<h1>Roll, Richard W.</h1>
<h2>Combined from <a href="https://authors.library.caltech.edu">CaltechAUTHORS</a></h2>
<ul>
<li>Bongaerts, Dion and Roll, Richard, el al. (2022) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20220310-752445000">How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective</a>; Management Science; Vol. 68; No. 4; 3071-3089; <a href="https://doi.org/10.1287/mnsc.2021.3979">10.1287/mnsc.2021.3979</a></li>
<li>Roll, Richard and de Bodt, Eric, el al. (2022) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20220415-220320274">The (Un)intended Consequences of M&amp;A Regulatory Enforcements</a>; <a href="https://doi.org/10.7907/tjfh-3220">10.7907/tjfh-3220</a></li>
<li>Roll, Richard (2021) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20220113-731921500">The Efficient Frontier: A Note on the Curious Difference between Variance and Standard Deviation</a>; Journal of Portfolio Management; Vol. 48; No. 1; 93-97; <a href="https://doi.org/10.3905/jpm.2021.1.300">10.3905/jpm.2021.1.300</a></li>
<li>Roll, Richard and de Bodt, Eric, el al. (2021) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20220415-223243515">Competition Shocks, rival reactions and return comovement</a>; <a href="https://doi.org/10.7907/1m0m-4291">10.7907/1m0m-4291</a></li>
<li>Roll, Richard (2021) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20210701-232908304">The Efficient Frontier: A Note on the Curious Difference Between Variance and Standard Deviation</a>; <a href="https://doi.org/10.7907/pr100-49531">10.7907/pr100-49531</a></li>
<li>Plott, Charles and Roll, Richard, el al. (2019) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190822-092831429">Tick size, price grids and market performance: Stable matches as a model of market dynamics and equilibrium</a>; Games and Economic Behavior; Vol. 118; 7-28; <a href="https://doi.org/10.1016/j.geb.2019.08.004">10.1016/j.geb.2019.08.004</a></li>
<li>Jegadeesh, Narasimhan and Noh, Joonki, el al. (2019) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190214-123253711">Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation</a>; Journal of Financial Economics; Vol. 133; No. 2; 273-298; <a href="https://doi.org/10.1016/j.jfineco.2019.02.010">10.1016/j.jfineco.2019.02.010</a></li>
<li>Pukthuanthong, Kuntara and Roll, Richard, el al. (2019) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20191018-115420925">Changing Expected Returns Can Induce Spurious Serial Correlation</a>; <a href="https://doi.org/10.7907/1077w-2jx02">10.7907/1077w-2jx02</a></li>
<li>Pukthuanthong, Kuntara and Roll, Richard, el al. (2019) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190620-093004868">A Protocol for Factor Identification</a>; Review of Financial Studies; Vol. 32; No. 4; 1573-1607; <a href="https://doi.org/10.1093/rfs/hhy093">10.1093/rfs/hhy093</a></li>
<li>de Bodt, Eric and Cousin, Jean-Gabriel, el al. (2019) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190107-082540840">Improved method for detecting acquirer fixed effects</a>; Journal of Empirical Finance; Vol. 50; 20-42; <a href="https://doi.org/10.1016/j.jempfin.2018.12.003">10.1016/j.jempfin.2018.12.003</a></li>
<li>de Bodt, Eric and Cousin, Jean-Gabriel, el al. (2018) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20180822-105611868">Empirical Evidence of Overbidding in M&amp;A Contests</a>; Journal of Financial and Quantitative Analysis; Vol. 53; No. 4; 1547-1579; <a href="https://doi.org/10.1017/S0022109018000273">10.1017/S0022109018000273</a></li>
<li>Roll, Richard and Srivastava, Akshay (2018) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20180516-155907699">Mimicking Portfolios</a>; Journal of Portfolio Management; Vol. 44; No. 5; 21-35; <a href="https://doi.org/10.3905/jpm.2018.44.5.021">10.3905/jpm.2018.44.5.021</a></li>
<li>Plott, Charles R. and Roll, Richard, el al. (2018) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20191023-145648029">Tick Size, Price Grids and Market Performance: Stable Matches as a Model of Market Dynamics and Equilibrium</a>; <a href="https://doi.org/10.7907/as1az-qd784">10.7907/as1az-qd784</a></li>
<li>de Bodt, Eric and Cousin, Jean-Gabriel, el al. (2018) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20180321-105712130">Full-Stock-Payment Marginalization in Merger and Acquisition Transactions</a>; Management Science; Vol. 64; No. 2; 760-783; <a href="https://doi.org/10.1287/mnsc.2016.2635">10.1287/mnsc.2016.2635</a></li>
<li>Levy, Moshe and Roll, Richard (2018) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20180321-085712120">Generalized Performance Measures: Optimal Overweighing of Fees Relative to Sample Returns</a>; Journal of Portfolio Management; Vol. 44; No. 3; 66-75; <a href="https://doi.org/10.3905/jpm.2018.44.3.066">10.3905/jpm.2018.44.3.066</a></li>
<li>Pukthuanthong, Kuntara and Roll, Richard, el al. (2017) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20171128-144249809">A Protocol for Factor Identification</a>; <a href="https://doi.org/10.7907/124y0-gvg05">10.7907/124y0-gvg05</a></li>
<li>Levy, Moshe and Roll, Richard (2017) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20171103-131935396">Generalized Portfolio Performance Measures: Optimal Overweighting of Fees Relative to Sample Returns</a>; <a href="https://doi.org/10.7907/dg7d0-3g027">10.7907/dg7d0-3g027</a></li>
<li>de Bodt, Eric and Cousin, Jean-Gabriel, el al. (2016) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20170707-101356502">Empirical Evidence of Overbidding in M&amp;A Contests</a>; <a href="https://doi.org/10.7907/t9c90-47y20">10.7907/t9c90-47y20</a></li>
<li>Cotter, John and Gabriel, Stuart, el al. (2016) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20170707-102156656">Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World</a>; <a href="https://doi.org/10.7907/5e9f8-dp598">10.7907/5e9f8-dp598</a></li>
<li>Levy, Moshe and Roll, Richard (2016) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20171208-134855781">Seeking alpha? It's a bad guideline for portfolio optimization</a>; Journal of Portfolio Management; Vol. 42; No. 5; 107-112; <a href="https://doi.org/10.3905/jpm.2016.42.5.107">10.3905/jpm.2016.42.5.107</a></li>
<li>de Bodt, Eric and Cousin, Jean-Gabriel, el al. (2016) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20170726-084800488">Full Stock Payment Marginalization in M&amp;A Transactions</a>; <a href="https://doi.org/10.7907/n6h0d-41t82">10.7907/n6h0d-41t82</a></li>
<li>Aktas, Nihat and de Bodt, Eric, el al. (2016) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20160512-090418124">CEO Narcissism and the Takeover Process: From Private Initiation to Deal Completion</a>; Journal of Financial and Quantitative Analysis; Vol. 51; No. 1; 113-137; <a href="https://doi.org/10.1017/S0022109016000065">10.1017/S0022109016000065</a></li>
<li>de Bodt, Eric and Cousin, Jean-Gabriel, el al. (2016) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20170726-082321868">Improved Methods for Detecting Acquirer Skills</a>; <a href="https://doi.org/10.7907/ktv09-kht25">10.7907/ktv09-kht25</a></li>
<li>Levy, Moshe and Roll, Richard (2015) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20170726-105902733">Seeking Alpha? It's a Bad Guideline for Portfolio Optimization</a>; <a href="https://doi.org/10.7907/96363-0k862">10.7907/96363-0k862</a></li>
<li>Pukthuanthong, Kuntara and Roll, Richard (2015) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20170726-110645423">An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor</a>; <a href="https://doi.org/10.7907/b7hye-e5g06">10.7907/b7hye-e5g06</a></li>
<li>Cotter, John and Gabriel, Stuart, el al. (2015) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20150409-145316594">Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust</a>; Review of Financial Studies; Vol. 28; No. 3; 913-936; <a href="https://doi.org/10.1093/rfs/hhu085">10.1093/rfs/hhu085</a></li>
<li>Cotter, John and Roll, Richard (2015) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910290">A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics</a>; Real Estate Economics; Vol. 43; No. 1; 209-240; <a href="https://doi.org/10.1111/1540-6229.12059">10.1111/1540-6229.12059</a></li>
<li>DeAngelo, Harry and Roll, Richard (2015) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20150306-143946514">How Stable Are Corporate Capital Structures?</a>; Journal of Finance; Vol. 70; No. 1; 373-418; <a href="https://doi.org/10.1111/jofi.12163">10.1111/jofi.12163</a></li>
<li>Cotter, John and Gabriel, Stuart, el al. (2014) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20170726-112029656">Can Housing Risk be Diversified? A Cautionary Test from the Housing Boom and Bust</a>; <a href="https://doi.org/10.7907/mva5a-pt004">10.7907/mva5a-pt004</a></li>
<li>Roll, Richard and Schwartz, Eduardo, el al. (2014) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910190">Trading activity in the equity market and its contingent claims: An empirical investigation</a>; Journal of Empirical Finance; Vol. 28; 13-35; <a href="https://doi.org/10.1016/j.jempfin.2014.05.007">10.1016/j.jempfin.2014.05.007</a></li>
<li>Bongaerts, Dion and Roll, Richard, el al. (2014) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20170726-114925483">The Propagation of Shocks Across International Equity Markets: A Microstructure Perspective</a>; <a href="https://doi.org/10.7907/emqdm-bfm65">10.7907/emqdm-bfm65</a></li>
<li>Pukthuanthong, Kuntara and Roll, Richard, el al. (2014) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20170726-114922004">Resolving the Errors-in-Variables Bias in Risk Premium Estimation</a>; <a href="https://doi.org/10.7907/p4161-89e21">10.7907/p4161-89e21</a></li>
<li>de Bodt, Eric and Cousin, Jean-Gabriel, el al. (2014) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20170726-142038067">The Hubris Hypothesis: Empirical Evidence</a>; <a href="https://doi.org/10.7907/3mbyx-mv752">10.7907/3mbyx-mv752</a></li>
<li>Roll, Richard (2013) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190502-135903175">Volatility, Correlation, and Diversification in a Multi-Factor World</a>; Journal of Portfolio Management; Vol. 39; No. 2; 11-18; <a href="https://doi.org/10.3905/jpm.2013.39.2.011">10.3905/jpm.2013.39.2.011</a></li>
<li>Chowdhry, Bhagwan and Roll, Richard, el al. (2013) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910052">Development and freedom as risk management</a>; Finance Research Letters; Vol. 10; No. 3; 103-109; <a href="https://doi.org/10.1016/j.frl.2013.07.001">10.1016/j.frl.2013.07.001</a></li>
<li>Aktas, Nihat and de Bodt, Eric, el al. (2013) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190430-114941824">Learning from repetitive acquisitions: Evidence from the time between deals</a>; Journal of Financial Economics; Vol. 108; No. 1; 99-117; <a href="https://doi.org/10.1016/j.jfineco.2012.10.010">10.1016/j.jfineco.2012.10.010</a></li>
<li>Aktas, Nihat and de Bodt, Eric, el al. (2013) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190430-072342194">MicroHoo: Deal failure, industry rivalry, and sources of overbidding</a>; Journal of Corporate Finance; Vol. 19; 20-35; <a href="https://doi.org/10.1016/j.jcorpfin.2012.09.006">10.1016/j.jcorpfin.2012.09.006</a></li>
<li>Chordia, Tarun and Roll, Richard, el al. (2011) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190501-154250093">Recent trends in trading activity and market quality</a>; Journal of Financial Economics; Vol. 101; No. 2; 243-263; <a href="https://doi.org/10.1016/j.jfineco.2011.03.008">10.1016/j.jfineco.2011.03.008</a></li>
<li>Pukthuanthong, Kuntara and Roll, Richard (2011) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910554">Gold and the Dollar (and the Euro, Pound, and Yen)</a>; Journal of Banking and Finance; Vol. 35; No. 8; 2070-2083; <a href="https://doi.org/10.1016/j.jbankfin.2011.01.014">10.1016/j.jbankfin.2011.01.014</a></li>
<li>Roll, Richard (2011) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910463">&quot;The Possible Misdiagnosis of a Crisis&quot;: Author Response</a>; Financial Analysts Journal; Vol. 67; No. 3; 13-14; <a href="https://doi.org/10.2469/faj.v67.n3.10">10.2469/faj.v67.n3.10</a></li>
<li>Roll, Richard (2011) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910383">Possible Misdiagnosis of a Crisis</a>; Financial Analysts Journal; Vol. 67; No. 2; 12-17; <a href="https://doi.org/10.2469/faj.v67.n2.3">10.2469/faj.v67.n2.3</a></li>
<li>Aktas, Nihat and de Bodt, Eric, el al. (2011) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190501-083835069">Serial acquirer bidding: An empirical test of the learning hypothesis</a>; Journal of Corporate Finance; Vol. 17; No. 1; 18-32; <a href="https://doi.org/10.1016/j.jcorpfin.2010.07.002">10.1016/j.jcorpfin.2010.07.002</a></li>
<li>Aktas, Nihat and de Bodt, Eric, el al. (2010) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190502-160315019">Negotiations under the threat of an auction</a>; Journal of Financial Economics; Vol. 98; No. 2; 241-255; <a href="https://doi.org/10.1016/j.jfineco.2010.06.002">10.1016/j.jfineco.2010.06.002</a></li>
<li>Roll, Richard and Subrahmanyam, Avanidhar (2010) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910826">Liquidity skewness</a>; Journal of Banking and Finance; Vol. 34; No. 10; 2562-2571; <a href="https://doi.org/10.1016/j.jbankfin.2010.04.012">10.1016/j.jbankfin.2010.04.012</a></li>
<li>Levy, Moshe and Roll, Richard (2010) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190506-161021699">The Market Portfolio May Be Mean/Variance Efficient After All: The Market Portfolio</a>; Review of Financial Studies; Vol. 23; No. 6; 2464-2491; <a href="https://doi.org/10.1093/rfs/hhp119">10.1093/rfs/hhp119</a></li>
<li>Roll, Richard and Schwartz, Eduardo, el al. (2010) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190502-140828653">O/S: The relative trading activity in options and stock</a>; Journal of Financial Economics; Vol. 96; No. 1; 1-17; <a href="https://doi.org/10.1016/j.jfineco.2009.11.004">10.1016/j.jfineco.2009.11.004</a></li>
<li>Aktas, Nihat and de Bodt, Eric, el al. (2009) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190502-140153393">Learning, hubris and corporate serial acquisitions</a>; Journal of Corporate Finance; Vol. 15; No. 5; 543-561; <a href="https://doi.org/10.1016/j.jcorpfin.2009.01.006">10.1016/j.jcorpfin.2009.01.006</a></li>
<li>Roll, Richard and Schwartz, Eduardo, el al. (2009) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190501-111606029">Options trading activity and firm valuation</a>; Journal of Financial Economics; Vol. 94; No. 3; 345-360; <a href="https://doi.org/10.1016/j.jfineco.2009.02.002">10.1016/j.jfineco.2009.02.002</a></li>
<li>Pukthuanthong, Kuntara and Roll, Richard (2009) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190503-083946043">Global market integration: An alternative measure and its application</a>; Journal of Financial Economics; Vol. 94; No. 2; 214-232; <a href="https://doi.org/10.1016/j.jfineco.2008.12.004">10.1016/j.jfineco.2008.12.004</a></li>
<li>Chordia, Tarun and Roll, Richard, el al. (2008) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190430-103517828">Liquidity and market efficiency</a>; Journal of Financial Economics; Vol. 87; No. 2; 249-268; <a href="https://doi.org/10.1016/j.jfineco.2007.03.005">10.1016/j.jfineco.2007.03.005</a></li>
<li>Pukthuanthong, Kuntara and Roll, Richard, el al. (2007) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190503-125448764">How employee stock options and executive equity ownership affect long-term IPO operating performance</a>; Journal of Corporate Finance; Vol. 13; No. 5; 695-720; <a href="https://doi.org/10.1016/j.jcorpfin.2007.02.003">10.1016/j.jcorpfin.2007.02.003</a></li>
<li>Roll, Richard and Schwartz, Eduardo, el al. (2007) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190503-130118576">Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis</a>; Journal of Finance; Vol. 62; No. 5; 2201-2234; <a href="https://doi.org/10.1111/j.1540-6261.2007.01273.x">10.1111/j.1540-6261.2007.01273.x</a></li>
<li>Aktas, Nihat and de Bodt, Eric, el al. (2007) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190506-160356840">Is European M&amp;A Regulation Protectionist?</a>; Economic Journal; Vol. 117; No. 522; 1096-1121; <a href="https://doi.org/10.1111/j.1468-0297.2007.02068.x">10.1111/j.1468-0297.2007.02068.x</a></li>
<li>Elayan, Fayez A. and Pukthuanthong, Kuntara, el al. (2006) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190502-143835293">Investor Reaction to Inter-corporate Business Contracting: Evidence and Explanation</a>; Economic Notes; Vol. 35; No. 3; 253-291; <a href="https://doi.org/10.1111/j.1468-0300.2006.00166.x">10.1111/j.1468-0300.2006.00166.x</a></li>
<li>Lee, Yi-Tsung and Liu, Yu-Jane, el al. (2006) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910737">Taxes and dividend clientele: Evidence from trading and ownership structure</a>; Journal of Banking and Finance; Vol. 30; No. 1; 229-246; <a href="https://doi.org/10.1016/j.jbankfin.2005.03.009">10.1016/j.jbankfin.2005.03.009</a></li>
<li>Chordia, Tarun and Roll, Richard, el al. (2005) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190503-084316160">Evidence on the speed of convergence to market efficiency</a>; Journal of Financial Economics; Vol. 76; No. 2; 271-292; <a href="https://doi.org/10.1016/j.jfineco.2004.06.004">10.1016/j.jfineco.2004.06.004</a></li>
<li>Chowdhry, Bhagwan and Roll, Richard, el al. (2005) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190506-154424918">Extracting Inflation from Stock Returns to Test Purchasing Power Parity</a>; American Economic Review; Vol. 95; No. 1; 255-276; <a href="https://doi.org/10.1257/0002828053828554">10.1257/0002828053828554</a></li>
<li>Cornell, Bradford and Roll, Richard (2005) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910644">A Delegated-Agent Asset-Pricing Model</a>; Financial Analysts Journal; Vol. 61; No. 1; 57-69; <a href="https://doi.org/10.2469/faj.v61.n1.2684">10.2469/faj.v61.n1.2684</a></li>
<li>Aktas, Nihat and de Bodt, Eric, el al. (2004) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190506-153059185">Market Response to European Regulation of Business Combinations</a>; Journal of Financial and Quantitative Analysis; Vol. 39; No. 4; 731-757; <a href="https://doi.org/10.1017/S0022109000003197">10.1017/S0022109000003197</a></li>
<li>Lee, Yi-Tsung and Liu, Yu-Jane, el al. (2004) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190506-134646444">Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange</a>; Journal of Financial and Quantitative Analysis; Vol. 39; No. 2; 327-341; <a href="https://doi.org/10.1017/S0022109000003094">10.1017/S0022109000003094</a></li>
<li>Roll, Richard (2004) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190506-104550337">Empirical TIPS</a>; Financial Analysts Journal; Vol. 60; No. 1; 31-53; <a href="https://doi.org/10.2469/faj.v60.n1.2591">10.2469/faj.v60.n1.2591</a></li>
<li>Talbott, John and Roll, Richard (2003) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190503-080156029">Political Freedom, Economic Liberty, and Prosperity</a>; Journal of Democracy; Vol. 14; No. 3; 75-89</li>
<li>Roll, Richard (2003) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190501-105036203">Benefits to Homeowners from Mortgage Portfolios Retained by Fannie Mae and Freddie Mac</a>; Journal of Financial Services Research; Vol. 23; No. 1; 29-42; <a href="https://doi.org/10.1023/A:1022156110484">10.1023/A:1022156110484</a></li>
<li>Roll, Richard (2002) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911539">Remembering Mert</a>; Pacific-Basin Finance Journal; Vol. 10; No. 4; 353; <a href="https://doi.org/10.1016/s0927-538x(02)00062-8">10.1016/s0927-538x(02)00062-8</a></li>
<li>Chordia, Tarun and Roll, Richard, el al. (2002) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190501-103504927">Order imbalance, liquidity, and market returns</a>; Journal of Financial Economics; Vol. 65; No. 1; 111-130; <a href="https://doi.org/10.1016/S0304-405X(02)00136-8">10.1016/S0304-405X(02)00136-8</a></li>
<li>Roll, Richard (2002) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911451">Rational infinitely lived asset prices must be non-stationary</a>; Journal of Banking and Finance; Vol. 26; No. 6; 1093-1097; <a href="https://doi.org/10.1016/s0378-4266(02)00207-8">10.1016/s0378-4266(02)00207-8</a></li>
<li>Chakrabarti, Rajesh and Roll, Richard (2002) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911964">East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis</a>; Journal of Financial Markets; Vol. 5; No. 1; 1-30; <a href="https://doi.org/10.1016/s1386-4181(01)00022-2">10.1016/s1386-4181(01)00022-2</a></li>
<li>Marinelli, C. and Rachev, S. T., el al. (2001) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190502-141143200">Subordinated exchange rate models: evidence for heavy tailed distributions and long-range dependence</a>; Mathematical and Computer Modelling; Vol. 34; No. 9-11; 955-1001; <a href="https://doi.org/10.1016/S0895-7177(01)00113-3">10.1016/S0895-7177(01)00113-3</a></li>
<li>Chordia, Tarun and Roll, Richard, el al. (2001) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190502-161117822">Market Liquidity and Trading Activity</a>; Journal of Finance; Vol. 56; No. 2; 501-530; <a href="https://doi.org/10.1111/0022-1082.00335">10.1111/0022-1082.00335</a></li>
<li>Chordia, Tarun and Roll, Richard, el al. (2000) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911365">Co-Movements in Bid-Ask Spreads and Market Depth</a>; Financial Analysts Journal; Vol. 56; No. 5; 23-27; <a href="https://doi.org/10.2469/faj.v56.n5.2386">10.2469/faj.v56.n5.2386</a></li>
<li>Roll, Richard and Yan, Shu (2000) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190501-105813141">An explanation of the forward premium 'puzzle'</a>; European Financial Management; Vol. 6; No. 2; 121-148; <a href="https://doi.org/10.1111/1468-036X.00117">10.1111/1468-036X.00117</a></li>
<li>Chordia, Tarun and Roll, Richard, el al. (2000) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190502-140445478">Commonality in liquidity</a>; Journal of Financial Economics; Vol. 56; No. 1; 3-28; <a href="https://doi.org/10.1016/S0304-405X(99)00057-4">10.1016/S0304-405X(99)00057-4</a></li>
<li>Chakrabarti, Rajesh and Roll, Richard (1999) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911277">Learning from others, reacting, and market quality</a>; Journal of Financial Markets; Vol. 2; No. 2; 153-178; <a href="https://doi.org/10.1016/s1386-4181(98)00011-1">10.1016/s1386-4181(98)00011-1</a></li>
<li>Roll, Richard (1995) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911188">An empirical survey of Indonesian equities 1985–1992</a>; Pacific-Basin Finance Journal; Vol. 3; No. 2-3; 159-192; <a href="https://doi.org/10.1016/0927-538x(95)00009-a">10.1016/0927-538x(95)00009-a</a></li>
<li>Roll, Richard and Ross, Stephen A. (1994) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190506-162135861">On the Cross-sectional Relation between Expected Returns and Betas</a>; Journal of Finance; Vol. 49; No. 1; 101-121; <a href="https://doi.org/10.1111/j.1540-6261.1994.tb04422.x">10.1111/j.1540-6261.1994.tb04422.x</a></li>
<li>Roll, Richard (1992) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190506-161615328">Industrial Structure and the Comparative Behavior of International Stock Market Indices</a>; Journal of Finance; Vol. 47; No. 1; 3-41; <a href="https://doi.org/10.1111/j.1540-6261.1992.tb03977.x">10.1111/j.1540-6261.1992.tb03977.x</a></li>
<li>Roll, Richard (1989) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911102">Price volatility, international market links, and their implications for regulatory policies</a>; Journal of Financial Services Research; Vol. 3; No. 2-3; 211-246; <a href="https://doi.org/10.1007/bf00122803">10.1007/bf00122803</a></li>
<li>Roll, Richard (1988) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910927">R^2</a>; Journal of Finance; Vol. 43; No. 3; 541-566</li>
<li>Berk, Jonathan and Roll, Richard (1988) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911014">Adjustable Rate Mortgages: Valuation</a>; Journal of Real Estate Finance and Economics; Vol. 1; No. 2; 163-184; <a href="https://doi.org/10.1007/bf00152571">10.1007/bf00152571</a></li>
<li>French, Kenneth R. and Roll, Richard (1986) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190430-084744475">Stock return variances: The arrival of information and the reaction of traders</a>; Journal of Financial Economics; Vol. 17; No. 1; 5-26; <a href="https://doi.org/10.1016/0304-405X(86)90004-8">10.1016/0304-405X(86)90004-8</a></li>
<li>Roll, Richard (1985) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190502-111547387">A note on the geometry of Shanken's CSR T_2 test for mean/variance efficiency</a>; Journal of Financial Economics; Vol. 14; No. 3; 349-357; <a href="https://doi.org/10.1016/0304-405X(85)90003-0">10.1016/0304-405X(85)90003-0</a></li>
<li>Roll, Richard (1984) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190501-112416217">Orange Juice and Weather</a>; American Economic Review; Vol. 74; No. 5; 861-880</li>
<li>Roll, Richard (1984) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190501-103050384">A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market</a>; Journal of Finance; Vol. 39; No. 4; 1127-1139; <a href="https://doi.org/10.1111/j.1540-6261.1984.tb03897.x">10.1111/j.1540-6261.1984.tb03897.x</a></li>
<li>Roll, Richard and Ross, Stephen A. (1984) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145912058">A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply</a>; Journal of Finance; Vol. 39; No. 2; 347-350; <a href="https://doi.org/10.1111/j.1540-6261.1984.tb02313.x">10.1111/j.1540-6261.1984.tb02313.x</a></li>
<li>Geske, Robert and Roll, Richard (1984) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190507-082705503">On Valuing American Call Options with the Black‐Scholes European Formula</a>; Journal of Finance; Vol. 39; No. 2; 443-455; <a href="https://doi.org/10.1111/j.1540-6261.1984.tb02319.x">10.1111/j.1540-6261.1984.tb02319.x</a></li>
<li>Roll, Richard (1983) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190501-095527862">On computing mean returns and the small firm premium</a>; Journal of Financial Economics; Vol. 12; No. 3; 371-386; <a href="https://doi.org/10.1016/0304-405X(83)90055-7">10.1016/0304-405X(83)90055-7</a></li>
<li>Geske, Robert and Roll, Richard, el al. (1983) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190507-081911028">Over‐the‐Counter Option Market Dividend Protection and &quot;Biases&quot; in the Black‐Scholes Model: A Note</a>; Journal of Finance; Vol. 38; No. 4; 1271-1277; <a href="https://doi.org/10.1111/j.1540-6261.1983.tb02295.x">10.1111/j.1540-6261.1983.tb02295.x</a></li>
<li>Geske, Robert and Roll, Richard (1983) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190501-111951381">The Fiscal and Monetary Linkage between Stock Returns and Inflation</a>; Journal of Finance; Vol. 38; No. 1; 1-33; <a href="https://doi.org/10.1111/j.1540-6261.1983.tb03623.x">10.1111/j.1540-6261.1983.tb03623.x</a></li>
<li>Roll, Richard (1981) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190507-075933961">A Possible Explanation of the Small Firm Effect</a>; Journal of Finance; Vol. 36; No. 4; 879-888; <a href="https://doi.org/10.1111/j.1540-6261.1981.tb04890.x">10.1111/j.1540-6261.1981.tb04890.x</a></li>
<li>Roll, Richard (1980) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190507-074907427">Orthogonal Portfolios</a>; Journal of Financial and Quantitative Analysis; Vol. 15; No. 5; 1005-1023; <a href="https://doi.org/10.2307/2330169">10.2307/2330169</a></li>
<li>Roll, Richard and Ross, Stephen A. (1980) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190507-075335032">An Empirical Investigation of the Arbitrage Pricing Theory</a>; Journal of Finance; Vol. 35; No. 5; 1073-1103; <a href="https://doi.org/10.1111/j.1540-6261.1980.tb02197.x">10.1111/j.1540-6261.1980.tb02197.x</a></li>
<li>Roll, Richard (1979) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190430-080846265">A reply to Mayers and Rice (1979)</a>; Journal of Financial Economics; Vol. 7; No. 4; 391-400; <a href="https://doi.org/10.1016/0304-405X(79)90006-0">10.1016/0304-405X(79)90006-0</a></li>
<li>Roll, Richard and Solnik, Bruno (1979) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190430-084340399">On some parity conditions encountered frequently in international economics</a>; Journal of Macroeconomics; Vol. 1; No. 3; 267-283; <a href="https://doi.org/10.1016/0164-0704(79)90002-8">10.1016/0164-0704(79)90002-8</a></li>
<li>Roll, Richard (1978) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190506-142755778">Ambiguity when Performance is Measured by the Securities Market Line</a>; Journal of Finance; Vol. 33; No. 4; 1051-1069; <a href="https://doi.org/10.1111/j.1540-6261.1978.tb02047.x">10.1111/j.1540-6261.1978.tb02047.x</a></li>
<li>Roll, Richard and Ross, Stephen A. (1977) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190430-085620852">Comments on qualitative results for investment proportions</a>; Journal of Financial Economics; Vol. 5; No. 2; 265-268; <a href="https://doi.org/10.1016/0304-405X(77)90023-X">10.1016/0304-405X(77)90023-X</a></li>
<li>Roll, Richard (1977) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190430-084058956">An analytic valuation formula for unprotected American call options on stocks with known dividends</a>; Journal of Financial Economics; Vol. 5; No. 2; 251-258; <a href="https://doi.org/10.1016/0304-405X(77)90021-6">10.1016/0304-405X(77)90021-6</a></li>
<li>Roll, Richard and Solnik, Bruno (1977) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190430-085208870">A pure foreign exchange asset pricing model</a>; Journal of International Economics; Vol. 7; No. 2; 161-179; <a href="https://doi.org/10.1016/0022-1996(77)90029-0">10.1016/0022-1996(77)90029-0</a></li>
<li>Roll, Richard (1977) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190430-083759090">A critique of the asset pricing theory's tests. Part I: On past and potential testability of the theory</a>; Journal of Financial Economics; Vol. 4; No. 2; 129-176; <a href="https://doi.org/10.1016/0304-405X(77)90009-5">10.1016/0304-405X(77)90009-5</a></li>
<li>Farber, André and Roll, Richard, el al. (1977) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190430-090659101">An empirical study of risk under fixed and flexible exchange</a>; Carnegie-Rochester Conference Series on Public Policy; Vol. 5; 235-265; <a href="https://doi.org/10.1016/0167-2231(77)90011-2">10.1016/0167-2231(77)90011-2</a></li>
<li>Hinich, Melvin J. and Roll, Richard (1975) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-145912366">Measuring Nonstationarity in the Stochastic Process of Asset Returns</a>; Journal of Financial and Quantitative Analysis; Vol. 10; No. 4; 687; <a href="https://doi.org/10.2307/2330619">10.2307/2330619</a></li>
<li>Roll, Richard (1973) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190502-160721151">Evidence on the &quot;Growth-Optimum&quot; Model</a>; Journal of Finance; Vol. 28; No. 3; 551-566; <a href="https://doi.org/10.1111/j.1540-6261.1973.tb01378.x">10.1111/j.1540-6261.1973.tb01378.x</a></li>
<li>Roll, Richard (1972) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190426-160907197">Interest Rates and Price Expectations During the Civil War</a>; Journal of Economic History; Vol. 32; No. 2; 476-498; <a href="https://doi.org/10.1017/s0022050700067218">10.1017/s0022050700067218</a></li>
<li>Roll, Richard (1971) <a href="https://resolver.caltech.edu/CaltechAUTHORS:20190501-152328265">Investment Diversification and Bond Maturity</a>; Journal of Finance; Vol. 26; No. 1; 51-66; <a href="https://doi.org/10.2307/2325740">10.2307/2325740</a></li>
</ul>