Roll, Richard W.

Combined from CaltechAUTHORS

• Roll, Richard and de Bodt, Eric, et el. (2022) Competition Shocks, rival reactions and return comovement; 10.7907/1m0m-4291
• Roll, Richard and de Bodt, Eric, et el. (2022) The (Un)intended Consequences of M&A Regulatory Enforcements; 10.7907/tjfh-3220
• Roll, Richard and Levy, Moshe (2022) The Shrinkage Adjusted Sharpe Ratio: An Improved Method for Mutual Fund Selection; 10.7907/dp22-zz84
• Bongaerts, Dion and Roll, Richard, et el. (2022) How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective; Management Science; Vol. 68; No. 4; 3071-3089; 10.1287/mnsc.2021.3979
• Roll, Richard (2021) The Efficient Frontier: A Note on the Curious Difference between Variance and Standard Deviation; Journal of Portfolio Management; Vol. 48; No. 1; 93-97; 10.3905/jpm.2021.1.300
• Roll, Richard (2021) The Efficient Frontier: A Note on the Curious Difference Between Variance and Standard Deviation; 10.7907/pr100-49531
• Plott, Charles and Roll, Richard, et el. (2019) Tick size, price grids and market performance: Stable matches as a model of market dynamics and equilibrium; Games and Economic Behavior; Vol. 118; 7-28; 10.1016/j.geb.2019.08.004
• Plott, Charles R. and Roll, Richard, et el. (2019) Tick Size, Price Grids and Market Performance: Stable Matches as a Model of Market Dynamics and Equilibrium; 10.7907/as1az-qd784
• Pukthuanthong, Kuntara and Roll, Richard, et el. (2019) Changing Expected Returns Can Induce Spurious Serial Correlation; 10.7907/1077w-2jx02
• Jegadeesh, Narasimhan and Noh, Joonki, et el. (2019) Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation; Journal of Financial Economics; Vol. 133; No. 2; 273-298; 10.1016/j.jfineco.2019.02.010
• Pukthuanthong, Kuntara and Roll, Richard, et el. (2019) A Protocol for Factor Identification; Review of Financial Studies; Vol. 32; No. 4; 1573-1607; 10.1093/rfs/hhy093
• de Bodt, Eric and Cousin, Jean-Gabriel, et el. (2019) Improved method for detecting acquirer fixed effects; Journal of Empirical Finance; Vol. 50; 20-42; 10.1016/j.jempfin.2018.12.003
• de Bodt, Eric and Cousin, Jean-Gabriel, et el. (2018) Empirical Evidence of Overbidding in M&A Contests; Journal of Financial and Quantitative Analysis; Vol. 53; No. 4; 1547-1579; 10.1017/S0022109018000273
• Roll, Richard and Srivastava, Akshay (2018) Mimicking Portfolios; Journal of Portfolio Management; Vol. 44; No. 5; 21-35; 10.3905/jpm.2018.44.5.021
• de Bodt, Eric and Cousin, Jean-Gabriel, et el. (2018) Full-Stock-Payment Marginalization in Merger and Acquisition Transactions; Management Science; Vol. 64; No. 2; 760-783; 10.1287/mnsc.2016.2635
• Levy, Moshe and Roll, Richard (2018) Generalized Performance Measures: Optimal Overweighing of Fees Relative to Sample Returns; Journal of Portfolio Management; Vol. 44; No. 3; 66-75; 10.3905/jpm.2018.44.3.066
• Pukthuanthong, Kuntara and Roll, Richard, et el. (2017) A Protocol for Factor Identification; 10.7907/124y0-gvg05
• Levy, Moshe and Roll, Richard (2017) Generalized Portfolio Performance Measures: Optimal Overweighting of Fees Relative to Sample Returns; 10.7907/dg7d0-3g027
• Cotter, John and Gabriel, Stuart, et el. (2017) Can Housing Risk be Diversified? A Cautionary Test from the Housing Boom and Bust; 10.7907/mva5a-pt004
• Levy, Moshe and Roll, Richard (2017) Seeking Alpha? It's a Bad Guideline for Portfolio Optimization; 10.7907/96363-0k862
• de Bodt, Eric and Cousin, Jean-Gabriel, et el. (2017) Full Stock Payment Marginalization in M&A Transactions; 10.7907/n6h0d-41t82
• Pukthuanthong, Kuntara and Roll, Richard, et el. (2017) Resolving the Errors-in-Variables Bias in Risk Premium Estimation; 10.7907/p4161-89e21
• de Bodt, Eric and Cousin, Jean-Gabriel, et el. (2017) The Hubris Hypothesis: Empirical Evidence; 10.7907/3mbyx-mv752
• Bongaerts, Dion and Roll, Richard, et el. (2017) The Propagation of Shocks Across International Equity Markets: A Microstructure Perspective; 10.7907/emqdm-bfm65
• de Bodt, Eric and Cousin, Jean-Gabriel, et el. (2017) Improved Methods for Detecting Acquirer Skills; 10.7907/ktv09-kht25
• Pukthuanthong, Kuntara and Roll, Richard (2017) An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor; 10.7907/b7hye-e5g06
• de Bodt, Eric and Cousin, Jean-Gabriel, et el. (2017) Empirical Evidence of Overbidding in M&A Contests; 10.7907/t9c90-47y20
• Cotter, John and Gabriel, Stuart, et el. (2017) Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World; 10.7907/5e9f8-dp598
• Levy, Moshe and Roll, Richard (2016) Seeking alpha? It's a bad guideline for portfolio optimization; Journal of Portfolio Management; Vol. 42; No. 5; 107-112; 10.3905/jpm.2016.42.5.107
• Aktas, Nihat and de Bodt, Eric, et el. (2016) CEO Narcissism and the Takeover Process: From Private Initiation to Deal Completion; Journal of Financial and Quantitative Analysis; Vol. 51; No. 1; 113-137; 10.1017/S0022109016000065
• Cotter, John and Roll, Richard (2015) A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics; Real Estate Economics; Vol. 43; No. 1; 209-240; 10.1111/1540-6229.12059
• Cotter, John and Gabriel, Stuart, et el. (2015) Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust; Review of Financial Studies; Vol. 28; No. 3; 913-936; 10.1093/rfs/hhu085
• DeAngelo, Harry and Roll, Richard (2015) How Stable Are Corporate Capital Structures?; Journal of Finance; Vol. 70; No. 1; 373-418; 10.1111/jofi.12163
• Roll, Richard and Schwartz, Eduardo, et el. (2014) Trading activity in the equity market and its contingent claims: An empirical investigation; Journal of Empirical Finance; Vol. 28; 13-35; 10.1016/j.jempfin.2014.05.007
• Roll, Richard (2013) Volatility, Correlation, and Diversification in a Multi-Factor World; Journal of Portfolio Management; Vol. 39; No. 2; 11-18; 10.3905/jpm.2013.39.2.011
• Chowdhry, Bhagwan and Roll, Richard, et el. (2013) Development and freedom as risk management; Finance Research Letters; Vol. 10; No. 3; 103-109; 10.1016/j.frl.2013.07.001
• Aktas, Nihat and de Bodt, Eric, et el. (2013) Learning from repetitive acquisitions: Evidence from the time between deals; Journal of Financial Economics; Vol. 108; No. 1; 99-117; 10.1016/j.jfineco.2012.10.010
• Aktas, Nihat and de Bodt, Eric, et el. (2013) MicroHoo: Deal failure, industry rivalry, and sources of overbidding; Journal of Corporate Finance; Vol. 19; 20-35; 10.1016/j.jcorpfin.2012.09.006
• Chordia, Tarun and Roll, Richard, et el. (2011) Recent trends in trading activity and market quality; Journal of Financial Economics; Vol. 101; No. 2; 243-263; 10.1016/j.jfineco.2011.03.008
• Pukthuanthong, Kuntara and Roll, Richard (2011) Gold and the Dollar (and the Euro, Pound, and Yen); Journal of Banking and Finance; Vol. 35; No. 8; 2070-2083; 10.1016/j.jbankfin.2011.01.014
• Roll, Richard (2011) "The Possible Misdiagnosis of a Crisis": Author Response; Financial Analysts Journal; Vol. 67; No. 3; 13-14; 10.2469/faj.v67.n3.10
• Roll, Richard (2011) Possible Misdiagnosis of a Crisis; Financial Analysts Journal; Vol. 67; No. 2; 12-17; 10.2469/faj.v67.n2.3
• Aktas, Nihat and de Bodt, Eric, et el. (2011) Serial acquirer bidding: An empirical test of the learning hypothesis; Journal of Corporate Finance; Vol. 17; No. 1; 18-32; 10.1016/j.jcorpfin.2010.07.002
• Aktas, Nihat and de Bodt, Eric, et el. (2010) Negotiations under the threat of an auction; Journal of Financial Economics; Vol. 98; No. 2; 241-255; 10.1016/j.jfineco.2010.06.002
• Roll, Richard and Subrahmanyam, Avanidhar (2010) Liquidity skewness; Journal of Banking and Finance; Vol. 34; No. 10; 2562-2571; 10.1016/j.jbankfin.2010.04.012
• Levy, Moshe and Roll, Richard (2010) The Market Portfolio May Be Mean/Variance Efficient After All: The Market Portfolio; Review of Financial Studies; Vol. 23; No. 6; 2464-2491; 10.1093/rfs/hhp119
• Roll, Richard and Schwartz, Eduardo, et el. (2010) O/S: The relative trading activity in options and stock; Journal of Financial Economics; Vol. 96; No. 1; 1-17; 10.1016/j.jfineco.2009.11.004
• Roll, Richard and Schwartz, Eduardo, et el. (2009) Options trading activity and firm valuation; Journal of Financial Economics; Vol. 94; No. 3; 345-360; 10.1016/j.jfineco.2009.02.002
• Aktas, Nihat and de Bodt, Eric, et el. (2009) Learning, hubris and corporate serial acquisitions; Journal of Corporate Finance; Vol. 15; No. 5; 543-561; 10.1016/j.jcorpfin.2009.01.006
• Pukthuanthong, Kuntara and Roll, Richard (2009) Global market integration: An alternative measure and its application; Journal of Financial Economics; Vol. 94; No. 2; 214-232; 10.1016/j.jfineco.2008.12.004
• Chordia, Tarun and Roll, Richard, et el. (2008) Liquidity and market efficiency; Journal of Financial Economics; Vol. 87; No. 2; 249-268; 10.1016/j.jfineco.2007.03.005
• Pukthuanthong, Kuntara and Roll, Richard, et el. (2007) How employee stock options and executive equity ownership affect long-term IPO operating performance; Journal of Corporate Finance; Vol. 13; No. 5; 695-720; 10.1016/j.jcorpfin.2007.02.003
• Roll, Richard and Schwartz, Eduardo, et el. (2007) Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis; Journal of Finance; Vol. 62; No. 5; 2201-2234; 10.1111/j.1540-6261.2007.01273.x
• Aktas, Nihat and de Bodt, Eric, et el. (2007) Is European M&A Regulation Protectionist?; Economic Journal; Vol. 117; No. 522; 1096-1121; 10.1111/j.1468-0297.2007.02068.x
• Elayan, Fayez A. and Pukthuanthong, Kuntara, et el. (2006) Investor Reaction to Inter-corporate Business Contracting: Evidence and Explanation; Economic Notes; Vol. 35; No. 3; 253-291; 10.1111/j.1468-0300.2006.00166.x
• Lee, Yi-Tsung and Liu, Yu-Jane, et el. (2006) Taxes and dividend clientele: Evidence from trading and ownership structure; Journal of Banking and Finance; Vol. 30; No. 1; 229-246; 10.1016/j.jbankfin.2005.03.009
• Chordia, Tarun and Roll, Richard, et el. (2005) Evidence on the speed of convergence to market efficiency; Journal of Financial Economics; Vol. 76; No. 2; 271-292; 10.1016/j.jfineco.2004.06.004
• Chowdhry, Bhagwan and Roll, Richard, et el. (2005) Extracting Inflation from Stock Returns to Test Purchasing Power Parity; American Economic Review; Vol. 95; No. 1; 255-276; 10.1257/0002828053828554
• Cornell, Bradford and Roll, Richard (2005) A Delegated-Agent Asset-Pricing Model; Financial Analysts Journal; Vol. 61; No. 1; 57-69; 10.2469/faj.v61.n1.2684
• Aktas, Nihat and de Bodt, Eric, et el. (2004) Market Response to European Regulation of Business Combinations; Journal of Financial and Quantitative Analysis; Vol. 39; No. 4; 731-757; 10.1017/S0022109000003197
• Lee, Yi-Tsung and Liu, Yu-Jane, et el. (2004) Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange; Journal of Financial and Quantitative Analysis; Vol. 39; No. 2; 327-341; 10.1017/S0022109000003094
• Roll, Richard (2004) Empirical TIPS; Financial Analysts Journal; Vol. 60; No. 1; 31-53; 10.2469/faj.v60.n1.2591
• Talbott, John and Roll, Richard (2003) Political Freedom, Economic Liberty, and Prosperity; Journal of Democracy; Vol. 14; No. 3; 75-89
• Roll, Richard (2003) Benefits to Homeowners from Mortgage Portfolios Retained by Fannie Mae and Freddie Mac; Journal of Financial Services Research; Vol. 23; No. 1; 29-42; 10.1023/A:1022156110484
• Roll, Richard (2002) Remembering Mert; Pacific-Basin Finance Journal; Vol. 10; No. 4; 353; 10.1016/s0927-538x(02)00062-8
• Chordia, Tarun and Roll, Richard, et el. (2002) Order imbalance, liquidity, and market returns; Journal of Financial Economics; Vol. 65; No. 1; 111-130; 10.1016/S0304-405X(02)00136-8
• Roll, Richard (2002) Rational infinitely lived asset prices must be non-stationary; Journal of Banking and Finance; Vol. 26; No. 6; 1093-1097; 10.1016/s0378-4266(02)00207-8
• Chakrabarti, Rajesh and Roll, Richard (2002) East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis; Journal of Financial Markets; Vol. 5; No. 1; 1-30; 10.1016/s1386-4181(01)00022-2
• Marinelli, C. and Rachev, S. T., et el. (2001) Subordinated exchange rate models: evidence for heavy tailed distributions and long-range dependence; Mathematical and Computer Modelling; Vol. 34; No. 9-11; 955-1001; 10.1016/S0895-7177(01)00113-3
• Chordia, Tarun and Roll, Richard, et el. (2001) Market Liquidity and Trading Activity; Journal of Finance; Vol. 56; No. 2; 501-530; 10.1111/0022-1082.00335
• Chordia, Tarun and Roll, Richard, et el. (2000) Co-Movements in Bid-Ask Spreads and Market Depth; Financial Analysts Journal; Vol. 56; No. 5; 23-27; 10.2469/faj.v56.n5.2386
• Roll, Richard and Yan, Shu (2000) An explanation of the forward premium 'puzzle'; European Financial Management; Vol. 6; No. 2; 121-148; 10.1111/1468-036X.00117
• Chordia, Tarun and Roll, Richard, et el. (2000) Commonality in liquidity; Journal of Financial Economics; Vol. 56; No. 1; 3-28; 10.1016/S0304-405X(99)00057-4
• Chakrabarti, Rajesh and Roll, Richard (1999) Learning from others, reacting, and market quality; Journal of Financial Markets; Vol. 2; No. 2; 153-178; 10.1016/s1386-4181(98)00011-1
• Roll, Richard (1995) An empirical survey of Indonesian equities 1985–1992; Pacific-Basin Finance Journal; Vol. 3; No. 2-3; 159-192; 10.1016/0927-538x(95)00009-a
• Roll, Richard and Ross, Stephen A. (1994) On the Cross-sectional Relation between Expected Returns and Betas; Journal of Finance; Vol. 49; No. 1; 101-121; 10.1111/j.1540-6261.1994.tb04422.x
• Roll, Richard (1992) Industrial Structure and the Comparative Behavior of International Stock Market Indices; Journal of Finance; Vol. 47; No. 1; 3-41; 10.1111/j.1540-6261.1992.tb03977.x
• Roll, Richard (1989) Price volatility, international market links, and their implications for regulatory policies; Journal of Financial Services Research; Vol. 3; No. 2-3; 211-246; 10.1007/bf00122803
• Roll, Richard (1988) R^2; Journal of Finance; Vol. 43; No. 3; 541-566
• Berk, Jonathan and Roll, Richard (1988) Adjustable Rate Mortgages: Valuation; Journal of Real Estate Finance and Economics; Vol. 1; No. 2; 163-184; 10.1007/bf00152571
• French, Kenneth R. and Roll, Richard (1986) Stock return variances: The arrival of information and the reaction of traders; Journal of Financial Economics; Vol. 17; No. 1; 5-26; 10.1016/0304-405X(86)90004-8
• Roll, Richard (1985) A note on the geometry of Shanken's CSR T_2 test for mean/variance efficiency; Journal of Financial Economics; Vol. 14; No. 3; 349-357; 10.1016/0304-405X(85)90003-0
• Roll, Richard (1984) Orange Juice and Weather; American Economic Review; Vol. 74; No. 5; 861-880
• Roll, Richard (1984) A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market; Journal of Finance; Vol. 39; No. 4; 1127-1139; 10.1111/j.1540-6261.1984.tb03897.x
• Roll, Richard and Ross, Stephen A. (1984) A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply; Journal of Finance; Vol. 39; No. 2; 347-350; 10.1111/j.1540-6261.1984.tb02313.x
• Geske, Robert and Roll, Richard (1984) On Valuing American Call Options with the Black‐Scholes European Formula; Journal of Finance; Vol. 39; No. 2; 443-455; 10.1111/j.1540-6261.1984.tb02319.x
• Roll, Richard (1983) On computing mean returns and the small firm premium; Journal of Financial Economics; Vol. 12; No. 3; 371-386; 10.1016/0304-405X(83)90055-7
• Geske, Robert and Roll, Richard, et el. (1983) Over‐the‐Counter Option Market Dividend Protection and "Biases" in the Black‐Scholes Model: A Note; Journal of Finance; Vol. 38; No. 4; 1271-1277; 10.1111/j.1540-6261.1983.tb02295.x
• Geske, Robert and Roll, Richard (1983) The Fiscal and Monetary Linkage between Stock Returns and Inflation; Journal of Finance; Vol. 38; No. 1; 1-33; 10.1111/j.1540-6261.1983.tb03623.x
• Roll, Richard (1981) A Possible Explanation of the Small Firm Effect; Journal of Finance; Vol. 36; No. 4; 879-888; 10.1111/j.1540-6261.1981.tb04890.x
• Roll, Richard and Ross, Stephen A. (1980) An Empirical Investigation of the Arbitrage Pricing Theory; Journal of Finance; Vol. 35; No. 5; 1073-1103; 10.1111/j.1540-6261.1980.tb02197.x
• Roll, Richard (1980) Orthogonal Portfolios; Journal of Financial and Quantitative Analysis; Vol. 15; No. 5; 1005-1023; 10.2307/2330169
• Roll, Richard (1979) A reply to Mayers and Rice (1979); Journal of Financial Economics; Vol. 7; No. 4; 391-400; 10.1016/0304-405X(79)90006-0
• Roll, Richard and Solnik, Bruno (1979) On some parity conditions encountered frequently in international economics; Journal of Macroeconomics; Vol. 1; No. 3; 267-283; 10.1016/0164-0704(79)90002-8
• Roll, Richard (1978) Ambiguity when Performance is Measured by the Securities Market Line; Journal of Finance; Vol. 33; No. 4; 1051-1069; 10.1111/j.1540-6261.1978.tb02047.x
• Roll, Richard and Ross, Stephen A. (1977) Comments on qualitative results for investment proportions; Journal of Financial Economics; Vol. 5; No. 2; 265-268; 10.1016/0304-405X(77)90023-X
• Roll, Richard (1977) An analytic valuation formula for unprotected American call options on stocks with known dividends; Journal of Financial Economics; Vol. 5; No. 2; 251-258; 10.1016/0304-405X(77)90021-6
• Roll, Richard and Solnik, Bruno (1977) A pure foreign exchange asset pricing model; Journal of International Economics; Vol. 7; No. 2; 161-179; 10.1016/0022-1996(77)90029-0
• Roll, Richard (1977) A critique of the asset pricing theory's tests. Part I: On past and potential testability of the theory; Journal of Financial Economics; Vol. 4; No. 2; 129-176; 10.1016/0304-405X(77)90009-5
• Farber, André and Roll, Richard, et el. (1977) An empirical study of risk under fixed and flexible exchange; Carnegie-Rochester Conference Series on Public Policy; Vol. 5; 235-265; 10.1016/0167-2231(77)90011-2
• Hinich, Melvin J. and Roll, Richard (1975) Measuring Nonstationarity in the Stochastic Process of Asset Returns; Journal of Financial and Quantitative Analysis; Vol. 10; No. 4; 687; 10.2307/2330619
• Roll, Richard (1973) Evidence on the "Growth-Optimum" Model; Journal of Finance; Vol. 28; No. 3; 551-566; 10.1111/j.1540-6261.1973.tb01378.x
• Roll, Richard (1972) Interest Rates and Price Expectations During the Civil War; Journal of Economic History; Vol. 32; No. 2; 476-498; 10.1017/s0022050700067218
• Roll, Richard (1971) Investment Diversification and Bond Maturity; Journal of Finance; Vol. 26; No. 1; 51-66; 10.2307/2325740