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Abstract:
This paper examines all citations and self-citations to a list of 94 finance journals appearing in the Journal of Finance, Journal of Financial Economics and Review of Financial Studies from 1995 through 2005. Additionally, the publication profile of 100 prolific authors in top-tier finance journals is tabulated for these 94 journals. Citations to non-finance journals in economics and accounting are also tabulated for comparison with their finance counterpart along with working papers. Five ranking schemes are constructed with each scheme identifying the top fifty finance journals. Citations to finance journals are highly concentrated within ten journals and similarly for self-citations. Authors of papers appearing in top-tier finance journals pay scant attention to the bulk of research published in other finance journals. Furthermore, these authors cite other economic journals with greater frequency than their counterpart in finance. Of the top fifty finance journals identified in this paper, only 19 are listed in Social Sciences Citation Index (SSCI), and this compares to approximately 500 listed economic journals. Some glaring omissions from SSCI are identified, but most notably the Journal of Applied Corporate Finance, Journal of Financial Research, Journal of Empirical Finance and Journal of Fixed Income. An analysis of 2006 citations patterns is also presented. The top-tier mantra assigned to finance journals has a void with the decision by the Journal of Business to cease publication with the November 2006 issue. This paper identifies five finance journals anyone of which could potentially fill the void.

Citation patterns, concentration, finance journal rankings

Abstract:
Prior research documents unusually high returns on the last trading day of the month and over the next three consecutive trading days. This phenomenon is known as the turn-of-the-month (TOTM) effect. According to Siegel (1998), why these anomalies occur is not well understood, and whether they will continue to be significant in the future is an open question. In this paper, we examine the S&P 500 futures contract for evidence that turn-of-the-month effects have continued. Transaction costs are low for index futures, and the absence of short-sale restrictions makes index futures an attractive venue for testing the continuation of market anomalies because of the low cost of arbitrage. We find that TOTM effects for S&P 500 futures disappear after 1990, and this result carries over to the S&P 500 spot market. We conjecture that a change in the preference of individual investors over time from making direct to making indirect stock purchases through mutual funds is related to the disappearance of the TOTM effect for more recent return data. In this paper, we argue that turn-of-the-month return patterns for both spot and futures prices are dynamic and related to market microstructure and therefore subject to change without notice. Financial economists should be careful when making out-of-sample inferences from observed in-sample return regularities.

Disappearing turn-of-the-month effect, S&P 500 futures, market efficiency

Abstract:
This paper examines a unique data set consisting of Japanese equity returns for the Friday, Monday, and Tuesday surrounding U.S. Monday holiday closures. The objective is to neutralize the impact of spillover effects from New York to Tokyo. Prior studies find that Japanese returns are negative on Tuesday and anomalous; this phenomenon is known as the Japanese-Tuesday effect. One explanation for the Japanese-Tuesday effect is that there exists a cause and effect relationship with Monday returns in New York. Historically, Monday returns in New York are negative, a phenomenon known as the U.S.-Monday effect. The empirical results show that U.S. Monday closures have a significant impact on Japanese return dynamics for surrounding trading days. The empirical evidence does not support the hypothesis that the U.S.-Monday and Japanese-Tuesday effects are related. Potential explanations for the occurrence and then disappearance of the Japanese-Tuesday effect rely on microstructure properties unique to Tokyo. More recently, spillover effects from New York to Tokyo have increased in intensity, and this is attributed to the introduction of the Nikkei 225 index on the SIMEX.

Spillover effects, Japanese-Tuesday effect, market efficiency

Abstract:
Bouman and Jacobsen (2002) examine monthly stock returns for 37 world stock markets for the period January 1970-August 1998. They report that returns are significantly higher during the November-April periods versus the May-October periods in 36 of 37 markets examined and label this phenomenon the Halloween puzzle. These results conflict with those predicted by the efficient market paradigm. Using United States monthly return date, Maberly and Pierce (2004) report that, in terms of statistical significance, the Halloween puzzle is not robust to alternative model specifications. In particular, after adjusting for the October 1987 Crash and the August 1998 failure of Long-Term Capital Management, the Halloween puzzle becomes statistically insignificant at a meaningful level.

Expanding on prior research, this paper examines the robustness of the Japanese Halloween puzzle to alternative model specifications and time periods. The data set is monthly Nikkei 225 index returns for the 1970 through 2003 period. The data set is divided into two sub-periods, 1970 through 1986 and 1987 through 2003, based on the internationalization of Japanese financial markets in the mid-1980s and the introduction of Nikkei 225 index futures in September 1986. For the entire period and for each sub-period, monthly returns are partitioned into bull market (positive return) years versus bear market (negative return) years. This classification reveals that the Halloween strategy underperforms the buy and hold strategy during bull market years, but outperforms the buy and hold strategy during bear market years. Thus, over any prolonged period of bull market years, the Halloween strategy fails miserably. The major finding of this study is that the Japanese Halloween puzzle is not robust to alternative model specifications or to the time period selected. Anecdotal evidence is presented suggesting that investment flows and trading volume in Japan display a November-April seasonal that might contribute to returns being numerically higher over the November-April periods. However, the numerically higher returns observed over the November-April periods are not economically exploitable nor are they a violation of the efficient market paradigm.

Halloween puzzle, bull market phenomenon, efficient markets, fund flows, Jananese stock market, market anomalies, mechanical trading rules

Abstract:
Mongenstern's mantra "scrutinize your data" is as relevant today as when he wrote it over a half century ago. This paper documents discrepancies across data sources in "closing" prices for Nasdaq stocks, which at times are economically meaningful. However, this discrepancy does not apply to listed stocks. Closing stock prices are used to calculate end-of-day index values, daily mutual fund net asset values, and moneyness of equity options. Whenever moneyness breaches threshold levels as established by the Options Clearing Corporation, expiring options are subject to automatic exercise. Closing price data is used by both researchers and investors, thereby potentially resulting in incorrect inferences and inefficient option exercise decisions. This paper documents a need of increased market transparency of procedures governing the determination of closing Nasdaq prices across data vendors.

Price Discrepancies, Official Closing Price, Last Trade Price, Nasdaq Stocks, Inefficient Option Exercise Decisions, Institutional Details

Abstract:
Institutional Investor (II) Journals include the following nine finance/investment journals: (1) The Journal of Portfolio Management (JPM), (2) The Journal of Alternative Investments (JAI) (3) The Journal of Fixed Income (JFINC) (4) The Journal of Derivatives (JD), (5) The Journal of Investing (JINV), (6) The Journal of Trading, (7) The Journal of Private Equity, (8) The Journal of Structured Finance, and (9) The Journal of Wealth Management. This note examines the historical citation (and self-citation) profile of these journals in three leading finance journals: (1) The Journal of Finance (JF), (2) The Journal of Financial Economics (JFE), and (3) The Review of Financial Studies (RFS) over the 10 year period 1996 through 2005. Citations for 2006 are examined separately as an out-of-sample extension. Additionally, the publication profile of 100 prolific authors in top-tier finance journals is examined, and their publication output in the II Journals is summarized. The II Journals examined include the JPM, JAI, JFINC, JD and JINV. This information is extracted from Maberly and Pierce (2007).

Institutional Investor Journals, citations

Abstract:
In early 2009, the SEC approved a series of rule changes impacting the market for equity options, and this paper reviews these changes. In particular, the $3 threshold level associated with continued optionability and the listing of new option series was eliminated. The rule changes allow each option exchange to expand from 10 to 55 the number of stocks selected for inclusion in the $1 Strike Program. Additionally, the lower bound of permissible $1 strike price was reduced from $3 to $1. On March 20, 2009, the T($1) and U($2) strike codes were introduced when American International Group and Citigroup were assigned these codes. This study updates the strike price grid to include these rule changes. Implications associated with these rule changes are identified and include the following: (1) increased trading volume and open interest for equity options; (2) an increase in observed clustering on option strike prices; and (3) the removal of an important incentive for firms contemplating a reverse stock split.

Equity Options, SEC Rule Changes, Strike Price Grid, Option Clustering

Abstract:
This paper addresses a number of important market microstructure issues associated with exchange traded equity options having significant research implications for studies investigating clustering on option strike prices. Price threshold levels are examined associated with exchange listing and the automatic exercise of equity options as established by the SEC and OCC to carry out their regulatory and oversight responsibilities. Significant changes are documented including motivation for such changes. Market microstructure issues potentially impact equity options research outcomes and one important issue is documenting changes over time to the strike price grid. A chronological outline of the introduction of option strike codes from April 26, 1973 through December 2008 is presented. Pricing discrepancies are documented between S&P's end-of-day updates (closing prices) and similar prices reported by CRSP, Thompson and Bloomberg, which is the source of ambiguities associated with the OCC's official settlement price. A number of quirks associated with option databases are identified of potential interest to researchers.

Equity Options, Threshold Levels, Strike Price Grid, Official Settlement Price, Option Databases