Michael S. Rozeff

SUNY at Buffalo - Department of Financial & Managerial Economics

Professor Emeritus

Buffalo, NY 14260

United States

  • SUNY at Buffalo - Department of Financial & Managerial Economics

SCHOLARLY PAPERS

56

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Top 2,068

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348

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408

Scholarly Papers (56)

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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 12,037 (670)
Citation 130

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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 3,425 (5,792)
Citation 18

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

3.

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 1,402 (23,557)
Citation 30

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

4.

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 1,394 (23,772)

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

5.

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 1,307 (26,124)

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dividend policy, agency costs, ownership structure

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 1,074 (34,707)
Citation 4

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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 995 (38,668)

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Earnings response coefficient, present value of dividends model

8.

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 938 (42,074)
Citation 3

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dollar-averaging, mean-variance efficiency

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 826 (50,136)
Citation 3

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

10.

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 Waikato - Management School
Downloads 815 (51,073)
Citation 1

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

11.

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 700 (62,551)
Citation 2

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Dividend policy, payout, industry influence

12.

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 697 (62,910)

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sell-offs, divestitures, synergy, mergers

13.

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 673 (65,801)
Citation 1

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

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 660 (67,444)
Citation 6

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

15.

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 645 (69,497)
Citation 9

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

16.

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 623 (72,567)

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

17.

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 613 (74,057)

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Efficient market, money supply, trading rules

18.

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 598 (76,376)
Citation 1

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efficient market, money supply, trading rules

19.

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 593 (77,192)
Citation 2

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

20.

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 Waikato - Management School
Downloads 566 (81,772)

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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 555 (83,852)
Citation 59

Abstract:

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earnings forecasts, security analyst forecasts, Box-Jenkins models

22.

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 550 (84,775)

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spin-off, diseconomy, anergy, event study

23.

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 533 (88,141)
Citation 26

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Overreaction, growth, value, insider trading

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 520 (90,902)
Citation 14

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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 406 (121,955)
Citation 1

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analyst forecasts, earnings, adaptive expectations, earnings forecast errors

26.

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 389 (129,141)
Citation 4

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Outside shareholders, management entrenchment, CEO selection

27.

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 359 (140,110)
Citation 1

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capm estimation, bond betas, zero-beta return

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 315 (161,177)

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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 290 (175,817)
Citation 1

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Commercial paper, ratings, abnormal returns, letters of credit

30.

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 274 (186,283)

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insider trading, securities regulation

31.

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 267 (191,215)

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Rate regulation, cost of capital, double leverage

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 258 (197,888)
Citation 2

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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 230 (221,366)
Citation 6

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earnings forecasts, quarterly earnings

34.

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 227 (224,244)
Citation 6

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

35.

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 219 (231,971)

Abstract:

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insider trading, SEC, insider profits

36.

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 Waikato - Management School and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 209 (242,161)

Abstract:

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gain, loss, diversification, capm

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 199 (253,346)

Abstract:

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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 189 (265,389)

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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 182 (274,319)

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Asset Pricing, Skewness, Dividend Yield

40.

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 178 (279,751)

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full cost accounting, SFAS 19, oil and gas accounting

41.

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 177 (281,132)

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

42.

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 175 (283,923)
Citation 1

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Stiglitz, externality, government, intervention, Pareto optimality

43.

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 166 (296,987)

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market inefficiency, abnormal returns, specialist short sales

44.

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 149 (325,196)
Citation 3

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

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 133 (355,572)
Citation 1

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seasonality, beta estimation, capm, stratified samples

46.

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 123 (377,078)

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arbitrage costs, price delays, convertible preferred

47.

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 121 (381,698)

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odd-lot data, market efficiency, trading rules

48.

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 118 (388,744)

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

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 84 (488,810)
Citation 1

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crash of 1987, volatility, market efficiency

50.

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 Waikato - Management School and SUNY at Buffalo - Department of Financial & Managerial Economics
Downloads 83 (492,192)

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gain, loss, state prices, asset pricing

51.

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 79 (506,737)

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Box-Jenkins models, consumer installment credit, identification

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 75 (522,125)

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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
Lawrence D. Brown, John S. Hughes, Michael S. Rozeff and James H. Vanderweide
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 60 (587,188)
Citation 1

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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

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stock splits, mutual funds

55.

Long-Run Performance after Stock Splits: 1927 to 1996

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

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56.

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

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

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