Compares COMPUSTAT and Value Line databases in terms of financial data and size of firm distribution. COMPUSTAT and Value Line data assimilation policies; Effects of the differences in the two databases on population of firms' inferences; Importance of selecting databases and variables from those databases.

Mean reversion in stock index basis changes has been presumed to be driven by the trading activity of stock index arbitragers. The authors propose here instead that the observed negative autocorrelation in basis changes is mainly a statistical illusion, arising because many stocks in the index portfolio trade infrequently. Even without formal arbitrage, reported basis changes would appear negatively autocorrelated as lagging stocks eventually trade and get updated. The implications of this study go beyond index arbitrage, however. The authors' analysis suggests that spurious elements may creep in whenever the price-change or return series of two securities or portfolios of securities are differenced.

This study employs a stochastic model developed by G. Udny Yule and Herbert A. Simon as the probability mechanism underlying the consumer's choice of artistic products and predicts that artistic outputs will be concentrated among a few lucky individuals. We find that the probability distribution implied by the stochastic model provides an excellent description of the empirical data in the popular music industry, suggesting that the stochastic model may represent the process generating the superstar phenomenon. Because the stochastic model does not require differential talents among individuals, our empirical results support the notion that the superstar phenomenon could exist among individuals with equal talent.

The NASDAQ multiple dealer market is designed to produce narrow bid‐ask spreads through the competition for order flow among individual dealers. However, we find that odd‐eighth quotes are virtually nonexistent for 70 of 100 actively traded NASDAQ securities, including Apple Computer and Lotus Development. The lack of odd‐eighth quotes cannot be explained by the negotiation hypothesis of Harris (1991) , trading activity, or other variables thought to impact spreads. This result implies that the inside spread for a large number of NASDAQ stocks is at least $0.25 and raises the question of whether NASDAQ dealers implicitly collude to maintain wide spreads.

We evaluate journals based on their relative contributions to top-level finance research in a recent period. Journals are ranked according to the number of citations found in articles published in Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and Review of Financial Studies. The analysis controls for both the average number of articles and average number of words published annually in each cited journal. We identify the fifty most frequently cited journals during this period. We also list the fifty most frequently cited authors and articles and note topical trends in the research.

We evaluate journals based on their relative contributions to top‐level finance research in a recent period. Journals are ranked according to the number of citations found in articles published in Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis , and Review of Financial Studies . The analysis controls for both the average number of articles and average number of words published annually in each cited journal. We identify the fifty most frequently cited journals during this period. We also list the fifty most frequently cited authors and articles and note topical trends in the research.

Mean reversion in stock index basis changes has been presumed to be driven by the trading activity of stock index arbitragers. We propose here instead that the observed negative autocorrelation in basis changes is mainly a statistical illusion, arising because many stocks in the index portfolio trade infrequently. Even without formal arbitrage, reported basis changes would appear negatively autocorrelated as lagging stocks eventually trade and get updated. The implications of this study go beyond index arbitrage, however. Our analysis suggests that spurious elements may creep in whenever the price‐change or return series of two securities or portfolios of securities are differenced.

Merton H. Miller, Jayaram Muthuswamy, Robert E. Whaley, Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage-Induced or Statistical Illusion?, The Journal of Finance, Vol. 49, No. 2 (Jun., 1994), pp. 479-513