Richard Roll

California Institute of Technology

Linde Institute Professor of Finance

1200 East California Blvd

Mail Code: 228-77

Pasadena, CA 91125

United States

  • California Institute of Technology

    • Email
    • Tel: 626-395-3890
    • Fax: 310-836-3532
SCHOLARLY PAPERS

67

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177

Scholarly Papers (67)

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1.

Market Liquidity and Trading Activity

Number of pages: 45 Posted: 24 Aug 2000
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 3,090 (7,112)
Citation 25

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Liquidity, spreads, depths, trading activity, transactions data

2.

A Protocol for Factor Identification

Downloads 2,728 ( 8,583)
Citation 38

A Protocol for Factor Identification

Forthcoming, Review of Financial Studies
Number of pages: 64 Posted: 14 Jul 2018
Kuntara Pukthuanthong, Richard Roll and Avanidhar Subrahmanyam
University of Missouri, Columbia, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 972 (40,744)
Citation 25

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factor, risk factor, risk premium, protocol, select factors

A Protocol for Factor Identification

Review of Financial Studies, Forthcoming
Number of pages: 50 Posted: 24 Jul 2017 Last Revised: 17 Jun 2018
Kuntara Pukthuanthong, Richard Roll and Avanidhar Subrahmanyam
University of Missouri, Columbia, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 712 (62,345)
Citation 6

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Factors, Factor Identification, Principle Components, Cross-Sectional Regression, Return Variation, Error-In-Variable Problem

A Protocol for Factor Identification

Number of pages: 47 Posted: 20 Oct 2013 Last Revised: 19 Jun 2018
Kuntara Pukthuanthong and Richard Roll
University of Missouri, Columbia and California Institute of Technology
Downloads 583 (80,365)

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A Protocol for Factor Identification

Number of pages: 47 Posted: 05 Nov 2014
Kuntara Pukthuanthong and Richard Roll
University of Missouri, Columbia and California Institute of Technology
Downloads 461 (107,433)
Citation 8

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3.

How Stable are Corporate Capital Structures?

Journal of Finance, Forthcoming
Number of pages: 50 Posted: 19 Mar 2011 Last Revised: 22 Aug 2013
Harry DeAngelo and Richard Roll
University of Southern California - Marshall School of Business - Finance and Business Economics Department and California Institute of Technology
Downloads 2,418 (10,397)
Citation 77

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capital structure stability, leverage target, leverage persistence

4.

CEO Narcissism and the Takeover Process: From Private Initiation to Deal Completion

AFA 2012 Chicago Meetings Paper
Number of pages: 42 Posted: 14 Mar 2011 Last Revised: 24 May 2012
Nihat Aktas, Eric de Bodt, Helen Bollaert and Richard Roll
WHU - Otto Beisheim School of Management, NHH, SKEMA Business School and California Institute of Technology
Downloads 2,417 (10,397)
Citation 46

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mergers and acquisitions, takeover process, CEO, narcissism, hubris, overconfidence

5.

Commonality in Liquidity

Downloads 2,343 (10,963)
Citation 123

Commonality in Liquidity

Number of pages: 43 Posted: 16 Mar 1999
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 2,343 (10,756)
Citation 123

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Commonality in Liquidity

Journal of Financial Economics
Posted: 31 Jan 2000
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology

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6.

Liquidity and Market Efficiency

Number of pages: 46 Posted: 04 Sep 2005
Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam
Emory University - Department of Finance, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,820 (16,378)
Citation 47

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Market efficiency, liquidity, order imbalance

7.

Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation

Downloads 1,504 (22,044)
Citation 37

Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 86 Posted: 11 Jan 2017 Last Revised: 06 Aug 2018
Narasimhan Jegadeesh, Joonki Noh, Kuntara Pukthuanthong, Richard Roll and Junbo L. Wang
Emory University - Department of Finance, Case Western Reserve University - Department of Banking and Finance, University of Missouri, Columbia, California Institute of Technology and Louisiana State University, Baton Rouge
Downloads 1,123 (33,304)
Citation 31

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Risk Premium Estimation, Errors-in-Variables Bias, Instrumental Variables, Individual Stocks, Asset Pricing Models

Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation

Number of pages: 67 Posted: 24 Sep 2015
Narasimhan Jegadeesh, Joonki Noh, Kuntara Pukthuanthong, Richard Roll and Junbo L. Wang
Emory University - Department of Finance, Case Western Reserve University - Department of Banking and Finance, University of Missouri, Columbia, California Institute of Technology and Louisiana State University, Baton Rouge
Downloads 381 (134,213)
Citation 8

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Risk Premium Estimation, Errors-in-Variables Bias, Instrumental Variables, Individual Stocks, Asset Pricing Models

8.

Evidence on the Speed of Convergence to Market Efficiency

Downloads 1,453 (23,029)

Evidence on the Speed of Convergence to Market Efficiency

UCLA Working Paper
Number of pages: 48 Posted: 09 Sep 2001
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 1,453 (22,723)
Citation 63

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Evidence on the Speed of Convergence to Market Efficiency

Posted: 06 Oct 2004
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology

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Market efficiency, order imbalances, autocorrelations

9.

A New Method for Factor-Mimicking Portfolio Construction

Number of pages: 79 Posted: 18 Mar 2019 Last Revised: 14 Apr 2022
Kuntara Pukthuanthong, Richard Roll, Junbo L. Wang and Tengfei Zhang
University of Missouri, Columbia, California Institute of Technology, Louisiana State University, Baton Rouge and Rutgers University - Rutgers School of Business-Camden
Downloads 1,439 (23,523)

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factor-mimicking portfolios, nontraded factors, risk premium

10.

Orderimbalance, Liquidity and Market Returns

Number of pages: 35 Posted: 08 May 2001
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 1,275 (28,087)
Citation 4

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Order Imbalance, Liquidity, Trading Volume, Transactions

11.

Liquidity and the Law of One Price: The Case of the Cash/Futures Basis

Number of pages: 50 Posted: 09 Nov 2004
Eduardo S. Schwartz, Eduardo S. Schwartz, Richard Roll and Avanidhar Subrahmanyam
Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,169 (31,866)
Citation 35

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Market efficiency, liquidity, arbitrage

12.

Corporate Serial Acquisitions: An Empirical Test of the Learning Hypothesis

Downloads 1,072 (36,074)
Citation 16

Corporate Serial Acquisitions: An Empirical Test of the Learning Hypothesis

Number of pages: 50 Posted: 22 Feb 2006 Last Revised: 21 Feb 2008
Nihat Aktas, Eric de Bodt and Richard Roll
WHU - Otto Beisheim School of Management, NHH and California Institute of Technology
Downloads 675 (66,780)
Citation 6

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Learning, Hubris, CAR, M&A program, merger, acquisition

Serial Acquirer Bidding: An Empirical Test of the Learning Hypothesis

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI, Journal of Corporate Finance, Forthcoming
Number of pages: 37 Posted: 07 Oct 2009 Last Revised: 23 Oct 2010
Nihat Aktas, Eric de Bodt and Richard Roll
WHU - Otto Beisheim School of Management, NHH and California Institute of Technology
Downloads 397 (128,437)
Citation 15

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Acquisitions program, Learning, Hubris, Bid premium

13.

Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World

Downloads 1,027 (38,354)
Citation 9

Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World

Number of pages: 57 Posted: 14 Oct 2016
John Cotter, Stuart A. Gabriel and Richard Roll
University College Dublin, University of California, Los Angeles - Anderson School of Management and California Institute of Technology
Downloads 541 (88,357)
Citation 3

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Asset Return Integration and Diversification, Equities, Fixed Income, Real Estate

Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-3
Number of pages: 70 Posted: 09 May 2018
John Cotter, Stuart Gabriel and Richard Roll
University College Dublin, University of California, Los Angeles (UCLA) and California Institute of Technology
Downloads 486 (101,105)
Citation 6

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asset return integration and diversification, equities, fixed income, real estate, economic development

14.

O/S: The Relative Trading Activity in Options and Stock

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 52 Posted: 28 May 2009 Last Revised: 02 Oct 2009
Richard Roll, Eduardo S. Schwartz, Eduardo S. Schwartz and Avanidhar Subrahmanyam
California Institute of Technology, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,005 (39,521)
Citation 12

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derivatives volume, stock volume, market efficiency

15.

Why Many Developing Countries Just Aren't

The Anderson School at UCLA, Finance Working Paper No. 19-01
Number of pages: 55 Posted: 04 Dec 2001
John Talbott and Richard Roll
Global Development Group and California Institute of Technology
Downloads 930 (44,028)
Citation 14

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country wealth, economic development, political conditions for growth

16.

Recent Trends in Trading Activity

AFA 2010 Atlanta Meetings Paper
Number of pages: 58 Posted: 19 Mar 2009 Last Revised: 19 Jan 2010
Richard Roll, Avanidhar Subrahmanyam and Tarun Chordia
California Institute of Technology, University of California, Los Angeles (UCLA) - Finance Area and Emory University - Department of Finance
Downloads 883 (47,278)

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Trading Volume, Turnover, Liquidity, Institutions, Hedge Funds

17.

Learning, Hubris and Corporate Serial Acquisitions

EFA 2007 Ljubljana Meetings Paper
Number of pages: 47 Posted: 17 May 2005
Nihat Aktas, Eric de Bodt and Richard Roll
WHU - Otto Beisheim School of Management, NHH and California Institute of Technology
Downloads 880 (47,496)
Citation 7

Abstract:

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hubris, learning, mergers and acquisitions, CEO, CAR

18.

Is European M&A Regulation Protectionist?

EFA 2004 Maastricht Meetings Paper No. 2318
Number of pages: 46 Posted: 22 Jul 2004
Nihat Aktas, Eric de Bodt and Richard Roll
WHU - Otto Beisheim School of Management, NHH and California Institute of Technology
Downloads 840 (50,625)
Citation 7

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merger and acquisition regulation protectionism

19.

Recent Trends in Trading Activity and Market Quality

UCLA Working Paper, Emory Law and Economics Research Paper No. 10-88
Number of pages: 57 Posted: 31 Oct 2010 Last Revised: 29 May 2012
Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam
Emory University - Department of Finance, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 814 (52,873)
Citation 60

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Trading Volume, Market Quality, Trading Costs, Efficiency

20.

Market Response to European Regulation of Business Combinations

UCLA Working Paper 12-01; EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 46 Posted: 12 Nov 2001
Nihat Aktas, Eric de Bodt and Richard Roll
WHU - Otto Beisheim School of Management, NHH and California Institute of Technology
Downloads 725 (61,708)
Citation 28

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21.

Negotiations Under the Threat of an Auction

AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper, Journal of Financial Economics (JFE), Vol. 98, pp. 241-245, 2010
Number of pages: 40 Posted: 21 Feb 2008 Last Revised: 15 Dec 2010
Nihat Aktas, Eric de Bodt and Richard Roll
WHU - Otto Beisheim School of Management, NHH and California Institute of Technology
Downloads 597 (79,019)
Citation 17

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Merger Negotiations, Latent Competition, Auction Costs, Bid Premium

22.

A Delegated Agent Asset-Pricing Model

Downloads 560 (85,825)
Citation 21

A Delegated Agent Asset-Pricing Model

UCLA Finance Working Paper
Number of pages: 29 Posted: 16 Aug 2004
Bradford Cornell and Richard Roll
Anderson Graduate School of Management, UCLA and California Institute of Technology
Downloads 378 (135,389)
Citation 10

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Asset pricing

A Delegated Agent Asset-Pricing Model

UCLA Anderson School of Management, Finance Working Papers Series 3-04
Number of pages: 27 Posted: 18 Jul 2009
Bradford Cornell and Richard Roll
Anderson Graduate School of Management, UCLA and California Institute of Technology
Downloads 182 (283,808)
Citation 10

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asset pricing

A Delegated-Agent Asset-Pricing Model

Posted: 05 Feb 2005
Bradford Cornell and Richard Roll
Anderson Graduate School of Management, UCLA and California Institute of Technology

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Investment Theory, CAPM, APT, and Other Pricing Theories, Portfolio Theory

23.

How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective

forthcoming in Management Science
Number of pages: 66 Posted: 04 Aug 2014 Last Revised: 30 Oct 2023
Dion Bongaerts, Richard Roll, Dominik Rösch, Mathijs A. van Dijk and Darya Yuferova
Erasmus University Rotterdam (EUR) - Finance, California Institute of Technology, State University of New York at Buffalo - School of Management, Erasmus University Rotterdam (EUR) and Norwegian School of Economics (NHH) - Department of Finance
Downloads 547 (88,086)
Citation 5

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Equity markets, jumps, financial crises, contagion, liquidity, trading activity

24.

East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis

AFA 2002 Atlanta Meetings
Number of pages: 42 Posted: 10 Dec 2001
Rajesh Chakrabarti and Richard Roll
O. P. Jindal Global University and California Institute of Technology
Downloads 545 (88,490)
Citation 13

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25.

Competition Shocks, Rival Reactions, and Stock Return Comovement

Tuck School of Business Working Paper No. 3218544
Number of pages: 53 Posted: 23 Jul 2018 Last Revised: 12 Sep 2023
Eric de Bodt, B. Espen Eckbo and Richard Roll
NHH, Tuck School of Business at Dartmouth and California Institute of Technology
Downloads 522 (93,448)
Citation 5

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Return co-movement, competitive shocks, rival reactions, differentiation, M&As

26.

A Comparative Anatomy of REITS and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics

Downloads 482 (102,964)

A Comparative Anatomy of REITS and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics

Number of pages: 28 Posted: 07 Dec 2009
John Cotter and Richard Roll
University College Dublin and California Institute of Technology
Downloads 482 (101,876)
Citation 7

Abstract:

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REITs, real estate risk

A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics

46th Annual AREUEA Conference Paper
Posted: 01 Dec 2010
John Cotter and Richard Roll
University College Dublin and California Institute of Technology

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27.

Empirical Evidence of Overbidding in M&A Contests

Number of pages: 57 Posted: 10 Jul 2014 Last Revised: 30 Mar 2016
Eric de Bodt, Jean-Gabriel Cousin and Richard Roll
NHH, Univ. Lille, ULR 4112 - LUMEN and California Institute of Technology
Downloads 481 (103,207)
Citation 2

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mergers and acquisitions, hubris hypothesis, overbidding

28.

Market Reactions to European Merger Regulation: A Reexamination of the Protectionism Hypothesis

Downloads 463 (107,994)
Citation 5

Market Reactions to European Merger Regulation: A Reexamination of the Protectionism Hypothesis

Number of pages: 36 Posted: 18 Nov 2011
Nihat Aktas, Eric de Bodt, Marieke Delanghe and Richard Roll
WHU - Otto Beisheim School of Management, NHH, Univ. Lille Nord de France - SKEMA Business School and California Institute of Technology
Downloads 207 (251,273)
Citation 4

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mergers and acquistions, regulation, protectionism

Market Reactions to European Merger Regulation: A Reexamination of the Protectionism Hypothesis

Number of pages: 39 Posted: 29 Feb 2012
Nihat Aktas, Eric de Bodt, Marieke Delanghe and Richard Roll
WHU - Otto Beisheim School of Management, NHH, Univ. Lille Nord de France - SKEMA Business School and California Institute of Technology
Downloads 134 (365,278)
Citation 2

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mergers and acquistions, regulation, protectionism, event study

Market Reactions to European Merger Regulation: A Reexamination of the Protectionism Hypothesis

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 38 Posted: 09 Oct 2012
Nihat Aktas, Eric de Bodt, Marieke Delanghe and Richard Roll
WHU - Otto Beisheim School of Management, NHH, Univ. Lille Nord de France - SKEMA Business School and California Institute of Technology
Downloads 122 (392,733)
Citation 2

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29.

Learning from Repetitive Acquisitions: Evidence from the Time between Deals

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 51 Posted: 26 Mar 2008 Last Revised: 02 Oct 2012
Nihat Aktas, Eric de Bodt and Richard Roll
WHU - Otto Beisheim School of Management, NHH and California Institute of Technology
Downloads 458 (109,402)
Citation 12

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Acquisitions program, Learning, Integration costs, Time between successive deals

30.

Capital Structure Instability

Downloads 452 (111,067)

Capital Structure Instability

Forthcoming, Journal of Applied Corporate Finance
Number of pages: 26 Posted: 21 Feb 2017
Harry DeAngelo and Richard Roll
University of Southern California - Marshall School of Business - Finance and Business Economics Department and California Institute of Technology
Downloads 387 (131,860)

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Capital Structure Stability, Leverage Target, Leverage Persistence

Capital Structure Instability

Journal of Applied Corporate Finance, Fall 2016
Number of pages: 26 Posted: 17 Feb 2023
Harry DeAngelo and Richard Roll
University of Southern California - Marshall School of Business - Finance and Business Economics Department and California Institute of Technology
Downloads 65 (591,022)

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31.

Options Trading Activity and Firm Valuation

Number of pages: 32 Posted: 06 Feb 2008
Eduardo S. Schwartz, Eduardo S. Schwartz, Avanidhar Subrahmanyam and Richard Roll
Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 452 (111,067)
Citation 37

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32.

MicroHoo: Deal Failure, Industry Rivalry, and Sources of Overbidding

Journal of Corporate Finance, Forthcoming
Number of pages: 42 Posted: 17 Jul 2010 Last Revised: 22 Oct 2014
Nihat Aktas, Eric de Bodt and Richard Roll
WHU - Otto Beisheim School of Management, NHH and California Institute of Technology
Downloads 438 (115,248)
Citation 1

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Merger theories, Abnormal returns, Irrational overbidding, Rational overbidding

33.

Extracting Inflation from Stock Returns to Test Purchasing Power Parity

Number of pages: 48 Posted: 31 Jul 2003
Yihong Xia, Bhagwan Chowdhry and Richard Roll
University of California, Los Angeles (Deceased), UCLA Anderson and California Institute of Technology
Downloads 394 (130,287)

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purchasing power parity, foreign exchange rate volatility

34.

Resolving the Errors-in-Variables Bias in Risk Premium Estimation

Number of pages: 69 Posted: 28 Jul 2014 Last Revised: 19 Jun 2018
Kuntara Pukthuanthong, Richard Roll and Junbo L. Wang
University of Missouri, Columbia, California Institute of Technology and Louisiana State University, Baton Rouge
Downloads 374 (138,095)
Citation 1

Abstract:

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error-in-variables, instruments, asset pricing

35.

Integration and Contagion in US Housing Markets

Downloads 332 (157,171)

Integration and Contagion in US Housing Markets

Number of pages: 50 Posted: 20 Oct 2011 Last Revised: 16 Dec 2011
John Cotter, Stuart A. Gabriel and Richard Roll
University College Dublin, University of California, Los Angeles - Anderson School of Management and California Institute of Technology
Downloads 153 (328,266)

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integration, correlation, contagion, house price returns

Integration and Contagion in US Housing Markets

Number of pages: 50 Posted: 07 Mar 2012
John Cotter, Stuart A. Gabriel and Richard Roll
University College Dublin, University of California, Los Angeles - Anderson School of Management and California Institute of Technology
Downloads 101 (451,377)
Citation 1

Abstract:

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integration, correlation, contagion, house price returns

Integration and Contagion in US Housing Markets

Number of pages: 50 Posted: 16 Oct 2011
Stuart A. Gabriel, John Cotter and Richard Roll
University of California, Los Angeles - Anderson School of Management, University College Dublin and California Institute of Technology
Downloads 78 (532,865)
Citation 1

Abstract:

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integration, correlation, contagion, house price returns

36.

Changing Expected Returns Can Induce Spurious Components in Autocorrelations

Downloads 285 (184,591)

Changing Expected Returns Can Induce Spurious Components in Autocorrelations

Number of pages: 62 Posted: 18 Aug 2021 Last Revised: 15 Aug 2022
Kuntara Pukthuanthong, Richard Roll and Avanidhar Subrahmanyam
University of Missouri, Columbia, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 148 (337,548)

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Efficient Markets, Serial Correlation, Spurious Results

Changing Expected Returns Can Induce Spurious Serial Correlation

Number of pages: 59 Posted: 14 Nov 2021 Last Revised: 06 Jul 2022
Kuntara Pukthuanthong, Richard Roll and Avanidhar Subrahmanyam
University of Missouri, Columbia, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 137 (359,040)

Abstract:

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Efficient Markets, Serial Correlation, Spurious Results

37.

The Equilibrium Assignment of Narcissistic CEOs to Firms

Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Number of pages: 37 Posted: 19 Feb 2015 Last Revised: 03 Oct 2015
Eric de Bodt, Helen Bollaert, Pascal Grandin and Richard Roll
NHH, SKEMA Business School, SKEMA Business School - Lille Campus and California Institute of Technology
Downloads 278 (189,313)
Citation 2

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CEO narcissism, compensation, governance

38.

Rival Reactions – Do Value-Increasing Mergers Bolster Monopoly Rents for Strong Rivals?

Number of pages: 47 Posted: 05 Oct 2013 Last Revised: 16 Feb 2014
Eric de Bodt and Richard Roll
NHH and California Institute of Technology
Downloads 275 (191,446)
Citation 1

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Mergers and acquisitions, industry rivals, market power, competitive pressure

39.

Agnostic Tests of Stochastic Discount Factor Theory

Number of pages: 51 Posted: 19 Apr 2015 Last Revised: 14 Dec 2019
Kuntara Pukthuanthong and Richard Roll
University of Missouri, Columbia and California Institute of Technology
Downloads 254 (207,288)
Citation 3

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Stochastic discount factor, asset pricing

40.

Trading Activity in the Equity Market and Its Contingent Claims: An Empirical Investigation

Number of pages: 55 Posted: 10 Dec 2010 Last Revised: 31 Mar 2012
Richard Roll, Eduardo S. Schwartz, Eduardo S. Schwartz and Avanidhar Subrahmanyam
California Institute of Technology, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area
Downloads 243 (216,405)
Citation 19

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volume, market efficiency

41.

An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor

Number of pages: 94 Posted: 01 Jan 2020 Last Revised: 04 Oct 2021
Kuntara Pukthuanthong, Richard Roll and Junbo L. Wang
University of Missouri, Columbia, California Institute of Technology and Louisiana State University, Baton Rouge
Downloads 240 (219,058)
Citation 2

Abstract:

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stochastic discount factor, pricing kernel, cross-sectional test

42.

The Full Stock Payment Marginalization in M&A Transactions

Number of pages: 49 Posted: 14 Nov 2015 Last Revised: 15 Nov 2015
Eric de Bodt, Jean-Gabriel Cousin and Richard Roll
NHH, Univ. Lille, ULR 4112 - LUMEN and California Institute of Technology
Downloads 222 (236,108)
Citation 1

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mergers and acquisitions, method of payment, pooling of interest, purchase

43.

The (Un)Intended Consequences of M&A Regulation

Number of pages: 46 Posted: 31 Mar 2020
Eric de Bodt, Jean-Gabriel Cousin, Micah S. Officer and Richard Roll
NHH, Univ. Lille, ULR 4112 - LUMEN, Loyola Marymount University - Department of Finance and California Institute of Technology
Downloads 219 (239,103)
Citation 1

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mergers and acquisitions; regulation; uncertainty; deterrence

44.

On Valuing Human Capital And Relating it to Macro-Economic Conditions

Number of pages: 65 Posted: 31 Dec 2013 Last Revised: 13 Feb 2021
Dave Berger, Kuntara Pukthuanthong and Richard Roll
Oregon State University, University of Missouri, Columbia and California Institute of Technology
Downloads 212 (246,454)
Citation 3

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Human capital value, economic crisis, inflation, GDP, macroeconomics

45.

Subordinated Exchange Rate Models: Evidence for Heavy Tailed Distributions and Long-Range Dependence

Mathematical and Computer Modelling, Vol. 34, No. 9-11, pp. 955-1001, 2001
Number of pages: 70 Posted: 15 Oct 2004
Carlo Marinelli, Svetlozar Rachev and Richard Roll
University of Bonn - Institut fuer Angewandte Mathematik, Texas Tech University and California Institute of Technology
Downloads 208 (250,809)

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46.

Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust

Review of Financial Studies, Forthcoming
Number of pages: 40 Posted: 11 Oct 2014
John Cotter, Stuart A. Gabriel and Richard Roll
University College Dublin, University of California, Los Angeles - Anderson School of Management and California Institute of Technology
Downloads 189 (273,539)

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integration, housing risk diversification, housing returns

47.

The (Un)intended Consequences of M&A Regulatory Enforcements

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 58 Posted: 03 Feb 2022
Eric de Bodt, Jean-Gabriel Cousin, Micah S. Officer and Richard Roll
NHH, Univ. Lille, ULR 4112 - LUMEN, Loyola Marymount University - Department of Finance and California Institute of Technology
Downloads 168 (304,593)

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Regulatory uncertainty, merger and acquisition, deterrence

48.

Can Metropolitan Housing Risk Be Diversified? A Cautionary Tale from the Recent Boom and Bust

Downloads 147 (338,882)
Citation 11

Can Metropolitan Housing Risk Be Diversified? A Cautionary Tale from the Recent Boom and Bust

Number of pages: 68 Posted: 12 Jul 2012 Last Revised: 20 Jul 2012
John Cotter, Stuart A. Gabriel and Richard Roll
University College Dublin, University of California, Los Angeles - Anderson School of Management and California Institute of Technology
Downloads 83 (512,907)
Citation 3

Abstract:

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integration, correlation, contagion, house price returns

Can Metropolitan Housing Risk Be Diversified? A Cautionary Tale from the Recent Boom and Bust

Number of pages: 68 Posted: 02 Aug 2012
John Cotter, Stuart A. Gabriel and Richard Roll
University College Dublin, University of California, Los Angeles - Anderson School of Management and California Institute of Technology
Downloads 64 (595,809)
Citation 3

Abstract:

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integration, correlation, contagion, house price returns

49.

Tick Size, Price Grids and Market Performance: Stable Matches as a Model of Market Dynamics and Equilibrium

Number of pages: 60 Posted: 23 Feb 2018
Charles R. Plott, Richard Roll, Han Seo and Hao Zhao
California Institute of Technology - Division of the Humanities and Social Sciences, California Institute of Technology, California Institute of Technology and Chapman University
Downloads 140 (352,210)
Citation 3

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price tick-size, liquidity, matching, non-existence, information, convergence

50.

Rivals’ Returns

Number of pages: 43 Posted: 21 Dec 2020 Last Revised: 22 Dec 2020
Eric de Bodt, Jean-Gabriel Cousin and Richard Roll
NHH, Univ. Lille, ULR 4112 - LUMEN and California Institute of Technology
Downloads 137 (358,176)

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Stock Return, Information, Rivals’ Interactions

51.

Global Market Integration: An Alternative Measure and its Application

AFA 2009 San Francisco Meetings Paper
Number of pages: 19 Posted: 21 Mar 2008 Last Revised: 01 Mar 2022
Kuntara Pukthuanthong and Richard Roll
University of Missouri, Columbia and California Institute of Technology
Downloads 110 (421,822)
Citation 116

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global, integration, market

52.

Human Capital Valuation, Asset Pricing, and Economic Development

Number of pages: 61 Posted: 28 Feb 2023 Last Revised: 12 Apr 2023
Dave Berger, Kuntara Pukthuanthong and Richard Roll
Oregon State University, University of Missouri, Columbia and California Institute of Technology
Downloads 99 (454,320)

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Human capital, market value, innovation

53.

Improved Method for Detecting Acquirer Skills

Number of pages: 41 Posted: 31 Mar 2016
Eric de Bodt, Jean-Gabriel Cousin and Richard Roll
NHH, Univ. Lille, ULR 4112 - LUMEN and California Institute of Technology
Downloads 89 (486,449)

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mergers and acquisitions, skills, attrition, panel data

54.

Whither Diversification?

Number of pages: 57 Posted: 01 Feb 2023
John Cotter, Stuart A. Gabriel and Richard Roll
University College Dublin, University of California, Los Angeles - Anderson School of Management and California Institute of Technology
Downloads 47 (676,768)

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return integration, asset diversification, economic development

55.

Mimicking Portfolios

https://doi.org/10.3905/jpm.2018.44.5.021
Posted: 22 May 2019
Richard Roll and Akshay Srivastava
California Institute of Technology and California Institute of Technology

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portfolio theory

56.

Seeking Alpha? It's a Bad Guideline for Portfolio Optimization

https://doi.org/10.3905/jpm.2016.42.5.107
Posted: 20 May 2019
Moshe Levy and Richard Roll
Hebrew University of Jerusalem - Jerusalem School of Business Administration and California Institute of Technology

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Alpha, portfolio performance, portfolio optimization, mean-variance analysis

57.

Generalized Performance Measures: Optimal Overweighing of Fees Relative to Sample Returns

Posted: 05 Aug 2017
Moshe Levy and Richard Roll
Hebrew University of Jerusalem - Jerusalem School of Business Administration and California Institute of Technology

Abstract:

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Mutual Fund Performance, Alpha, Sharpe Ratio, Geometric Mean, Shrinkage, Fees

58.

A Comparative Anatomy of Residential Reits and Private Real Estate Markets: Returns, Risks and Distributional Characteristics

Real Estate Economics, Forthcoming
Posted: 31 Dec 2013
John Cotter and Richard Roll
University College Dublin and California Institute of Technology

Abstract:

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REITs, Real Estate Indexes, Risk, Distributional Characteristics

59.

A New Perspective on the Validity of the CAPM: Still Alive and Well

Journal of Investment Management (JOIM), Third Quarter 2012
Posted: 13 Oct 2012
Moshe Levy and Richard Roll
Hebrew University of Jerusalem - Jerusalem School of Business Administration and California Institute of Technology

Abstract:

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Mean variance efficiency, CAPM, portfolio optimization, beta

60.

Perspectives: The Possible Misdiagnosis of a Crisis

Financial Analysts Journal, Vol. 67, No. 2, 2011
Posted: 12 Apr 2011
Richard Roll
California Institute of Technology

Abstract:

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Economics, Aggregate Demand and Aggregate Supply, Fiscal Policy, Macroeconomics of an Open Economy

61.

The Market Portfolio May Be Mean/Variance Efficient after All

The Review of Financial Studies, Vol. 23, Issue 6, pp. 2464-2491, 2010
Posted: 17 May 2010
Moshe Levy and Richard Roll
Hebrew University of Jerusalem - Jerusalem School of Business Administration and California Institute of Technology

Abstract:

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G110, G120

62.

How Employee Stock Options and Executive Equity Ownership Affect Long-Term IPO Stock Prices and Operating Performance

Journal of Corporate Finance, Vol. 13, 2007
Posted: 16 Jan 2009
Kuntara Pukthuanthong, Richard Roll and Thomas John Walker
University of Missouri, Columbia, California Institute of Technology and Concordia University, Quebec - Department of Finance

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Initial public offerings, Stock options, Executive compensation

63.

Investors Like Firms that Expense Employee Stock Options and They Dislike Firms that Fail to Expense

Journal of Investment Management, Vol. 3, No. 1, First Quarter 2005
Posted: 01 Apr 2005
Fayez A. Elayan, Kuntara Pukthuanthong and Richard Roll
Brock University-Goodman School of Business, University of Missouri, Columbia and California Institute of Technology

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Employee stock options, expense recognition, transparency

64.

Empirical Tips

Posted: 13 Feb 2004
Richard Roll
California Institute of Technology

Abstract:

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Portfolio management: asset allocation; debt Investments: return or yield measures; debt Investments: other; economics: other

65.

Benefits to Homeowners from Mortgage Portfolios Retained by Fannie Mae and Freddie Mac

Posted: 08 Mar 2003
Richard Roll
California Institute of Technology

Abstract:

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Financial intermediation, borrowing costs

66.

Order Imbalance, Liquidity, and Market Returns

Posted: 13 Nov 2001
Tarun Chordia, Avanidhar Subrahmanyam and Richard Roll
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology

Abstract:

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Market Order Imbalance, Liquidity, Trading Volume, Contrarian

67.

An Explanation of the Forward Premium 'Puzzle'

Posted: 02 Jun 2000
Shu Yan and Richard Roll
Oklahoma State University - Stillwater - Department of Finance and California Institute of Technology

Abstract:

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Foreign Exchange, Anomalies, Non-stationary Time Series