

the

pr

ices

of

sto

ck i

ndex

op

tton

s

IS

86

6 I

.o

2.0

I8

87

5 1.

0 I.

5

22

88

4 I .

o I .

2 P

z

Ran

k A

UdI

On

Tab

le

Al

(con

tinue

d)

Pape

r

Ave

rage

C

itat

ions

i

TO

tll

Cit

&ll

si

Yea

r/

Vol

ume

Yea

r C

itatio

ns

Yea

r 24

Pag

es

336

Bla

ckw

ell,

D W

,

Kid

wel

l. D

S

336

Haw

ey,

CR

.

336

Han

da,

P.,

Kot

hari

, S.

P.,

W&

y,

c.

336

Lon

gsta

ff,

F.A

.

336

Fran

ks,

J.R

.,

Har

ris,

R

S.

351

Col

lms,

D

.W.

352

Hite

, G

.L.

353

wie

r,

P.

354

Dun

n, K.B ,

spat

t, c s.

35

4 Fr

ench

, D

.W.

356

Kal

ay,

A.,

Loe

wen

stei

n,

U.

357

Hec

kenn

an,

D.G

358

McC

ullo

ch,

J.H

358

Bar

clay

, M

.J.

358

Gib

bons

, M

.R.

Shan

ken,

J.

361

Ng,

D

.S.

361

Ric

hard

, S.

F.

363

Aw

azia

n,

VA

.,

Cal

len,

J

L.

363

Con

stan

tinid

es,

G.M

.

363

Bal

l. C

A.,

Tom

us.

W.

363

Col

es,

J.L

..

Loe

wen

stei

n,

u

An

mve

stig

atio

n of

cos

t di

ffer

ence

s be

twee

n pu

blic

sa

les

and

priv

ate

plac

emen

ts

of d

ebt

22

88

4 1.0

0.9

The

re

al

term

st

ruct

ure

and

cons

umpt

ion

grow

th

22

88

4 I .

o 0.

8

The

re

latio

n be

twee

n th

e re

turn

in

terv

al

and

beta

s:

Imph

catio

ns

for

the

size

ef

fect

23

89

3

IO

1.1

A n

onlm

ear

gene

ral

equi

libri

um

mod

el

of t

he

term

st

~ctu

re

of i

nter

est

rate

s 23

89

3

1.0

0.8

Shar

ehol

der

wea

lth

effe

cts

of c

orpo

rate

ta

keov

ers:

T

he

U.K

. ex

peri

ence

19

55-1

985

23

89

3 I

.o

0.9

SEC

pr

oduc

t-lin

e re

port

ing

and

ma&

et

effi

cien

cy

Lev

erag

e,

outp

ut

effe

cts,

an

d th

e M

-M

theo

rem

s

The

co

sts

of a

ntim

erge

r la

wsu

its

Evi

denc

e fr

om

the

stoc

k m

arke

t

A

stra

tegi

c an

alys

is

of s

inki

ng

fund

bo

nds

2 75

16

0.

9 06

4 77

I4

09

0.

9

II

83

8 0.

9 1.

2

13

84

7 0.

9 0.

8

Tbe

w

eeke

nd

effe

ct

on

the

dist

ribu

tion

of s

tock

pr

ices

: lm

plic

atm

ns

for

opti

on

pric

ing

I3

84

7 0.

9 I

.5

The

in

form

atio

nal

cont

ent

of t

he

timin

g of

div

iden

d an

noun

cem

ents

16

86

5

0.8

1.2

Mot

ivat

ing

man

ager

s to

mak

e in

vest

men

t de

cisi

ons

The

m

onot

onic

ity

of t

he

term

pn

tmum

: A

cl

oser

lo

ok

Div

iden

ds,

taxe

s,

and

com

mon

st

ock

pric

es:

The

ex

divi

dend

da

y be

havi

or

of c

omm

on

stoc

k pd

ces

befo

re

the

inco

me

tax

Subp

enod

ag

greg

atio

n an

d th

e po

wer

of

mul

tivar

iate

te

sts

of p

ortf

olio

ef

fici

ency

2 18

I9

19 2 2 8 13

22

22

75

14

0.8

I .o

87

4 0.

8 24

87

4 0.

8 1.

4

87

4 0.

8 3.

2

Info

rmat

ion

accu

racy

an

d so

cial

w

elfa

re

unde

r ho

mog

eneo

us

belie

fs

Opt

imal

co

nsum

ptio

n,

ponf

olio

an

d lif

e m

sura

nce

rule

s fo

r an

un

cert

am

hved

in

diw

dual

m

a

cont

inuo

us

time

mod

el

Cor

pora

te

leve

rage

an

d gm

wth

: T

he

gam

e-th

eore

tic

issu

es

75

13

0.8

1.0

75

13

0.8

1 .o

80

9 0.

8 0.

8

War

rant

ex

erci

se

and

bond

co

nwsi

on

m c

ompe

titiv

e m

arke

ts

Inve

stig

atin

g se

curi

ty-p

rice

pe

rfom

nnce

m

the

pr

esen

ce

of e

vent

-dat

e un

cert

aint

y

84

6 08

0.

6

88

3 0.

8 0.

6

Equ

ilibn

um

pric

ing

and

polt

foho

co

mpo

sitm

n in

th

e pr

esen

ce

of

unce

rtai

n pa

ram

eter

s 88

3

0.8

0.7

367

368

368

370

371

371

373

373

375

375

375

375

375

375

375

375

375

375

Lee

, w

Y

.,

Rae

, R

.K.S

,

Auc

hmut

y,

J.F.

G.

Elt

on,

E.J

.,

Gru

ber,

M

-1

Pars

ons,

I.E

.,

Rav

iv.

A.

Che

n,

A.H

.,

Kim

, E.H ,

Kon

, S.

J.

Gol

dman

, M

.B.,

Sosi

n,

H.B

.

Bal

dwm

, C

.Y.,

Mey

er,

R.F

.

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to,

M.A

..

Ges

ke,

R.,

Litz

enbe

rger

, R

.,

Sosm

. H

.

Kle

mko

sky,

R

C ,

Res

nick

, B

.C.

Stam

baug

h,

R.F

Ben

ning

a,

S.,

Pmto

papa

daki

s,

A

Dun

n,

K.B

.,

Ead

es,

K.M

Whe

atle

y,

S.M

Cor

mdo

, C

.J.

Krr

poff

, J.

M.,

Ric

e,

E.M

.

Tur

ner.

C

.M.,

Stan

z,

R ,

Nel

son,

C

R.

Lum

mer

, S.

L..

McC

onne

ll,

J J

Kal

e,

J.R

,

Noe

, T

.H.,

Gay

, G

.D.

Tuf

ano,

P

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M.,

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.,

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.

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dem

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.

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.

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.S.

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.B

395

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.M.

396

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hols

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L.

397

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ram

s,

J.T

.

398

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llhei

m,

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, Jo

hnso

n,

R E

.,

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.,

McC

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ll,

J.J.

398

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A

.W.

400

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els,

D

.

401

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.E.

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.

401

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nner

, M ,

Subr

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anya

m,

M.,

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, J.

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hts

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89

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25

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14

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9

81

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Scho

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Roe

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ma”

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man

, M

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anss

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.

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ke,

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Ale

xand

er,

G.J

.

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ac,

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..

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a,

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d,

I.

Subr

ahm

anya

m,

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n,

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.

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dman

, M

.B

Jcns

e”,

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Bm

wn,

D

.,

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ng,

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.

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omfi

eld,

T

..

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lwch

, R

.,

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g,

J.B

.

Rol

l, R

.,

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s,

S A

Park

, S

B.

Ho,

T,

Sing

er,

R.F

.

Kar

ady,

G

.G.

Alle

n,

P.R

.,

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ans,

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.F.

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k,

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e m

mim

um

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on

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anal

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ead

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429

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man

, M

B.,

Ohl

so”,

J.

A.

430

Scot

t, I

A.,

Smith

, T

.C.

430

Lan

gohr

, H.M ,

Via

llet,

C.J

.

432

Gle

it,

A

433

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stan

tinid

es,

G.M

.

434

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ema,

P.

,

Eec

khou

dt,

L

435

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on,

S.P.

,

Bha

ttach

arya

. S

436

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gan,

L

G.

431

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ston

, G

.J.

437

Lih

enbe

rger

, R

..

Sosi

n,

H.B

437

Rud

d,

A.

440

Ros

s,

S.A

.

441

Che

”,

A.H

.,

Kim

, E

.H.,

Kon

, S.

J.

442

Gup

ta.

K.

442

Gay

, G

.D.,

Kol

b,

R.W

.,

Yun

g,

K.

442

You

ng,

L,

Boy

le,

G.W

.

Val

uatio

n of

tis

ky

asse

ts

in

arbi

trag

e-fr

ee

econ

omie

s w

ith

tran

sact

icm

s co

sts

The

ef

fect

of

the

B

ankr

uptc

y R

efor

m

Act

of

19

78

on

smal

l bu

sine

ss

loan

pn

cing

Com

pens

atm

n an

d w

ealth

tr

ansf

ers

in

the

Frm

ch

natm

nahz

atio

ns:

1981

-198

2

Val

uatio

n of

gen

eral

co

ntin

gent

cl

aim

s E

xist

ence

. un

ique

ness

an

d co

mpa

nson

s of

sol

utio

ns

Com

men

t on

C

hen.

K

im

and

Ken

Del

ayed

ri

sk

and

nsk

prem

ium

s

Ris

ky

debt

, ju

mp

proc

esse

s,

and

safe

ty

cove

na”U

Mar

ket

prox

ies

and

the

cond

ition

al

pred

ictio

n of

ret

urns

The

im

pact

of

mat

wity

re

gula

tm”

on

hzgh

in

tere

st

rate

le

nder

s an

d bo

rrow

en

The

st

ruct

ure

and

man

agem

ent

of

dual

pu

rpos

e fu

nds

A n

ote

on

qual

itativ

e re

sult

s fo

r in

vest

mm

t pm

poni

ons

Por

tfol

io

turn

pike

th

eore

ms

for

cons

tant

po

licie

s

Cas

h de

man

d,

liqui

datio

n co

sts,

an

d ca

pita

l m

&et

eq

uilib

rium

un

der

unce

rtai

nty:

R

eply

Det

erm

inan

ts

of c

orpo

rate

bo

rrow

ing.

A

no

te

Tra

der

raho

nalit

y in

th

e ex

erci

se

of f

utur

es

opti

ons

Forw

ard

and

futu

res

pric

es

I”

a ge

nera

l eq

uilib

rium

m

onet

ary

mod

el

9 16

17

6 7 9 6 4 d 5 3 10

23

24

81

86

86

78

16

15

81

78

77

77

77

74

76

82

89

89

0.4

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Transcript of The Journal of Financial Economics