menu – Where should the “preferences” item go in a desktop application?

I find that the “preferences” menu item is always in a different place, and often under an arbitrary name which always makes it a pain to locate unless you’re already familiar with the software.

I have seen it under the file, edit, window, help, and options menu (probably more) and is either called “preferences,” “settings,” or “options.”

Has there been any studies or evidence to suggest where the application settings should go? And I am referring to the application settings, not file/project/whatever specific settings. I already know that putting it under “file” is wrong for application global settings, and under “edit” is probably wrong in all circumstances. But what about besides that? Is it better to just have an entire options menu to further break it down? Should it be under the “window” menu since it is, after all, its own window? What about window > options? Is it ever right to put it under the “help” menu?

I’m talking mostly in terms of usability (which place users look first), but also semantically (as in, the file menu doesn’t make sense). I personally never start with file, edit, or help — even though that’s often where the menu item is — but rather search high and low through other menus first. Is this a common behavior?