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This study uses bibliometrics to present a retrospective on the Journal of Futures Markets (JFM) on its 40th anniversary. The Journal's annual number of publications and citations grew substantially, with US‐affiliated authors being the dominant contributors. Authorship analysis reveals an increase in collaboration and diversity among JFM authors. Bibliographic coupling analysis reveals that the Journal's main themes include commodities, volatility, trading, hedging, arbitrage and pricing, forecasting volatility, and credit default swaps. Its primary citation drivers are article age, article length, number of authors, FT100 affiliation, and references.

Using a large sample covering the period 1996–2015, we find a positive relation between the return of the announced firm on the date of peer firms' announcements and industry-wide earnings news of peer firms. Our results imply that same-industry-peer earnings announcements play a role in the analyst forecast-based drift, and are consistent with the notion of intra-industry information transfers. Additional analyses show that economic conditions and the relative size of the rival firms can affect the nature and magnitude of the link between announced firm's return surrounding the date of the rival firm's announcements and the rival firms' industry-wide component of earnings surprises. We also document evidence that is more consistent with analyst forecast-based drift reflecting investors exhibiting limited attention behavior as opposed to investors' conservatism bias. Our results are robust across different estimations and clustering procedures.

Purpose The purpose of this paper is to examine how Moroccan institutional investors view dividend policy. It discusses the importance these investors attach to the dividend policy of their investee firms, how much influence they exercise in shaping investee firms’ dividend policies, their reactions to changes in dividends, and their views on various explanations for paying dividends. Design/methodology/approach A mail survey provides a respondent and firm profile and responses to 28 questions involving various explanations for paying dividends and 30 questions on different dividend issues. Findings Institutional investors attach substantial importance to dividend policy and prefer high dividend payments. Although liquidity needs are a major driver, taxes play little role in shaping dividend preferences. Respondents agree with multiple explanations for paying dividends giving the strongest support to catering, bird-in-the-hand, life cycle, signaling, and agency theories. Research limitations/implications Despite a high response rate, the number of respondents limits partitioning the sample and testing for significant differences between different groups. Practical implications The lack of communication between Casablanca Stock Exchange (CSE) listed firms and institutional investors may depress stock prices and increase volatility. The results suggest agency problems and a weak governance environment at the CSE. Originality/value This study documents the importance that institutional investors place on dividend policy, their reactions to changes in their investees’ dividend policy, and the methods used to influence these firms. It extends previous research by reporting the level of support Moroccan institutional investors give to various explanations for paying dividends.

We study the high-moment distribution of hedge fund returns and identify factors that drive high-moment risk. Using hedge fund monthly returns, we find a strong correlation between the first four moments of returns (i.e. mean, standard deviation (SD), skewness, and kurtosis) and different characteristics of the funds such as leverage, liquidity, incentives, and strategy-related factors. We find that after controlling for other factors, incentives-related factors and a hedge fund’s specific strategy have the greatest impact on the distribution of fund returns. Our evidence also suggests investors allocate across hedge fund characteristics while placing greater emphasis on fund strategies and incentive factors.

Purpose– The purpose of this paper is to investigate the opinions of managers of Indian firms on stock splits and bonus shares (stock dividends) and relate them to explanations for stock distributions identified in the prior literature.Design/methodology/approach– The authors use descriptive statistics from a mail survey to the company secretaries of 500 firms listed on the National Stock Exchange of India to elicit their responses about statements involving stock splits and bonus shares.Findings– The survey evidence shows that among the competing motives for stock splits, the liquidity hypothesis receives the highest level of support followed by the attention-getting variant of the signaling hypothesis, signaling, and the preferred trading range hypotheses. Regarding bonus shares, respondents express strong support for the retained earnings, liquidity, and signaling hypotheses but lesser support for the cash substitution and preferred trading range hypotheses.Research limitations/implications– The survey evidence provides new insights into the stated motivations for stock distributions, especially bonus shares, among Indian firms but the ability to generalize the results is tempered by the relatively small number of respondents. This limits the ability to test for statistically significant differences between the various competing hypotheses. Hence, the results are suggestive rather than definitive.Practical implications– The survey evidence suggests that no single explanation dominates all others for issuing stock splits or bonus shares in India. Thus, managers have multiple reasons for engaging in stock distributions.Originality/value– Few studies use survey methodology to examine Indian dividend policy. Given the dearth of survey evidence on stock distributions among Indian firms, this study not only updates the limited evidence on stock splits but also provides the first survey evidence about managerial views on bonus shares.

Purpose – The purpose of this paper is to provide an overview and synthesis of some important literature on dividend policy, chronicle changing perspectives and trends, provide stylized facts, offer practical implications, and suggest avenues for future research. Design/methodology/approach – The authors provide a survey of literature surveys with a focus on insights for paying cash dividends. Findings – The analysis of literature surveys on dividend policy provides some stylized facts. For example, US evidence indicates that the importance of cash dividends as a part of investors’ total returns has declined over time. Share repurchases now play an increasingly important role in payout policy in countries permitting stock buybacks. The popular view is that dividend policy is important, as evidenced by the large amount of money involved and the attention that firms, security analysts, and investors give to dividends. Firms tend to follow a managed dividend policy rather than a residual dividend policy, which involves paying dividends from earnings left over after meeting investment needs while maintaining its target capital structure. Certain determinants of cash dividends are consistently important over time in shaping actual dividend policies including the stability of past dividends and current and anticipated earnings. No universal set of factors is appropriate for all firms because dividend policy is sensitive to numerous factors including firm characteristics, market characteristics, and substitute forms of dividends. Universal or one-size-fits-all theories or explanations for why companies pay dividends are too simplistic. Practical implications – The dividend puzzle remains an important topic in modern finance. Originality/value – This is the first a survey of literature surveys on cash dividends.

PurposeThe purpose of this paper is to examine cash dividends and stock repurchases in Canada from 1988 to 2006 and their relationship with earnings.Design/methodology/approachThe study uses logistic regressions to examine the likelihood of paying dividends and the timing of repurchases and OLS regressions to examine the level of payout.FindingsThe fraction of dividend‐paying firms declines from 1988 to 2001 and then slightly rebounds until the end of the sample period in 2006. Firm size, profitability, investment opportunities, and catering incentives explain the likelihood of paying dividends. Unlike US firms, Canadian repurchase‐only firms do not become important payers in terms of either the percentage of firms or the level of payout. Dividend‐only firms pay out significant amounts of cash. Firms with both regular dividends and regular repurchases pay out the largest amount. The payout of different groups of payers is determined by their earnings. Testing firms with both regular dividends and regular repurchases reveals that earnings, undervaluation, and availability of cash explains the timing of repurchases but earnings mainly explains the level of repurchases.Research limitations/implicationsCanadian data are unavailable after 2006, which precludes investigating the potential implications of the financial crisis beginning in 2007.Originality/valueThis is the first paper to analyze the evolution of the relationship between payout and earnings in Canada.

We use a survey approach to investigate the factors leading to the decision not to pay cash dividends in Canada. Our results show that Canadian managers perceive growth opportunities, low profitability and cash constraints as the major reasons underlying a firm's decision not to pay dividends. Questionnaire results also show that, for non-dividend-paying firms, taxation is at best a second-order determinant of dividend policy and that stock repurchases are not substitutes for dividends. Finally, our findings are inconclusive regarding managers’ views on the relationship between dividend policy and stock prices and the signaling role of dividend policy.

SUMMARY AND CONCLUSIONS Despiteextensiveresearch,financialeconomistsstillviewcapitalstructureasapuz-zle in which all the pieces do not fit perfectly into place. Surveys by Graham andHarvey (2001); Bancel and Mittoo (2004); and Brounen, Dirk, de Jong, and Koedijk(2004, 2006) report gaps between theory and practice involving capital structuredecisions. Although understanding in this area is incomplete and questions stillremain on how firms should determine their financing mix, much theoretical andempirical evidence is available to provide guidance in unraveling the capital struc-ture puzzle. The following chapters offer a wealth of useful information about thefactors that influence capital structure and corporate financing decisions in the realworld. Let’s now begin our journey into one of the most controversial and highlyresearched topics in corporate finance. REFERENCES Baker, H. Kent, and Gary E. Powell. 2005. Understanding Financial Management—A PracticalGuide . Malden, MA: Blackwell Publishing.Baker, Malcolm, and Jeffrey Wurgler. 2002. “Market Timing and Capital Structure.”

PurposeThe purpose of this paper is to provide a synthesis of the literature on the changing perspectives of corporate distribution policy.Design/methodology/approachThis paper synthesizes and interprets the theoretical, empirical and survey‐based research on corporate payout policy.FindingsDividends once constituted a prominent part of an investor's total return, but this role has declined over time. Although many companies still pay cash dividends, share repurchases have risen dramatically and are now a significant component of payout.Research limitations/implicationsNew theories and perspectives on corporate distribution are likely to be introduced; while this paper represents an up‐to‐date view on the topic, it is not possible to anticipate new research developments that may affect some of the perspectives expressed herein.Practical implicationsNo single explanation fully accounts for the changes in distribution policy, most notably, the declining incidence of dividend‐paying firms and the increasing level of repurchase activity. Factors that explain the popularity of share repurchases in the USA include the improved regulatory environment, economic conditions, and the flexibility of repurchases relative to dividends. Developing a comprehensive model that explains the choice between dividends and share repurchase remains a challenge facing researchers.Originality/valueThe paper adds to the body of knowledge by providing an integrated perspective on dividends and share repurchase, summarizing decades of theoretical, empirical, and survey‐based research.

We survey managers of Norwegian firms listed on the Oslo Stock Exchange about their views on dividend policy. The key factors that drive dividend policies are the level of current and expected future earnings, stability of earnings, current degree of financial leverage, and liquidity constraints. No significant correlation exists between the overall rankings of factors influencing dividend policy between Norwegian and U.S. managers. Norwegian managers express mixed views about whether a firm's dividend policy affects firm value. In general, management views provide support for the signaling hypothesis of payout policy but not the tax-preference explanation.

We survey 309 sample firms exhibiting behavior consistent with a residual dividend policy and their matched counterparts to learn how they set their dividend policies. The findings reveal that the sample firms are more likely than their counterparts to maintain a long-term dividend payout ratio, use long-run earnings forecasts in setting the dividend, and be unconcerned about the cost of raising external funds. Yet, firms behaving as though they follow a residual dividend policy generally do not profess to follow the policy. At best, the sample firms follow a “modified” residual policy in which they carefully manage their payout ratio and dividend trend. Although it may not be an explicit goal of such a dividend policy, consistently low free cash flow typically results.

This paper studies the effects of stock splits on returns using daily data from the Singapore Stock Exchange over the period 1983-2000. Specifically, it examines whether stock split announcements provide credible signals due to asymmetry of information. We find that the market, on average, responds positively and significantly to announcements of stock splits. We then partition the sample into sub-samples: one with dividends (earnings) increasing firms and another with dividends (earnings) decreasing firms the 12 month period after the stock split. Both groups respond positively to stock split announcements on the event period, which initially casts doubt on the signaling hypothesis. Additional tests show that the difference between the cumulative average returns of the two sub-samples is significantly positive during the post-event and/or full-test period. An implication of this finding is that the market can differentiate ex ante between the two sub-samples, which lends support to the hypothesis that stock split announcements generally provide credible signals of future prospects.

We survey managers of Nasdaq firms that consistently pay cash dividends to determine their views about dividend policy, the relationship between dividend policy and value, and four common explanations for paying dividends. The evidence shows that managers stress the importance of maintaining dividend continuity and widely agree that changes in dividends affect firm value. Managers give the strongest support to a signaling explanation for paying dividends, weak to little support for the tax-preference and agency cost explanations, and no support to the bird-in-the-hand explanation. The study provides new evidence about how managers view dividend life cycles and residual dividend policy.

This paper revisits the dividend puzzle, described here as questions about the relevance of dividend policy and how managers should (and do) determine dividend policy. We examine theoretical and empirical research on dividends and share repurchases because they are the principal mechanisms by which corporations disburse cash to their shareholders. Despite a voluminous amount of study, researchers still do not have all the answers to the dividend puzzle. However, we are closer to its resolution. We also do not have definitive answers to why managers choose one method of cash distribution over the other. Solving the dividend puzzle may depend on understanding the effects of various market imperfections or frictions. Because various imperfections affect firms differently, dividend policy may vary substantially from one firm to another. Models that consider the competing frictions on a firm-specific basis offer promise for resolving the dividend puzzle.

This paper investigates the behavior of returns to share-holders of NYSE and AMEX firms that publicly announce the discontinuance of regular stock dividends. Using event-type methodology, the results show that the average abnormal return for NYSE and AMEX firms is negative but not statistically significant on the event date. Partitioning the sample by stock-related characteristics shows that for small firms with low stock prices and low institutional ownership, management's decision to drop regular stock dividends conveys a significantly negative signal, which, in turn, causes stock prices to decline. Firms that drop a stock payment and simultaneously initiate or increase cash dividends experience a significant increase in shareholder wealth. However, firms that drop the stock dividend policy and do not begin a cash dividend policy experience a sharp decline in shareholder wealth.

This study examines the relationship between insider trading and market liquidity (spread and depth) of NASDAQ-100 stocks. Tests on an intraday sample of sell trades show no evidence of cross-sectional association between the width of the spread and insider trading, but detect some widening of the spread after the fact. Overall, our results provide mixed evidence on the ability of NASDAQ dealers to unravel informed order flow and adjust spreads accordingly. Their short-term behavior suggests an inability to detect insider trading and widen spreads, but their behavior over time suggests that dealers may attempt to recover what they apparently lose at a given point and time.

Conventional wisdom suggests that index funds are commodity-like in nature. If this presumption is accurate, price competition should be more evident with index funds than with actively managed funds. Thus, expenses should not vary widely among index funds using the same benchmark. In this paper, we investigate whether retail S&P 500 Index funds are a financial commodity. Specifically, we test whether expenses matter more for retail S&P 500 Index funds than for actively managed funds. Our analysis of 106 retail S&P 500 Index funds shows a wide disparity in (net) expense ratios. In addition, we find large performance differences among funds within diverse (net) expense ratio classes. Based on this evidence, we conclude that retail S&P 500 Index funds with low (net) expense ratios, on average, outperform those with high (net) expense ratios. Specifically, our univariate analysis shows that Sharpe ratios and Jensen alphas tend to increase as (net) expense ratios decline across standard deviation classes. Thus, lower (net) expense ratios result in improved risk-adjusted returns. Retail S&P 500 Index funds with low (net) expense ratios also tend to have higher annualized returns compared with those with (net) expense ratios that are high. Thus, lower costs mean larger returns. Our multivariate model provides evidence on characteristics that investors can use to explain performance. In this OLS model, we pool the funds and use dummies and interactions for testing the relative significance of variables across retail S&P 500 Index funds and actively managed large-cap blend funds used as a control group. We find evidence that (net) expense ratio class helps to explain performance. In addition, fund size is a distinguishing variable for performance. Cash holdings and portfolio turnover generally have a positive relation with performance but loads, especially deferred loads, and 12b-1 fees typically have the opposite relation. In addition, our results show that expenses do not matter more for retail S&P 500 Index funds than for actively managed funds. What are the implications of our findings? Mutual fund investors are likely to view index funds as financial commodities because of the common belief that such funds do not differ in any significant way, especially when tracking the same benchmark index. Evidence of large differences in (net) expense ratios across index funds casts serious doubt on using "commodity" as a descriptor. Further, this finding becomes more serious because price competition should be even more competitive among index funds, especially in the pricing of (net) expense ratios. Apparently, it does not. This implies that some uninformed investors are paying high costs without receiving commensurate benefits. This study provides an important lesson for mutual fund investors who are interested in retail S&P 500 Index funds. Namely, (net) expense ratios have a direct negative impact on performance. Low cost does not characterize all retail S&P 500 Index funds. Some funds charge fees and incur expenses that are too diverse along the range of outcomes to be consistent with commodities. Thus, when comparing mutual funds, investors should generally seek to minimize expenses because additional fees provide no apparent economic benefit.

It is not enough to say that particular mutual funds have very excessive and most excessive expense ratios. In addition, these high cost funds are associated with negative portfolio characteristics that include more risky and less diversified portfolios, higher trading costs, and lower earnings. Further, these high cost funds are associated with performance attributes that include lower risk/return performance based on three measures and lower total returns over two time periods. The complete word, then, is that mutual funds with expense ratios either two and three standard deviations above their mean overall Morningstar categories are further associated with both negative portfolio characteristics and performance attributes.

This study tests the hypothesis that non-domestic cross-listing is associated with increased firm visibility. We examine visibility changes on the two exchanges with the largest number of non-domestic listings: the London Stock Exchange (LSE) and the New York Stock Exchange (NYSE). Noting that the costs associated with NYSE listing are greater than those for LSE listing, we also test the hypothesis that non-domestic cross-listing on the NYSE is associated with larger visibility increases than LSE listing. Our proxies for visibility are analyst coverage and media attention. Our tests using analyst coverage generally support our hypothesis that non-domestic cross-listing increases visibility, while tests using media attention provide partial support of the hypothesis. Further empirical tests support the hypothesis that non-domestic cross-listing on the NYSE is associated with a larger visibility increase than on the LSE, which partially compensates firms for the higher costs associated with NYSE listing. All of our results are robust to conditioning on the firm's home country capital market type (developed or emerging); the country's geographical region; analysts' tendencies to initiate coverage on firms with good prospects; and the popularity of a firm's industry or country.

This chapter examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are examined together with an intuitive description of the implied dynamics of the order book conditional to special orders (iceberg and hidden). The chapter provides an analysis of the transaction costs associated with trading activity and examines the most common trading strategies employed in the market. It also examines optimal execution strategy with the description of the efficient trading frontier. These concepts represent the tools needed to understand the most recent innovations in financial markets and the most recent advances in microstructures research.