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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

61

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46,951

CITATIONS
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Top 264

in Total Papers Citations

1,413

Scholarly Papers (61)

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1.

The Adjustment of Stock Prices to New Information

International Economic Review, Vol. 10, February 1969, STRATEGIC ISSUES IN FINANCE, Keith Wand, ed., Butterworth Heinemann, 1993, INVESTMENT MANAGEMENT: SOME READINGS, J. Lorie, R. Brealey, eds., Praeger Publishers, 1972
Number of pages: 28 Posted: 08 Feb 2003 Last Revised: 15 Feb 2011
Eugene F. Fama, Lawrence Fisher, Michael C. Jensen and Richard Roll
University of Chicago - Finance, Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, Harvard Business School and California Institute of Technology
Downloads 15,385 (109)
Citation 301

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efficient markets, effect of information on stock prices, stock splits, dividend increases, market conditions, rate of return, effect of split(s) on return(s), residuals, average dividends, dividend increases, and dividend decreases

2.

Market Liquidity and Trading Activity

Eleventh Annual Utah Winter Conference
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 2,501 (3,731)
Citation 229

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Liquidity, spreads, depths, trading activity, transactions data

3.

Commonality in Liquidity

Downloads 1,907 ( 6,823)
Citation 305

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 1,907 (6,671)
Citation 305

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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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4.

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 1,825 (5,501)
Citation 11

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capital structure stability, leverage target, leverage persistence

5.

Evidence on the Speed of Convergence to Market Efficiency

Downloads 1,339 ( 12,251)
Citation 64

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 1,339 (12,046)
Citation 64

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Evidence on the Speed of Convergence to Market Efficiency

Journal of Financial Economics, Forthcoming
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

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 1,329 (10,821)
Citation 57

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Market efficiency, liquidity, order imbalance

7.

A Protocol for Factor Identification

Downloads 1,140 ( 15,855)

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 465 (53,908)

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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 371 (70,903)

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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 304 (89,591)

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

8.

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, Univ. Lille, SKEMA Business School and California Institute of Technology
Downloads 1,095 (8,697)
Citation 5

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

9.

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 1,007 (17,251)
Citation 164

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Order Imbalance, Liquidity, Trading Volume, Transactions

10.

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, Richard Roll and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 994 (18,066)
Citation 23

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Market efficiency, liquidity, arbitrage

11.

Corporate Serial Acquisitions: An Empirical Test of the Learning Hypothesis

Downloads 825 ( 25,525)
Citation 12

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, Univ. Lille and California Institute of Technology
Downloads 529 (45,741)
Citation 12

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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, Univ. Lille and California Institute of Technology
Downloads 296 (91,990)
Citation 12

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Acquisitions program, Learning, Hubris, Bid premium

12.

Is European M&A Regulation Protectionist?

Downloads 766 ( 28,293)
Citation 19

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, Univ. Lille and California Institute of Technology
Downloads 740 (29,239)
Citation 19

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merger and acquisition regulation protectionism

Is European M&A Regulation Protectionist?

Economic Journal, Vol. 117, No. 522, pp. 1096-1121, July 2007
Number of pages: 26 Posted: 08 Jul 2007
Nihat Aktas, Eric de Bodt and Richard Roll
WHU - Otto Beisheim School of Management, Univ. Lille and California Institute of Technology
Downloads 26 (459,547)
Citation 18
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13.

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 756 (27,010)
Citation 37

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Trading Volume, Turnover, Liquidity, Institutions, Hedge Funds

14.

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, Univ. Lille and California Institute of Technology
Downloads 700 (28,647)
Citation 15

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hubris, learning, mergers and acquisitions, CEO, CAR

15.

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, Univ. Lille and California Institute of Technology
Downloads 634 (34,770)
Citation 25

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16.

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

Downloads 629 ( 36,995)

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

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, Marshall School of Business Working Paper No. 17-16
Number of pages: 86 Posted: 11 Jan 2017 Last Revised: 08 May 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 359 (73,697)

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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 270 (101,596)

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

17.

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

Downloads 544 ( 44,702)

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 429 (59,566)

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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 115 (220,087)

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

18.

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 538 (36,842)
Citation 29

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Trading Volume, Market Quality, Trading Costs, Efficiency

19.

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 505 (33,922)
Citation 7

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country wealth, economic development, political conditions for growth

20.

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 and Avanidhar Subrahmanyam
California Institute of Technology, University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area
Downloads 497 (36,031)
Citation 28

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derivatives volume, stock volume, market efficiency

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, Univ. Lille and California Institute of Technology
Downloads 472 (53,500)
Citation 15

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Merger Negotiations, Latent Competition, Auction Costs, Bid Premium

22.

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
OP Jindal Global University and California Institute of Technology
Downloads 459 (52,461)
Citation 18

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23.

A Delegated Agent Asset-Pricing Model

Downloads 432 ( 59,655)
Citation 13

A Delegated Agent Asset-Pricing Model

UCLA Finance Working Paper
Number of pages: 29 Posted: 16 Aug 2004
Bradford Cornell and Richard Roll
California Institute of Technology and California Institute of Technology
Downloads 313 (86,341)
Citation 13

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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
California Institute of Technology and California Institute of Technology
Downloads 119 (214,540)
Citation 13

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asset pricing

A Delegated-Agent Asset-Pricing Model

Financial Analysts Journal, Vol. 61, No. 1, pp. 57-69, January/February 2005
Posted: 05 Feb 2005
Bradford Cornell and Richard Roll
California Institute of Technology and California Institute of Technology

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

24.

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

Downloads 415 ( 62,617)
Citation 4

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 415 (62,038)
Citation 4

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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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25.

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, Univ. Lille and California Institute of Technology
Downloads 317 (75,074)

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Merger theories, Abnormal returns, Irrational overbidding, Rational overbidding

26.

Options Trading Activity and Firm Valuation

Number of pages: 32 Posted: 06 Feb 2008
Eduardo S. Schwartz, Avanidhar Subrahmanyam and Richard Roll
University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 314 (81,372)
Citation 17

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27.

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), University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 309 (82,996)
Citation 3

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purchasing power parity, foreign exchange rate volatility

28.

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, Univ. Lille and California Institute of Technology
Downloads 303 (79,432)
Citation 3

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

29.

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

Downloads 264 (104,540)

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, Univ. Lille, Univ. Lille Nord de France - SKEMA Business School and California Institute of Technology
Downloads 138 (190,872)

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mergers and acquistions, regulation, protectionism

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, Univ. Lille, Univ. Lille Nord de France - SKEMA Business School and California Institute of Technology
Downloads 68 (309,144)

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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, Univ. Lille, Univ. Lille Nord de France - SKEMA Business School and California Institute of Technology
Downloads 58 (336,087)

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mergers and acquistions, regulation, protectionism, event study

30.

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

Number of pages: 15 Posted: 29 Apr 2015
Moshe Levy and Richard Roll
Hebrew University of Jerusalem - Jerusalem School of Business Administration and California Institute of Technology
Downloads 195 (65,710)

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

31.

Integration and Contagion in US Housing Markets

Downloads 185 (148,073)
Citation 1

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 99 (245,127)
Citation 1

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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 55 (345,022)
Citation 1

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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 31 (434,123)
Citation 1

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integration, correlation, contagion, house price returns

32.

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
Univ. Lille and California Institute of Technology
Downloads 165 (163,884)

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

33.

Capital Structure Instability

Downloads 164 (164,723)

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 162 (166,686)

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Capital Structure Stability, Leverage Target, Leverage Persistence

Capital Structure Instability

Journal of Applied Corporate Finance, Vol. 28, Issue 4, pp. 38-52, 2016
Number of pages: 17 Posted: 20 Jan 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 2 (605,023)
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34.

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 164 (160,521)
Citation 1

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35.

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 and Avanidhar Subrahmanyam
California Institute of Technology, University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area
Downloads 145 (162,171)

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volume, market efficiency

36.

On the Origination and Propagation of Shocks Across International Equity Markets: A Microstructure Perspective

7th Miami Behavioral Finance Conference 2016
Number of pages: 134 Posted: 04 Aug 2014 Last Revised: 31 May 2017
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 School of Management and Norwegian School of Economics (NHH) - Department of Finance
Downloads 141 (97,146)

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

37.

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
Univ. Lille, Université Lille Nord de France - Lille School of Management Research Center (LSMRC) and California Institute of Technology
Downloads 123 (76,086)

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mergers and acquisitions, hubris hypothesis, overbidding

38.

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
Univ. Lille, SKEMA Business School, SKEMA Business School - Lille Campus and California Institute of Technology
Downloads 97 (151,819)

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CEO narcissism, compensation, governance

39.

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 96 (146,637)

Abstract:

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error-in-variables, instruments, asset pricing

40.

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 70 (209,656)

Abstract:

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integration, housing risk diversification, housing returns

41.

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

Downloads 68 (305,570)

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 45 (377,775)

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 23 (476,734)

Abstract:

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integration, correlation, contagion, house price returns

42.

Agnostic Tests of Stochastic Discount Factor Theory

Number of pages: 61 Posted: 19 Apr 2015 Last Revised: 27 Nov 2015
Kuntara Pukthuanthong and Richard Roll
University of Missouri, Columbia and California Institute of Technology
Downloads 53 (203,336)

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Stochastic discount factor, asset pricing

43.

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

Number of pages: 50 Posted: 31 Dec 2013 Last Revised: 19 Jul 2016
Dave Berger, Kuntara Pukthuanthong and Richard Roll
Oregon State University, University of Missouri, Columbia and California Institute of Technology
Downloads 49 (214,999)
Citation 1

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

44.

Investor Reaction to Inter-Corporate Business Contracting: Evidence and Explanation

Economic Notes, Vol. 35, No. 3, pp. 253-291, November 2006
Number of pages: 39 Posted: 21 Mar 2007
Fayez A. Elayan, Richard Roll and Kuntara Pukthuanthong
Brock University-Goodman School of Business, California Institute of Technology and University of Missouri, Columbia
Downloads 16 (499,699)
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45.

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 California Institute of Technology
Downloads 0 (395,663)

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

46.

Mimicking Portfolios

Number of pages: 29 Posted: 18 Jan 2018
Richard Roll and Akshay Srivastava
California Institute of Technology and California Institute of Technology
Downloads 0 (106,248)

Abstract:

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portfolio theory

47.

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

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

48.

Improved Method for Detecting Acquirer Skills

Number of pages: 41 Posted: 31 Mar 2016
Eric de Bodt, Jean-Gabriel Cousin and Richard Roll
Univ. Lille, Université Lille Nord de France - Lille School of Management Research Center (LSMRC) and California Institute of Technology
Downloads 0 (384,748)

Abstract:

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mergers and acquisitions, skills, attrition, panel data

49.

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
Univ. Lille, Université Lille Nord de France - Lille School of Management Research Center (LSMRC) and California Institute of Technology
Downloads 0 (219,062)

Abstract:

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

50.

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

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

Real Estate Economics, Vol. 43, Issue 1, pp. 209-240, 2015
Number of pages: 32 Posted: 17 Feb 2015
John Cotter and Richard Roll
University College Dublin and California Institute of Technology
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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

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REITs, Real Estate Indexes, Risk, Distributional Characteristics

51.

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

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Mean variance efficiency, CAPM, portfolio optimization, beta

52.

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

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

53.

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

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G110, G120

54.

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

55.

Global Market Integration: An Alternative Measure and its Application

AFA 2009 San Francisco Meetings Paper , Journal of Financial Economics (JFE), Vol. 94, No. 2, 2009
Posted: 21 Mar 2008 Last Revised: 18 Nov 2011
Kuntara Pukthuanthong and Richard Roll
University of Missouri, Columbia and California Institute of Technology

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global, integration, market

56.

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

57.

Empirical Tips

Financial Analysts Journal, Vol. 60, No. 1, pp. 31-53, January/February 2004
Posted: 13 Feb 2004
Richard Roll
California Institute of Technology

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

58.

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

Journal of Financial Services Research, Vol. 23, No. 1, February 2003
Posted: 08 Mar 2003
Richard Roll
California Institute of Technology

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Financial intermediation, borrowing costs

59.

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

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Market Order Imbalance, Liquidity, Trading Volume, Contrarian

60.

An Explanation of the Forward Premium 'Puzzle'

European Financial Management, Vol. 6, No. 2, June 2000
Posted: 02 Jun 2000
Shu Yan and Richard Roll
Oklahoma State University - Stillwater - Department of Finance and California Institute of Technology

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Foreign Exchange, Anomalies, Non-stationary Time Series

61.

A Protocol for Factor Identification

Forthcoming, Review of Financial Studies
Number of pages: 64
Kuntara Pukthuanthong, Richard Roll and Avanidhar Subrahmanyam
University of Missouri, Columbia, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
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Factor, risk factor, risk premium, protocol, select factors