Richard Roll

California Institute of Technology

Linde Institute Professor of Finance

1200 East California Blvd

Mail Code: 228-77

Pasadena, CA 91125

United States

SCHOLARLY PAPERS

57

DOWNLOADS
Rank 299

SSRN RANKINGS

Top 299

in Total Papers Downloads

42,303

CITATIONS
Rank 266

SSRN RANKINGS

Top 266

in Total Papers Citations

1,401

Scholarly Papers (57)

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
University of Chicago - Finance, Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, Social Science Electronic Publishing (SSEP), Inc. and California Institute of Technology
Downloads 15,385 (103)
Citation 300

Abstract:

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
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 2,501 (3,217)
Citation 229

Abstract:

Liquidity, spreads, depths, trading activity, transactions data

3.
Downloads 1,856 ( 5,905)
Citation 303

Commonality in Liquidity

Number of pages: 43 Posted: 16 Mar 1999
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 1,856 (5,775)
Citation 303

Abstract:

Commonality in Liquidity

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

Abstract:

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 (5,007)
Citation 11

Abstract:

capital structure stability, leverage target, leverage persistence

5.

Liquidity and Market Efficiency

Number of pages: 46 Posted: 04 Sep 2005
Emory University - Department of Finance, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,329 (9,727)
Citation 57

Abstract:

Market efficiency, liquidity, order imbalance

6.
Downloads 1,312 ( 10,573)
Citation 63

Evidence on the Speed of Convergence to Market Efficiency

UCLA Working Paper
Number of pages: 48 Posted: 09 Sep 2001
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 1,312 (10,414)
Citation 63

Abstract:

Evidence on the Speed of Convergence to Market Efficiency

Journal of Financial Economics, Forthcoming
Posted: 06 Oct 2004
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology

Abstract:

Market efficiency, order imbalances, autocorrelations

7.

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
WHU - Otto Beisheim School of Management, Université de Lille, Université de Lille - SKEMA Business School and California Institute of Technology
Downloads 1,095 (8,452)
Citation 5

Abstract:

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

8.

OrderImbalance, Liquidity and Market Returns

Number of pages: 35 Posted: 08 May 2001
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 1,007 (15,379)
Citation 163

Abstract:

Order Imbalance, Liquidity, Trading Volume, Transactions

9.

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

Number of pages: 50 Posted: 09 Nov 2004
University of California, Los Angeles (UCLA) - Finance Area, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 994 (15,643)
Citation 23

Abstract:

Market efficiency, liquidity, arbitrage

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, Université de Lille and California Institute of Technology
Downloads 487 (43,702)
Citation 13

Abstract:

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, Université de Lille and California Institute of Technology
Downloads 274 (86,667)
Citation 13

Abstract:

Acquisitions program, Learning, Hubris, Bid premium

11.

Recent Trends in Trading Activity

AFA 2010 Atlanta Meetings Paper
Number of pages: 58 Posted: 19 Mar 2009 Last Revised: 19 Jan 2010
California Institute of Technology, University of California, Los Angeles (UCLA) - Finance Area and Emory University - Department of Finance
Downloads 756 (23,611)
Citation 37

Abstract:

Trading Volume, Turnover, Liquidity, Institutions, Hedge Funds

12.
Downloads 727 ( 25,928)

A Protocol for Factor Identification

Number of pages: 47 Posted: 20 Oct 2013 Last Revised: 05 Aug 2014
Kuntara Pukthuanthong and Richard Roll
University of Missouri, Columbia and California Institute of Technology
Downloads 409 (54,430)

Abstract:

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 318 (73,333)

Abstract:

13.
Downloads 724 ( 26,085)
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, Université de Lille and California Institute of Technology
Downloads 698 (27,031)
Citation 19

Abstract:

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, Université de Lille and California Institute of Technology
Downloads 26 (407,500)
Citation 18

Abstract:

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, Université de Lille and California Institute of Technology
Downloads 700 (25,213)
Citation 15

Abstract:

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, Université de Lille and California Institute of Technology
Downloads 634 (30,892)
Citation 25

Abstract:

16.

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
Emory University - Department of Finance, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 538 (34,862)
Citation 29

Abstract:

Trading Volume, Market Quality, Trading Costs, Efficiency

17.

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 (35,083)
Citation 7

Abstract:

country wealth, economic development, political conditions for growth

18.

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
California Institute of Technology, University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area
Downloads 497 (34,629)
Citation 26

Abstract:

derivatives volume, stock volume, market efficiency

19.

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, Université de Lille and California Institute of Technology
Downloads 459 (47,714)
Citation 14

Abstract:

Merger Negotiations, Latent Competition, Auction Costs, Bid Premium

20.

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 (46,695)
Citation 18

Abstract:

21.
Downloads 408 ( 55,132)
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 298 (78,864)
Citation 13

Abstract:

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 110 (199,207)
Citation 13

Abstract:

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

Abstract:

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

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 392 (57,301)
Citation 3

Abstract:

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

Abstract:

23.

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, Université de Lille and California Institute of Technology
Downloads 317 (69,622)

Abstract:

Merger theories, Abnormal returns, Irrational overbidding, Rational overbidding

24.

Options Trading Activity and Firm Valuation

Number of pages: 32 Posted: 06 Feb 2008
University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 314 (72,340)
Citation 16

Abstract:

25.

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 (73,596)
Citation 3

Abstract:

purchasing power parity, foreign exchange rate volatility

26.

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, Université de Lille and California Institute of Technology
Downloads 303 (71,588)
Citation 3

Abstract:

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

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
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 206 (117,077)

Abstract:

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

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, Marshall School of Business Working Paper No. 17-16
Number of pages: 67 Posted: 11 Jan 2017
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 40 (349,582)

Abstract:

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

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

Number of pages: 36 Posted: 18 Nov 2011
WHU - Otto Beisheim School of Management, Université de Lille, Univ. Lille Nord de France - SKEMA Business School and California Institute of Technology
Downloads 132 (173,155)

Abstract:

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
WHU - Otto Beisheim School of Management, Université de Lille, Univ. Lille Nord de France - SKEMA Business School and California Institute of Technology
Downloads 59 (293,170)

Abstract:

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

Number of pages: 39 Posted: 29 Feb 2012
WHU - Otto Beisheim School of Management, Université de Lille, Univ. Lille Nord de France - SKEMA Business School and California Institute of Technology
Downloads 48 (323,927)

Abstract:

mergers and acquistions, regulation, protectionism, event study

29.

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 (69,401)

Abstract:

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

30.
Downloads 177 (134,612)
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 94 (222,628)
Citation 1

Abstract:

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 53 (309,138)
Citation 1

Abstract:

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 30 (388,297)
Citation 1

Abstract:

integration, correlation, contagion, house price returns

31.

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, Stony Brook University and California Institute of Technology
Downloads 164 (143,286)
Citation 1

Abstract:

32.

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
California Institute of Technology, University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area
Downloads 145 (144,801)
Citation 1

Abstract:

volume, market efficiency

33.

The Propagation of Shocks Across International Equity Markets: A Microstructure Perspective

7th Miami Behavioral Finance Conference 2016
Number of pages: 64 Posted: 04 Aug 2014 Last Revised: 07 Feb 2017
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 (121,874)

Abstract:

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

34.

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
Université de Lille and California Institute of Technology
Downloads 141 (163,894)

Abstract:

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

35.

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
Université de Lille, Université Lille Nord de France - SKEMA Business School and California Institute of Technology
Downloads 123 (94,920)

Abstract:

mergers and acquisitions, hubris hypothesis, overbidding

36.

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
Université de Lille, Université de Lille - SKEMA Business School, Université Lille Nord de France - Skema Business School and California Institute of Technology
Downloads 97 (147,948)

Abstract:

CEO narcissism, compensation, governance

37.

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

Number of pages: 69 Posted: 28 Jul 2014 Last Revised: 29 Jul 2014
University of Missouri, Columbia, California Institute of Technology and Louisiana State University, Baton Rouge
Downloads 96 (147,161)

Abstract:

error-in-variables, instruments, asset pricing

38.

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 (195,723)

Abstract:

integration, housing risk diversification, housing returns

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 44 (336,236)

Abstract:

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 18 (451,632)

Abstract:

integration, correlation, contagion, house price returns

40.

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 (222,743)

Abstract:

Stochastic discount factor, asset pricing

41.

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

Number of pages: 50 Posted: 31 Dec 2013 Last Revised: 19 Jul 2016
Oregon State University, University of Missouri, Columbia and California Institute of Technology
Downloads 49 (264,487)
Citation 1

Abstract:

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

42.

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
Brock University-Goodman School of Business, California Institute of Technology and University of Missouri, Columbia
Downloads 16 (446,084)

Abstract:

43.
Downloads 17 (451,113)

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 17 (468,676)

Abstract:

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 0

Abstract:

44.

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 0 (99,853)

Abstract:

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

45.

Improved Method for Detecting Acquirer Skills

Number of pages: 41 Posted: 31 Mar 2016
Eric de Bodt, Jean-Gabriel Cousin and Richard Roll
Université de Lille, Université Lille Nord de France - SKEMA Business School and California Institute of Technology
Downloads 0 (363,357)

Abstract:

mergers and acquisitions, skills, attrition, panel data

46.

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
Université de Lille, Université Lille Nord de France - SKEMA Business School and California Institute of Technology
Downloads 0 (244,731)

Abstract:

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

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
Downloads 0
Citation 2

Abstract:

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:

REITs, Real Estate Indexes, Risk, Distributional Characteristics

48.

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:

Mean variance efficiency, CAPM, portfolio optimization, beta

49.

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:

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

50.

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:

G110, G120

51.

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
University of Missouri, Columbia, California Institute of Technology and Concordia University, Quebec - Department of Finance

Abstract:

Initial public offerings, Stock options, Executive compensation

52.

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

Abstract:

global, integration, market

53.

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
Brock University-Goodman School of Business, University of Missouri, Columbia and California Institute of Technology

Abstract:

Employee stock options, expense recognition, transparency

54.

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

Abstract:

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

55.

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

Abstract:

Financial intermediation, borrowing costs

56.

Order Imbalance, Liquidity, and Market Returns

Posted: 13 Nov 2001
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology

Abstract:

Market Order Imbalance, Liquidity, Trading Volume, Contrarian

57.

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

Abstract:

Foreign Exchange, Anomalies, Non-stationary Time Series