the journal of financial economics
TRANSCRIPT
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.
312 G. W. Schwert. JFE retrospective evaluation
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.
374 G. W. Schwert. JFE retrospective evaluation
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.
G. W. Schwert, JFE retrospective evaluation 381
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.
382 G. W. Schwert. JFE retrospective evaluation
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
384 G. W. Schwert. JFE retrospective evaluation
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.
G. W. Schwert, JFE retrospective evaluation 385
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
390 G. W. Schwert, JFE retrospective evaluation
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.
G. W. Schwert, JFE retrospective evaluation 391
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
rd
U.
53.2
12
11.8
3 22
U
. M
ichi
gan
42.7
13
11.3
3 19
U
. O
rego
n 54
.0
2093
.7
36
2.83
5
Heb
rew
U
. 8.
3 12
3.8
3415
.8
36
2.83
4
U.
Ari
zona
6.
6 89
.0
1129
.8
36
2.83
7
U.
Geo
rgia
3.
0 10
.0
1214
.8
39
2.67
5
U.
Min
neso
ta
2.3
17.8
417.
2 40
2.
50
4 U
. T
exas
(D
alla
s)
3.0
20.5
540.
7 41
2.
33
4 W
ashi
ngto
n U
.(St
L
ouis
) 2.
7 13
.0
342.
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33
5 U
. A
lber
ta
9.5
66.8
164.
0 43
2.
17
5 L
ouis
iana
St
ate
U.
0.2
1.0
144.
7 44
2.
00
3 M
cMas
ter
U.
6.9
64.0
393.
8 44
2.
00
3 M
ichi
gan
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e U
. 2.
7 28
.0
606.
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00
2 N
at1
Bur
. E
con.
R
es.
2.6
24.0
256.
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00
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klah
oma
Stat
e U
. 0.
9 14
.0
371.
8 44
2.
00
3 U
. K
entu
cky
1.0
17.0
Ave
rage
Q
R
ank
Pape
rs
Aut
hor-
Pape
rs
Inst
itutio
n C
itatio
ns/
Tot
al
Yea
r C
itatio
ns
14
10.5
0
15
10.3
3
16
9.00
17
8.83
18
8.67
19
7.50
20
6.50
21
6.33
22
5.92
23
5.50
23
5.50
25
4.83
26
4.73
27
4.67
28
4.58
29
4.50
30
3.83
31
3.67
32
3.50
32
3.50
34
3.17
34
3.17
15
17
17
18
15
11
10
11
14 8 11 9 8 10
10 9 6
Car
negi
e-M
ello
n U
. 37
.6
465.
5
Nor
thw
este
rn
U.
46.9
36
8.2
Bel
l L
abs
26.1
34
7.5
U.
Uta
h 14
.7
106.
0
U.
Was
hing
ton
(Sea
ttle)
20
.2
132.
8
U.
Sout
hern
C
al.
43.0
41
3.0
U.
Iow
a 18
.1
205.
0
Cor
nell
U.
16.5
13
1.0
Purd
ue
U.
13.5
10
2.8
Van
derb
ilt
U.
20.7
19
9.5
Yal
e U
. 39
.1
367.
0
Col
umbi
a U
. 6.
9 27
.5
Duk
e U
. 9.
3 53
.4
Geo
rgia
St
ate
U.
6.4
68.0
Sout
hern
M
etho
dist
U
. 9.
3 59
.8
U.
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as
(Aus
tin)
6.4
18.7
Lon
don
Bus
ines
s Sc
hool
15
.3
174.
8
U.
Flor
ida
14.2
10
1.0
Bos
ton
Col
lege
1.
2 3.
0
Lav
a1
U.
6.6
94.0
Dar
tmou
th
Col
lege
7.
5 78
.0
Tel
A
viv
U.
11.8
85
.7
49
49
49
49
53
54
54
54
57
57
59
60
60
60
60
60
60
60
67
67
1.83
3
Prin
ceto
n U
. 10
.4
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3
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e U
. N
ew
Yor
k 4.
2
1.83
6
U.
Con
nect
icut
0.
5
1.83
3
U.
Mas
sach
uset
ts
2.8
1.70
4
INSE
AD
1.
5
1.67
3
Fede
ral
Res
erve
B
oard
2.
7
1.67
4
U.
Nor
th
Car
olin
a 1.
8
1.67
4
U.
Vir
gini
a 3.
4
1.58
3
Tex
as
Chr
istia
n U
. 1.
0
1.58
3
Tul
ane
U.
3.2
1.53
4
Rut
gers
U
. 4.
5
1.50
3
Alc
ar
Gro
up
5.5
1.50
2
Bar
uch
Col
lege
5.
5
1.50
2
Bro
wn
U.
1.9
1.50
4
Flor
ida
Stat
e U
. 1.
2
1.50
4
Indi
ana
U.
1.4
1.50
2
Sim
on
Fras
er
U.
1.2
1.50
2
U.
Hou
ston
1.
6
1.33
3
Ari
zona
St
ate
U.
4.0
1.33
3
Secu
r. E
xch.
C
orn.
4.
9
45.7
5 88
A
ll O
ther
s 15
7.1
516
881
Tot
al
2,94
9
53.3
61.3
2.0
22.0
8.8
5.7
10.3
22.8
%
7.3
: .z
9.8
67.1
$ 2
26.5
? 2 +u
26
.5
2 =‘.
13.0
z 2
9.5
B
B
11.7
z 9
11.0
24.0
24.0
21.8
609.
3
16,2
3 1
?.
394 G. W. Schwert. JFE retrospective evaluation
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, represent- ing 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
398 G. W. Schwert. JFE retrospective evaluation
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’.
400 G. W. Schwert. JFE retrospective evaluation
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
0.380
2.73 1
-1.030
2.685
1.303
Std
ErrOK
0.197
0.056
0.850
0.047
1.524
0.254
0.575
0.623
0.654
0.729
0.2529
4.523
T-Statistic
17.33
2.40
-3.82
3.08
1.77
1.49
4.75
-1.65
4.10
1.79
402 G. W. Schwert, JFE retrospective evaluation
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.
G. W. Schwert, JFE retrospective evaluation 403
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.
404 G. W. Schwert. JFE retrospective evaluation
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
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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,
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Ran
k A
utho
rs
38
Har
ris,
M
,
Rav
iv,
A.
38
Dam
, L
.Y..
DeA
ngel
o,
H.
40
Ven
nael
en,
T.
41
Rei
ngan
um,
M.R
.
42
Fam
a,
E F
.
43
Bla
ck,
F.,
Scho
les,
M
S.
44
Cox
, J.
C.,
Ros
s,
S.A
.,
Rub
inst
ein,
M
45
Kel
m.
D.B
..
Stam
baug
h,
RF
46
Dan
n,
L.Y
.
47
Smith
, C
W
48
Stal
l, H
.R.,
Wha
ley,
R
E.
49
Gib
bons
, M
.R.
50
Har
ris,
L
.E.
50
Kap
lan,
S.
N.
52
Cam
pbel
l, J.
Y.
53
Shan
ken,
J.
54
D&
I&,
H.,
Ric
e,
E.M
.
55
Cox
, J
C.,
Inge
rsol
l, I.E
.,
Ros
s,
%A
.
55
Stul
z,
R M
.
Cor
pora
te
fina
ncia
l po
licy
and
corp
orat
e co
ntro
l. A
st
udy
of d
efcn
swe
adju
stm
ents
in
ass
et
and
owne
nhip
stm
cnxe
20
88
37
93
5.3
Com
mon
st
ock
repu
rcha
ses
and
mar
ket
sigx
lling
: A
n em
puic
al
stud
y
The
an
omal
ous
stoc
k m
arke
t be
haw
or
of s
mal
l fi
rms
I”
Janu
ary
Em
piri
cal
test
s fo
r ta
x-lo
ss
selli
ng
effe
cts
The
m
form
atm
n in
th
e te
rm
stru
ctur
e
The
ef
fect
s of
di
vide
nd
yiel
d an
d di
vide
nd
polic
y on
co
mm
on
stoc
k pn
cn
and
retu
rns
9 81
99
9.
0 47
I?
83
80
89
13.3
I3
84
71
8.9
10.6
I 74
15
9 8.
8 96
Opt
ion
pric
ing,
A
si
mpl
ifie
d ap
proa
ch
7 79
II
I 8.
5 5.
7
Pred
ictr
ig
retu
rns
m t
he
stoc
k an
d bo
nd
mar
kets
I7
86
51
85
6.
0
Com
mon
st
ock
repu
rcha
ses-
A
n an
alys
is
of r
etur
ns
to b
ondh
olde
rs
and
stoc
khol
ders
Opt
ion
pric
ing:
A
re
view
Tra
nsac
tion
cost
s an
d th
e sm
all
firm
ef
fect
9 81
91
8.
3 7.
6
3 76
I3
1 8.
2 3.
9
12
83
73
8.1
8.1
Mul
hvan
ate
test
s of
fin
anci
al
mod
els:
A
new
ap
proa
ch
IO
82
80
8.0
7.3
A
tran
sact
ion
data
st
udy
of w
eekl
y an
d m
trad
aily
pa
ttern
s in
sto
ck
retu
rns
I6
86
48
8.0
9.5
The
ef
fect
s of
man
agem
ent
buyo
uts
on
oper
atin
g pe
rfor
man
ce
and
valu
e 24
89
14
8.
0 SO
Stoc
k re
turn
s an
d th
e te
rm
stru
ctur
e 18
87
39
7.
8 6.
6
Mul
nvar
iate
te
sts
of t
he
zero
-bet
a C
APM
I4
85
54
7.
7 8.
4
Ant
itake
over
ch
arte
r am
endm
ents
an
d st
ockh
olde
r w
ealth
II
83
69
7.
7 5.1
The
re
latm
n be
twee
n fo
rwar
d pr
ices
an
d fu
ture
s pr
ices
81
83
7.
5
7.5
6.9
7.5
A m
odel
of
inf
emah
onal
as
set
pric
ing
Ave
rage
C
itat
ions
/
Tot
al
Cit
atio
nsi
Yea
d
Vol
ume
Yea
r C
itatio
ns
Yea
r 24
Pa
ges
20
88
37
9.3
6.9
81
83
Tab
le
Al
Pap
ers
Publ
ishe
d in
the
Jou
rnal
of
Fin
anci
al
Eco
nom
ics,
19
74-8
9,
Ran
ked
by
Ave
rage
C
itatio
ns
per
Yea
r in
the
Soc
ial
Sci
ence
C
ita
tion
In
dex
,
for
Pap
ers
with
L
ess
than
T
en A
vera
ge
Cita
tions
pe
r Y
ear.
T
he ta
ble
also
sh
ows
the
auth
on,
title
, vo
lum
e.
publ
icat
ion
year
, to
tal
cita
tions
si
nce
the
pape
r w
as
publ
ishe
d.
and
the
avem
ge
num
ber
of
cifa
fmns
pe
r ye
ar
adju
sted
fo
r le
ngth
(m
ultip
lyin
g th
e av
erag
e
cita
tions
to
the
pa
per
by
the
aver
age
num
ber
of p
ages
in
JFE
pa
pa,
24,
then
di
vidi
ng
by
the
leng
th
of t
his
pape
r)
Pape
r
Cor
pora
te
cont
rol
cont
ests
an
d ca
pita
l st
mct
urr
Ran
k A
utho
rs
Tab
le
Al
(con
tinue
d)
Pap
er
Ave
nge
Cita
tions
i
Tot
al
Cita
tions
i Y
eX/
Vol
ume
Yea
r C
itatio
ns
Y-1
24
Pag
es
57
Fre
nch,
K.R
.
Sa
latr
ell,
G.A
.,
Pau
lsen
, A
.B.
59
Bra
dley
, M
.,
Des
ai,
A.,
Kim
, E
.H.
59
Blu
me,
M
.E,
Sta
mba
ugh,
R
.F
61
Eck
bo,
BE
62
Dod
d,
P.,
Rub
ack,
R.S
.
63
Sta
mba
ugh,
R
.F
64
Ric
hard
, S
F.,
Sun
dare
san.
S.M
.
65
Met
ton,
R
.C.
66
Gra
uer,
F.L
.A.,
Litle
nber
ger,
R
.,
Ste
hle,
R.E
.
67
Asq
uith
. P
..
Bnm
er,
R.F
.,
Mul
lins,
D
.W
67
Linn
, S
.C.,
McC
onne
ll,
1.1.
69
Mer
ton,
R
.C.
69
Dan
n. L
.Y..
Mik
kels
on.
W.H
.
71
Lang
etie
g,
T.C
.
72
War
ner,
J.B
.,
Wat
ts,
R.L
.,
Wm
ck,
K.H
.
73
Bro
wn.
P
.,
Kle
idon
, A
.W.,
Man
h,
T.A
.
Sto
ck r
ctum
s an
d th
e w
eeke
nd
effe
ct
a S
hark
rep
elle
nts
and
stoc
k pt
ices
: T
he e
ffec
ts o
f an
titak
eove
r am
endm
ents
si
nce
19aO
I9
The
rat
iona
le
behi
nd
inte
rfirm
te
nder
offe
n:
Info
rmat
ion
or s
yner
gy?
II
Bia
ses
in c
ompu
ted
retu
rns:
A
n ap
plic
atio
n to
the
siz
e ef
fect
Val
uatio
n ef
fect
s of
cor
pora
te d
ebt
offe
rings
Ten
der
offe
n an
d st
ockh
olde
r re
tum
s:
An
empi
rical
an
alys
is
On
the
excl
usio
n of
ass
ets
from
te
sts
of t
he t
wo-
para
met
er
mod
el:
A
sens
itivi
ty
anal
ysis
A
cont
inuo
us
time
equi
libriu
m
mod
el
of f
orw
ard
pric
es a
nd f
utur
es p
rices
in
a m
ultig
ood
econ
omy
On
estim
atin
g th
e ex
pect
ed r
etur
n on
the
ma&
t: A
n ex
plor
ator
y in
vest
igat
ion
Sha
ring
rule
s an
d eq
uilib
rium
in
an
int
erna
tiona
l ca
ptta
l m
arke
t un
der
unce
rtai
nty
12
15
5 IO 9 a 3
The
gai
ns t
o bt
ddut
g fir
ms
from
m
erge
r
An
empi
rical
in
vest
igat
ion
of t
he i
mpa
ct
of ‘
antit
akeo
vef
amen
dmen
ts
on c
omm
on
stoc
k pr
ices
Opt
ion
pnci
ng
whe
n un
derly
ing
stoc
k re
turn
s ar
e di
xont
muo
us
Con
vert
ible
de
bt i
ssua
nce,
cap
ital
stru
ctur
e ch
ange
and
fin
anci
ng-r
elat
ed
info
mut
mn:
S
ome
new
evi
denc
e
An
appl
icat
ion
of a
thr
ee-f
acto
r pe
rfor
man
ce
inde
x to
mea
sure
sto
ckho
lder
ga
ins
from
m
erge
r
Sto
ck p
rices
and
top
man
agem
ent
chan
ges
New
ev
iden
ce o
n th
e na
ture
of
size
-rel
ated
an
omah
es i
n st
ock
pric
es
II II 3 13
6 20
I2
80
89
7.4
II.1
a7
37
7.4
4.2
a3
66
7.3
7.3
83
66
7.3
9.7
86
43
7.2
5.0
77
107
7.1
12.2
a2
71
7.1
53
81
77
7.0
6.4
a0
a2
6.8
4.1
76
I08
6.8
6.7
83
60
6.7
8.0
a3
60
6.7
4.0
76
I06
6.6
7.9
84
53
6.6
5.3
78
92
6.6
7.8
88
26
65
4.8
83
58
6.4
6.4
74
Schi
pper
, K
.,
Tho
mps
on,
R.
74
Am
ihud
, Y
,
Mm
dels
o”,
H.
76
Phill
ips,
S.
M.,
Smith
, C
.W.
76
Wei
sbac
h,
M.S
78
Eck
ho,
B.E
.
78
Schw
ert.
G W
.
80
Bat
ty.
R.P
.,
Ritt
er,
J.R
.
81
Bas
u,
S.
82
lam
es,
CM
.
82
Ryn
gaer
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
6 1.
5 I.
6 F
:
z-
22
88
6 I
.5
I.1
7 ?
I4
85
IO
I .4
I.
4
z 2
2 75
24
1.
4 1.
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.
3 I.
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
.
Gat
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
Opt
ion
pnci
ng
in
a lo
gnor
mal
se
cunt
ies
mar
ket
with
di
scre
te
trad
mg
9 81
8
07
0.6
Tax
es
and
ponf
oho
com
posi
tion
Und
erpr
icin
g of
sea
sone
d is
sues
Cas
h de
man
d,
liqui
datio
n co
sts
and
capi
tal
mar
ket
equi
libnu
m
unde
r un
cert
aint
y
Info
rmat
mn
diss
emin
atio
n,
mar
ket
effi
cien
cy
and
the
freq
uenc
y of
tra
nsac
tions
Liq
uldl
ty
pref
eren
ce
unde
r un
cert
aint
y.
A m
odel
of
dyn
amic
in
vest
men
t in
dl
iqui
d op
porm
nitie
s
Mut
ual
fund
m
sura
nce
An
ex
ante
an
alys
is
of p
ut-c
all
pant
y 8
80
8 0.
7 1.
0
z
Arb
itrag
e pr
ism
g w
th
Info
rmat
ion
Gen
eral
eq
uilib
num
pr
oper
ties
of t
he
term
st
mct
ure
of l
uter
est
rate
s
Vol
unta
ry
conv
ersi
on
of c
onve
nibl
e se
curi
ties
and
the
opm
nal
call
stra
tegy
A
criti
que
of l
aten
t va
riab
le
test
s of
ass
et
pric
ing
mod
els
A
nonp
aram
etri
c te
st
for
abno
rmal
se
curi
ty-p
rice
pe
rfor
man
ce
m
even
t st
udie
s
Org
aniz
auon
al
form
, sh
are
tran
sfer
abdl
ty.
and
firm
pe
rfor
man
ce,
Ew
denc
e fr
om
the
AN
CSA
co
rpor
atto
ns
12
83
6 07
I
I ? 2
I6
86
4 0.
7 0.
7 %
n i 23
89
2
0.7
0.5
$ z 23
89
2
0.7
I.1
6 2
23
89,
2 07
I3
24
89
2 0.
7 0.
4
9 9
A
Mar
kov
mod
el
of h
eter
oske
dast
icity
, ri
sk,
and
leam
mg
in t
he
stoc
k m
arke
t 25
89
2
0.7
0.8
Furt
her
evid
ence
on
th
e ba
nk
lend
ing
proc
ess
and
the
capi
tal-
mar
ket
resp
onse
to
ba
nk
loan
ag
reem
ents
Shar
e re
purc
hase
th
roug
h tr
ansf
erab
le
put
righ
ts:
The
ory
and
case
st
udy
Fman
cml
inno
vauo
n an
d fi
rst-
mov
er
adva
ntag
es
25
89
2 0.
7 fi
0.
6 _
6 78
IO
0.
7 I .4
14
85
5 07
08
2 75
12
0.
7 1.
1
7 79
9
0.7
0.7
7 79
9
07
0.6
0:
8 80
8
0.7
0.4
$-
7 ?
25
89
2 0.
7 0.
7
25
89
2 0.
7 0.
8
Ran
k A
utho
rs
Tab
le
Al
(con
tinue
d)
Pape
r
Ave
rage
C
itat
ions
/
TO
til
cita
tions
/ Y
ead
Vol
ume
Yea
r C
itatio
ns
Yea
r 24
Pag
es
315
Mik
kels
on,
W.H
..
Part
ch,
MM
.
375
Kar
poff
. J.
M.,
Mal
ates
ta,
P.H
.
375
Isra
el.
R.,
Ofe
r,
A.R
.,
Sieg
el,
D.R
.
375
Bar
clay
. M
.J.,
Hol
dem
css,
C
.G.
389
Schm
alm
see,
R
.
390
Gan
nan,
M
.B.
390
Chc
n,
N.F
.,
John
son,
H
.
392
Hak
anss
on.
N.H
.
392
John
son,
K
.H.,
Shan
non,
D
.S.
392
Gra
uer,
R
.B
395
Ali,
M
.M.
396
Nic
hols
. W
-D.,
Bro
wn,
S.
L.
397
Will
ram
s,
J.T
.
398
Scha
llhei
m,
J.S
, Jo
hnso
n,
R E
.,
Lea
se,
R.C
.,
McC
onne
ll,
J.J.
398
Lo,
A
.W.
400
May
els,
D
.
401
Vcr
recc
hia,
R
.E.
401
Lo,
A.W
.
401
Brc
nner
, M ,
Subr
ahm
anya
m,
M.,
Uno
, J.
Man
ager
s’
votin
g ng
hts
and
corp
orat
e co
ntro
l 25
89
The
w
ealth
ef
fect
s of
sec
ond-
gene
ratio
n st
ate
take
over
le
gisl
atio
n 25
89
The
in
form
atio
n co
nten
t of
equ
ity-f
or-d
ebt
swap
s:
An
inve
stig
atio
n of
ana
lyst
fo
reca
sts
of
tinn
cash
fl
ows
25
89
Ptiv
ate
bene
fits
fr
om
cont
rol
of p
ublic
co
rpor
atio
ns
25
89
Ris
k an
d re
turn
on
lon
g-liv
ed
tang
ible
as
sets
The
du
ratio
n of
opt
ion
port
foli
os
Hed
ging
op
tion
s
9 14
I4
81
85
85
Com
mm
t on
M
erto
n an
d Sa
mue
lson
A n
ote
of d
iver
sifi
catio
n an
d th
e re
duct
ion
of d
ispe
rsio
n
14
74
Gen
eral
ized
tw
o pa
ram
eter
as
set
pric
ing
mod
els:
So
me
empi
rica
l ev
iden
ce
6 78
Stoc
hast
ic
dom
inan
ce
and
pott
foli
o an
alys
is
2 75
Ass
imila
ting
earn
ings
an
d sp
lit
info
rmat
ion:
Is
the
ca
pita
l m
arke
t be
com
ing
mor
e ef
licie
nt’~
9
81
Tra
dmg
and
valu
ing
depr
ecia
ble
asse
ts
The
de
term
inan
ts
of y
ield
s on
fi
nanc
tal
leas
ing
cont
ract
s
14
I9
85
87
Sem
t-pa
mm
ebic
up
per
boun
ds
for
opti
on
pric
es
and
expe
cted
pa
yoff
s I9
87
Por
tfol
io
theo
ry,
jab
choi
ce
and
the
equi
libri
um
stru
ctur
e of
exp
ecte
d w
ages
I
74
The
M
aycr
s-R
ice
conJ
ectu
re:
A
coun
tere
xam
ple
8 80
Stat
ishc
al
test
s of
con
tinge
nt&
dms
asse
t-pr
icm
g m
odel
s:
A
new
m
etho
dolo
gy
I7
86
The
be
havi
or
of p
rice
s in
th
e N
tkke
i sp
ot
and
futu
res
mar
ket
23
89
2 2 2 2 7 4 4 9 9 7 .8
5 3 2 2 7 4 2 I
0.7
0.6
0.7
0.5
0.7
0.7
07
0.6
0.6
0.7
0.6
I .7
0.6
2.3
0.5
0.5
0.5
0.5
0.5
0.4
0.4
0.4
0.4
0.3
0.3
0.3
6.0
1.5
0.5
0.4
I.4
0.4
0.4
0.6
0.5
0.6
0.2
0.4
401
401
401
401
408
409
410
411
412
413
414
414
416
417
417
419
419
419
422
422
422
422
422
422
428
Scho
les,
M
.S.,
Wol
fson
, M
.A.
Moo
re,
W-r
,
Chr
iste
nsen
, D
.G ,
Roe
nfel
dt,
R.L
.
Lau
terb
ach,
B
Ric
hard
son.
M ,
Stoc
k,
J.H
Gar
ma”
, M
B.
Bic
k,
A
Mor
gan.
I
G
Gar
man
, M
.B.
Hak
anss
on.
N.H
.
Ges
ke,
R
Ale
xand
er,
G.J
.
Arz
ac,
E.R
..
Baw
a,
V .S
Poun
d,
I.
Subr
ahm
anya
m,
M.
Stap
leto
n,
R.C
.
Gol
dman
, M
.B
Jcns
e”,
M.C
Bm
wn,
D
.,
Hua
ng,
C.F
.
Blo
omfi
eld,
T
..
Lef
lwch
, R
.,
Lon
g,
J.B
.
Rol
l, R
.,
Ros
s,
S A
Park
, S
B.
Ho,
T,
Sing
er,
R.F
.
Kar
ady,
G
.G.
Alle
n,
P.R
.,
Sirm
ans,
C
.F.
Stuc
k,
B.W
Dec
entm
hzed
in
vest
men
t ba
nkm
g.
T%
e ca
se
of d
isco
unt
divi
dend
-rei
nves
tmen
t an
d st
ock-
purc
hase
pl
ans
Equ
ity
valu
at~o
” ef
fect
s of
fo
rmin
g m
aste
r lim
ited
part
ners
hips
Con
sum
ptio
n vo
latih
ty,
prod
uctio
n vo
latd
ity,
spot
-rat
e vo
latil
ity,
and
the
~etu
ms
on
Tre
asur
y bi
lls
and
bond
s
Dra
win
g in
fere
nces
fr
om
stat
istic
s ba
sed
on
mul
tiyea
r as
set
retu
rns
An
alge
bra
for
eval
uatin
g he
dge
port
foli
os
Com
men
ts
on
the
valu
atm
n of
dew
&e
asse
ts
Pred
ictio
n of
ret
urn
with
th
e m
mim
um
vari
ance
ze
ro-b
eta
port
foli
o
The
pr
icin
g of
sup
ersh
ares
Con
verg
ence
to
wxl
astic
ut
ility
an
d po
licy
in m
ultip
erio
d po
rtfo
lio
choi
ce
Com
men
ts
on
wha
ley’
s no
te
A”
algo
rith
mic
ap
proa
ch
to d
envi
ng
the
m”“
mum
-var
ianc
e ze
ro-b
eta
panf
olio
Por
tfol
io
choi
ce
and
equi
libnu
m
in c
apita
l m
arke
ts
with
sa
fety
-fir
st
inve
stor
s
The
in
form
atio
n ef
fect
s of
tak
eove
r bi
ds
and
res~
sfan
ce
On
the
optim
ality
of
int
erna
tiona
l :a
plta
l m
arke
t in
tegr
alon
A n
ote
on
defa
ult
risk
, le
vera
ge
and
the
MM
th
eore
m
A n
egat
ive
repa
n on
th
e “n
ear
optn
nalit
y”
of t
he
ma-
expe
cted
-log
po
licy
as
apph
ed
to b
ound
ed
util
itie
s fa
t
long
liv
ed
prog
ram
s
Sym
posi
um
on
the
mar
ket
for
Co
rpo
rate
Con
trol
. T
he
scie
ntif
ic
evid
ence
--
Pre
face
Opt
ion
pnci
ng
I”
a lo
gnor
mal
se
cwit~
es
mar
ket
with
di
scre
te
trad
ing.
A
co
mm
ent
Pon
foho
st
rate
gies
an
d pe
rfor
man
ce
Com
men
ts
on
qual
itativ
e re
sult
s fo
r in
vest
men
t pm
port
ians
5
77
3 02
I2
Spot
an
d fo
rwar
d ra
tes
I”
the
Can
adia
n T
reas
ury
bill
mar
ket
Bon
d in
dent
ure
prov
isio
ns
and
the
risk
of
cor
pora
te
debt
The
ef
fect
of
tem
pora
l ri
rk
aver
ston
on
liq
uidi
ty
pref
eren
ce
A”
anal
ysis
of
gai
ns
to a
cqui
nng
firm
’s
shar
ehol
ders
: T
he
spec
ial
case
of
RE
lTs
IO
82
2 02
0.
6
IO
82
2 02
0.
1
10
82
2 0.
2 0.
3
18
87
I 0.
2 0.
5
Exp
licit
soIu
ho”s
to
som
e si
ngle
-per
iod
iwes
tmen
t pr
oble
ms
for
risk
y lo
gsta
ble
stoc
ks
3 76
3
0.2
0.2
24
89
I 0.
3 03
24
89
I 0.
3 0.
4
24
89
I 0.
3 0.
3
25
89
1 0.
3 0.
3
3 76
5
0.3
0.3
IO
82
3 03
04
2 75
5
03
0.4
6 78
4
0.3
0.9
.m
I 74
5
0.3
0.3
7
9 81
3
0.3
I6
4 77
4
0.3
I I
2
4 77
4
0.3
0.5
s r
22
88
I 0.
3 0.
3
2 75
4
0.2
0.2
2 75
4
0.2
0.9
2 ; I
74
4 0.
2 0.
8 B
ta
2 I1
83
2
0.2
5.3
2 I2
83
2
02
2.7
P ‘p 5
5 77
3
0.2
0.3
? c d 3
Ran
k A
Uth
WS
Tab
le
A 1
(con
tinue
d)
Pape
r
Ave
rage
C
itat
ions
/
Tot
al
otat
ions
/ Y
ead
Vol
ume
Yea
r C
itatio
ns
Yea
t 24
Paa
es
429
Gar
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
Con
stan
tinid
es,
G.M
.
434
Cap
ema,
P.
,
Eec
khou
dt,
L
435
Mas
on,
S.P.
,
Bha
ttach
arya
. S
436
Mor
gan,
L
G.
431
Ben
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
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