Michael S. Rozeff

SUNY at Buffalo - Department of Financial & Managerial Economics

Professor Emeritus

Buffalo, NY 14260

United States

SCHOLARLY PAPERS

56

DOWNLOADS
Rank 648

SSRN RANKINGS

Top 648

in Total Papers Downloads

33,129

SSRN CITATIONS
Rank 1,638

SSRN RANKINGS

Top 1,638

in Total Papers Citations

192

CROSSREF CITATIONS

411

Scholarly Papers (56)

1.

Growth, Beta and Agency Costs as Determinants of Dividend Payout Ratios

Journal of Financial Research, Vol. 5, No. 3, pp. 249-259, Fall 1982
Number of pages: 11 Posted: 19 Oct 2005
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 10,548 (394)
Citation 116

Abstract:

Loading...

dividends, agency costs, dividend payout

2.

Dividend Yields are Equity Risk Premiums

Journal of Portfolio Management, pp. 68-75, Fall 1984
Number of pages: 8 Posted: 19 Oct 2005
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 2,638 (4,521)
Citation 9

Abstract:

Loading...

dividend yield, stock returns, constant growth model, risk premium

3.

Market Pricing Beyond the Efficient Market Hypothesis

Number of pages: 24 Posted: 06 Jun 2006 Last Revised: 02 Aug 2009
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 1,300 (14,559)

Abstract:

Loading...

Market pricing maxim, efficient market hypothesis, speculation, noise trading

4.

How Corporations Set Their Dividend Payout Ratios

Chase Financial Quarterly, pp. 69-83, Winter 1982
Number of pages: 15 Posted: 19 May 2006
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 1,195 (16,590)

Abstract:

Loading...

dividend policy, agency costs, ownership structure

5.

Market Efficiency and Insider Trading: New Evidence

Journal of Business, January, pp. 25-44, 1988
Number of pages: 20 Posted: 22 May 2006
Michael S. Rozeff and Mir A. Zaman
SUNY at Buffalo - Department of Financial & Managerial Economics and University of Northern Iowa - Department of Finance
Downloads 1,132 (17,974)
Citation 3

Abstract:

Loading...

insider trading, market efficiency, size and price/earnings effects

6.

Dividend Policies in Practice: Is There an Industry Effect?

Quarterly Journal of Business and Economics, Vol. 32, No. 4, Autumn 1993
Number of pages: 11 Posted: 23 May 2006
Stephen J. Dempsey, Gene Laber and Michael S. Rozeff
University of Vermont - School of Business Administration, affiliation not provided to SSRN and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 1,006 (21,444)
Citation 4

Abstract:

Loading...

dividend policy, industry effect

7.

Earnings Response Coefficient Models: Synthesis and Extensions

Number of pages: 23 Posted: 19 May 2006
Nandkumar Nayar and Michael S. Rozeff
Lehigh University - College of Business & Economics and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 962 (22,885)

Abstract:

Loading...

Earnings response coefficient, present value of dividends model

8.

Explaining Diversification with Gain and Loss

Number of pages: 29 Posted: 23 Apr 2002
Michael S. Rozeff and Philip F. O'Connor
SUNY at Buffalo - Department of Financial & Managerial Economics and University of Auckland - Department of Accounting and Finance
Downloads 787 (30,464)
Citation 1

Abstract:

Loading...

gain-loss, gain, loss, diversification, portfolio,

9.

Univariate Time-Series Models of Quarterly Accounting Earnings Per Share: A Proposed Model

Journal of Accounting Research, Vol. 17, No. 1, Spring 1979
Number of pages: 12 Posted: 23 May 2006
Lawrence D. Brown and Michael S. Rozeff
Temple University - Department of Accounting and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 738 (33,237)
Citation 1

Abstract:

Loading...

quarterly earnings per share model, accounting earnings model, time-series earnings model

10.

Industry Influence on Dividend Policy in a Firm-Specific Model

Number of pages: 12 Posted: 19 May 2006
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 637 (40,536)

Abstract:

Loading...

Dividend policy, payout, industry influence

11.

Lump-Sum Investing Versus Dollar-Averaging

Journal of Portfolio Management, pp. 45-50, Winter 1994
Number of pages: 6 Posted: 19 Oct 2005
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 618 (42,192)
Citation 3

Abstract:

Loading...

dollar-averaging, mean-variance efficiency

12.

Size and Earnings/Price Ratio Anomalies: One Effect or Two?

Journal of Financial and Quantitative Analysis, Vol. 19, No. 4, December 1984
Number of pages: 18 Posted: 23 May 2006
Thomas J. Cook and Michael S. Rozeff
University of Denver - Daniels College of Business and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 599 (43,985)
Citation 6

Abstract:

Loading...

anomalies, size effect, earnings/price ratio effect, January effect

13.

The Money Supply and the Stock Market

Financial Analysts Journal, pp. 18-26, September/October 1975
Number of pages: 7 Posted: 13 Oct 2005
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 584 (45,491)

Abstract:

Loading...

Efficient market, money supply, trading rules

14.

Volume, Volatility, Liquidity and Efficiency of the Singapore Stock Exchange Before and after Automation

Pacific-Basin Finance Journal, Vol. 2, 1994
Number of pages: 20 Posted: 23 May 2006
G. N. Naidu and Michael S. Rozeff
College of Business Finance, Insurance, and Law and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 575 (46,380)
Citation 3

Abstract:

Loading...

automated exchange, electronic trading, volume, bid-ask spread, liquidity, volatility

15.

The Economic Determinants of the Market Reaction to Proposed Mandatory Accounting Changes in the Oil and Gas Industry

Journal of Accounting and Economics, Vol. 3, 1981
Number of pages: 35 Posted: 23 May 2006
Daniel W. Collins, Michael S. Rozeff and Dan S. Dhaliwal
University of Iowa - Department of Accounting, SUNY at Buffalo - Department of Financial & Managerial Economics and University of Arizona - Department of Accounting (deceased)
Downloads 560 (48,018)

Abstract:

Loading...

contracting cost, full cost accounting, oil and gas industry, mandatory accounting change

16.

Gain-Loss Portfolio Theory

Number of pages: 50 Posted: 16 Oct 2000
Michael S. Rozeff and Philip F. O'Connor
SUNY at Buffalo - Department of Financial & Managerial Economics and University of Auckland - Department of Accounting and Finance
Downloads 535 (50,814)

Abstract:

Loading...

17.

The Three-Phase Dividend Discount Model and the Rope Model

Journal of Portfolio Management, pp. 36-42, Winter 1990
Number of pages: 7 Posted: 19 Oct 2005
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 521 (52,587)

Abstract:

Loading...

dividend discount model, three-phase model, stock valuation, return on equity, payout

18.

The Corporate Sell-Off

Midland Corporate Finance Journal, pp. 17-26, Summer 1984
Number of pages: 10 Posted: 19 May 2006
Scott C. Linn and Michael S. Rozeff
University of Oklahoma - Michael F. Price College of Business and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 505 (54,700)

Abstract:

Loading...

sell-offs, divestitures, synergy, mergers

19.

Money and Stock Prices

Journal of Financial Economics, Vol. 1, 1974
Number of pages: 58 Posted: 23 May 2006
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 503 (54,973)
Citation 1

Abstract:

Loading...

efficient market, money supply, trading rules

20.

Why Do Central Banks Exist?

Number of pages: 25 Posted: 07 Nov 2009
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 482 (58,063)
Citation 1

Abstract:

Loading...

Free market banking, central banking, medium of account, money, gold

21.

The Superiority of Analyst Forecasts as Measures of Expectations: Evidence from Earnings

Journal of Finance, Vol. 33, No. 1, March 1978
Number of pages: 16 Posted: 23 May 2006
Lawrence D. Brown and Michael S. Rozeff
Temple University - Department of Accounting and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 467 (60,382)
Citation 34

Abstract:

Loading...

earnings forecasts, security analyst forecasts, Box-Jenkins models

22.

Overreaction and Insider Trading: Evidence from Growth and Value Portfolios

Journal of Finance, Vol. 23, No. 2, April 1998
Number of pages: 16 Posted: 19 May 2006
Michael S. Rozeff and Mir A. Zaman
SUNY at Buffalo - Department of Financial & Managerial Economics and University of Northern Iowa - Department of Finance
Downloads 455 (62,363)
Citation 3

Abstract:

Loading...

Overreaction, growth, value, insider trading

23.

The Effect of Voluntary Spin-Offs on Stock Prices: The Anergy Hypothesis

Advances in Financial Planning and Forecasting, pp. 265-292, 1985
Number of pages: 27 Posted: 19 May 2006
Scott C. Linn and Michael S. Rozeff
University of Oklahoma - Michael F. Price College of Business and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 434 (65,984)

Abstract:

Loading...

spin-off, diseconomy, anergy, event study

24.

The Wealth Effects of Company Initiated Management Changes

Journal of Financial Economics, Vol. 18, 1987
Number of pages: 14 Posted: 23 May 2006
Eugene P. H. Furtado and Michael S. Rozeff
University of San Diego and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 401 (72,560)
Citation 10

Abstract:

Loading...

management changes, promotions, appointments, managerial labor market

25.

Adaptive Expectations, Time-Series Models, and Analyst Forecast Revision

Journal of Accounting Research, Vol. 17, No. 2, Autumn 1979
Number of pages: 12 Posted: 23 May 2006
Lawrence D. Brown and Michael S. Rozeff
Temple University - Department of Accounting and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 367 (80,453)

Abstract:

Loading...

analyst forecasts, earnings, adaptive expectations, earnings forecast errors

26.

The Relationship of Bond Betas to Bond Returns and Agency Ratings with a Test of the Capital Asset Pricing Model

Number of pages: 23 Posted: 19 May 2006
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 332 (90,231)

Abstract:

Loading...

capm estimation, bond betas, zero-beta return

27.

The Role of Outside Shareholders, Outside Boards, and Management Entrenchment in CEO Selection

Number of pages: 38 Posted: 19 May 2006
Sangsoo Park and Michael S. Rozeff
Kyunghee University and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 330 (90,854)
Citation 4

Abstract:

Loading...

Outside shareholders, management entrenchment, CEO selection

28.

Predicting Long-Term Earnings Growth: Comparisons of Expected Return Models, Submartingales and Value Line Analysts

Michael S. Rozeff, Predicting Long-Term Earnings Growth: Comparisons of Expected Return Models, Submartingales and Value Line Analysts, John Wiley & Sons Limited (Reproduced with permission), Vol. 2, No. 4, pp. 425-435, 1983
Number of pages: 11 Posted: 12 Oct 2005
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 292 (103,842)

Abstract:

Loading...

Earnings forecast, Value Line, Sharpe model

29.

Ratings, Commercial Paper, and Equity Returns

Journal of Finance, Vol. 49, No. 4, September 1994
Number of pages: 19 Posted: 19 May 2006
Nandkumar Nayar and Michael S. Rozeff
Lehigh University - College of Business & Economics and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 253 (120,795)

Abstract:

Loading...

Commercial paper, ratings, abnormal returns, letters of credit

30.

Modified Double Leverage - a New Approach

Public Utilities Fortnightly, pp. 31-36, March 31, 1983 (Posted with permission from the March 31, 1983 issue of Public Utilities Fortnightly. Public Utilities Reports, Inc. Copyright 1983. All rights reserved. Additional photocopying or electric transmission is prohibited.)
Number of pages: 6 Posted: 17 Oct 2005
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 236 (129,578)

Abstract:

Loading...

Rate regulation, cost of capital, double leverage

31.

Reflections on Insider Trading

Financial Analysts Journal, Vol. 45, No. 6, pp. 12-15, 1989
Number of pages: 4 Posted: 19 May 2006
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 227 (134,653)

Abstract:

Loading...

insider trading, securities regulation

32.

Closed-End Fund Discounts and Premiums

Pacific-Basin Capital Markets Research, Vol. 2, 1991
Number of pages: 20 Posted: 23 May 2006
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 226 (135,202)
Citation 2

Abstract:

Loading...

closed-end funds, discounts, market efficiency, open-ending

33.

The Predictive Value of Interim Reports for Improving Forecasts of Future Quarterly Earnings

The Accounting Review, Vol. 54, No. 3, July 1979
Number of pages: 8 Posted: 23 May 2006
Lawrence D. Brown and Michael S. Rozeff
Temple University - Department of Accounting and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 215 (141,874)
Citation 1

Abstract:

Loading...

earnings forecasts, quarterly earnings

34.

Insider Trading: What We Know and What We Don't Know

THE ETHICS OF ORGANIZATIONAL TRANSFORMATION: MERGERS, TAKEOVERS AND CORPORATE RESTRUCTURING, Quorum, 1988
Number of pages: 13 Posted: 23 May 2006
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 203 (149,657)

Abstract:

Loading...

insider trading, SEC, insider profits

35.

Are Gain and Loss Respectable?

Journal of Portfolio Management, pp. 61-69, Summer 2002
Number of pages: 9 Posted: 22 May 2006
Philip F. O'Connor and Michael S. Rozeff
University of Auckland - Department of Accounting and Finance and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 188 (160,790)

Abstract:

Loading...

gain, loss, diversification, capm

36.

Tax-Loss Selling: Evidence from December Stock Returns and Share Shifts

Number of pages: 37 Posted: 22 May 2006
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 179 (168,017)
Citation 3

Abstract:

Loading...

tax-loss selling, January effect, December effect, small firm effect

37.

The Crash of 1987: An Empirical Examination of Liquidity, Volatility, and Volume Across International Stock Markets

Pacific-Basin Capital Markets Research, Vol. 3, pp. 359-375, 1992
Number of pages: 17 Posted: 19 May 2006
G. N. Naidu and Michael S. Rozeff
College of Business Finance, Insurance, and Law and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 177 (169,757)

Abstract:

Loading...

Crash of 1987, Hong Kong market closing, liquidity, volatility, volume

38.

The Speed of Adjustment of Prices to Private Information: Empirical Tests

Journal of Financial Research, Vol. 18, No. 2, Summer 1995
Number of pages: 14 Posted: 23 May 2006
Ji-Chai Lin and Michael S. Rozeff
Hong Kong PolyU and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 167 (178,607)

Abstract:

Loading...

strong form efficiency, private information, speed of adjustment

39.

Coskewness, Dividend Yield and Capital Asset Pricing

Journal of Financial Research, Vol. VII, No. 3, Fall 1984
Number of pages: 11 Posted: 13 Oct 2005
Thomas J. Cook and Michael S. Rozeff
University of Denver - Daniels College of Business and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 163 (182,314)

Abstract:

Loading...

Asset Pricing, Skewness, Dividend Yield

40.

Variance, Return, and High-Low Price Spreads

Journal of Financial Research, Vol. 17, No. 3, Fall 1994
Number of pages: 19 Posted: 23 May 2006
Ji-Chai Lin and Michael S. Rozeff
Hong Kong PolyU and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 159 (186,244)

Abstract:

Loading...

variance, high-low spread, garch, volatility, stock returns

41.

The Sec's Rejection of SFAS No. 19: Tests of Market Price Reversal

The Accounting Review, Vol. 57, No. 1, pp. 1-17, January 1982
Number of pages: 17 Posted: 19 Oct 2005
Daniel W. Collins, Michael S. Rozeff and William K Salatka
University of Iowa - Department of Accounting, SUNY at Buffalo - Department of Financial & Managerial Economics and Wilfrid Laurier University - School of Business & Economics
Downloads 148 (197,661)

Abstract:

Loading...

full cost accounting, SFAS 19, oil and gas accounting

42.

Do Specialists' Short Sales Predict Returns?

Journal of Portfolio Management, pp. 59-63, Spring 1987
Number of pages: 5 Posted: 19 May 2006
Lyle Bowlin and Michael S. Rozeff
University of Iowa and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 131 (218,131)

Abstract:

Loading...

market inefficiency, abnormal returns, specialist short sales

43.

Capital Market Behavior and Operational Announcements of Layoffs, Operation Closings, and Pay Cuts

Review of Quantitative Finance and Accounting, Vol. 3, 1993
Number of pages: 17 Posted: 23 May 2006
Ji-Chai Lin and Michael S. Rozeff
Hong Kong PolyU and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 117 (237,558)
Citation 2

Abstract:

Loading...

operation closings, cost-cutting, layoffs, pay cuts, stock returns

44.

Stiglitz, Externality and Government

Number of pages: 7 Posted: 01 Jul 2009 Last Revised: 02 Jul 2009
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 114 (242,041)
Citation 1

Abstract:

Loading...

Stiglitz, externality, government, intervention, Pareto optimality

45.

Time-Stratified Estimates of Portfolio Betas and Their Effect on the Capital Asset Pricing Model

Number of pages: 22 Posted: 19 May 2006
William R. Kinney, Jr. and Michael S. Rozeff
University of Texas at Austin - Department of Accounting and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 110 (248,325)

Abstract:

Loading...

seasonality, beta estimation, capm, stratified samples

46.

Tests of the Efficient Market Model Using Aggregate Odd-Lot Data

Number of pages: 40 Posted: 13 Oct 2005
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 108 (251,512)

Abstract:

Loading...

odd-lot data, market efficiency, trading rules

47.

Stock Market Regulation in the Pacific Basin: Lessons from U.S. Experience

Pacific-Basin Capital Markets Research, Vol. 1, 1990
Number of pages: 11 Posted: 23 May 2006
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 98 (268,744)

Abstract:

Loading...

stock market regulation, SEC, mandatory disclosure, market failure, public choice theory

48.

Price Adjustment Delays and Arbitrage Costs: Evidence from the Behavior of Convertible Preferred Prices

Journal of Financial and Quantitative Analysis, Vol. 30, No. 1, March 1995
Number of pages: 21 Posted: 19 May 2006
Ji-Chai Lin and Michael S. Rozeff
Hong Kong PolyU and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 96 (272,297)

Abstract:

Loading...

arbitrage costs, price delays, convertible preferred

49.

The Crash in Perspective

Number of pages: 2 Posted: 19 May 2006
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 73 (321,923)
Citation 1

Abstract:

Loading...

crash of 1987, volatility, market efficiency

50.

Consumer Installment Credit: Identifying a Multiplicative Seasonal Model

Number of pages: 21 Posted: 19 May 2006
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 69 (331,985)

Abstract:

Loading...

Box-Jenkins models, consumer installment credit, identification

51.

Gain, Loss, and Two-State Modeling

Review of Quantitative Finance and Accounting, Vol. 18, pp. 39-58, 2002
Number of pages: 20 Posted: 18 Oct 2005
Philip F. O'Connor and Michael S. Rozeff
University of Auckland - Department of Accounting and Finance and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 62 (351,022)

Abstract:

Loading...

gain, loss, state prices, asset pricing

52.

The Association between Firm Risk and Wealth Transfers Due to Inflation

Journal of Financial and Quantitative Analysis, June 1977
Number of pages: 13 Posted: 23 May 2006
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 55 (372,180)

Abstract:

Loading...

beta coefficient, inflation, net debtor, operating leverage, financial leverage

53.

Expectations Data and the Predictive Value of Interim Reporting: A Comment

Journal of Accounting Research, Vol. 18, No. 1, Spring 1980
Number of pages: 12 Posted: 24 Apr 2008
Temple University - Department of Accounting, University of California at Los Angeles, SUNY at Buffalo - Department of Financial & Managerial Economics and affiliation not provided to SSRN
Downloads 52 (381,798)

Abstract:

Loading...

54.

Stock Splits: Evidence from Mutual Funds

Journal of Finance, Vol. 53, No. 1, pp. 335-349, February 1998
Posted: 19 May 2006
Michael S. Rozeff
SUNY at Buffalo - Department of Financial & Managerial Economics

Abstract:

Loading...

stock splits, mutual funds

55.

Long-Run Performance after Stock Splits: 1927 to 1996

Journal of Finance, Vol. 58, pp. 1063-1086, June 2003
Posted: 19 Aug 2003
Jinho Byun and Michael S. Rozeff
Ewha Womans University - College of Business Administration and SUNY at Buffalo - Department of Financial & Managerial Economics

Abstract:

Loading...

56.

Record Date, When-Issued and Ex-Date Effects in Stock Splits

Journal of Financial and Quantitative Analysis, March 2001
Posted: 05 Mar 2001
Michael S. Rozeff and Nandkumar Nayar
SUNY at Buffalo - Department of Financial & Managerial Economics and University of Oklahoma

Abstract:

Loading...