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Richard Roll

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Personal Details

First Name: Richard
Middle Name:
Last Name: Roll
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RePEc Short-ID: pro507

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Affiliation

Anderson Graduate School of Management
University of California-Los Angeles (UCLA)
Location: Los Angeles, California (United States)
Homepage: http://www.anderson.ucla.edu/
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Postal: 110 Westwood Plaza, Los Angeles, CA. 90095
Handle: RePEc:edi:aguclus (more details at EDIRC)

Lists

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. Richard Roll in Wikipedia (English)
  2. Richard Roll in Wikipedia (German)

Works

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Working papers

  1. AKTAS, Nihat & DE BODT, Eric & ROLL, Richard, 2007. "Corporate serial acquisitions: An empirical test of the learning hypothesis," CORE Discussion Papers 2007023, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. AKTAS, Nihat & DE BODT, Eric & ROLL, Richard, 2007. "Learning, hubris and corporate serial acquisitions," CORE Discussion Papers 2007068, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Chowdhry, Bhagwan & Roll, Richard & Xia, Yihong, 2003. "Extracting Inflation from Stock Returns to Test Purchasing Power Parity," Working Papers 03-1, University of Pennsylvania, Wharton School, Weiss Center.
  4. Roll, R., 1989. "Price Volatility, International Market Links, And Their Implications For Regulatory Policies," Papers t10, Columbia - Center for Futures Markets.

Articles

  1. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2008. "Liquidity and market efficiency," Journal of Financial Economics, Elsevier, vol. 87(2), pages 249-268, February.
  2. Richard Roll & Eduardo Schwartz & Avanidhar Subrahmanyam, 2007. "Liquidity and the Law of One Price: The Case of the Futures-Cash Basis," Journal of Finance, American Finance Association, vol. 62(5), pages 2201-2234, October.
  3. Nihat Aktas & Eric de Bodt & Richard Roll, 2007. "Is European M&A Regulation Protectionist?," Economic Journal, Royal Economic Society, vol. 117(522), pages 1096-1121, 07.
  4. Pukthuanthong, Kuntara & Roll, Richard & Walker, Thomas, 2007. "How employee stock options and executive equity ownership affect long-term IPO operating performance," Journal of Corporate Finance, Elsevier, vol. 13(5), pages 695-720, December.
  5. Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2006. "Taxes and dividend clientele: Evidence from trading and ownership structure," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 229-246, January.
  6. Fayez A. Elayan & Kuntara Pukthuanthong & Richard Roll, 2006. "Investor Reaction to Inter-corporate Business Contracting: Evidence and Explanation," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 35(3), pages 253-291, November.
  7. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2005. "Evidence on the speed of convergence to market efficiency," Journal of Financial Economics, Elsevier, vol. 76(2), pages 271-292, May.
  8. Bhagwan Chowdhry & Richard Roll & Yihong Xia, 2005. "Extracting Inflation from Stock Returns to Test Purchasing Power Parity," American Economic Review, American Economic Association, vol. 95(1), pages 255-276, March.
  9. Aktas, Nihat & de Bodt, Eric & Roll, Richard, 2004. "Market Response to European Regulation of Business Combinations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(04), pages 731-757, December.
  10. Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2004. "Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(02), pages 327-341, June.
  11. Tarun Chordia & Richard Roll & Avanidhar Subrahmanyam, 2003. "Determinants of Daily Fluctuations in Liquidity and Trading Activity," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(121), pages 728-751.
  12. Richard Roll, 2003. "Benefits to Homeowners from Mortgage Portfolios Retained by Fannie Mae and Freddie Mac," Journal of Financial Services Research, Springer, vol. 23(1), pages 29-42, February.
  13. Roll, Richard, 2002. "Rational infinitely lived asset prices must be non-stationary," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1093-1097, June.
  14. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2002. "Order imbalance, liquidity, and market returns," Journal of Financial Economics, Elsevier, vol. 65(1), pages 111-130, July.
  15. Chakrabarti, Rajesh & Roll, Richard, 2002. "East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis," Journal of Financial Markets, Elsevier, vol. 5(1), pages 1-30, January.
  16. Roll, Richard, 2002. "Remembering Mert," Pacific-Basin Finance Journal, Elsevier, vol. 10(4), pages 353-353, September.
  17. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 56(1), pages 3-28, April.
  18. Richard Roll & Shu Yan, 2000. "An explanation of the forward premium 'puzzle'," European Financial Management, European Financial Management Association, vol. 6(2), pages 121-148.
  19. Chakrabarti, Rajesh & Roll, Richard, 1999. "Learning from others, reacting, and market quality1," Journal of Financial Markets, Elsevier, vol. 2(2), pages 153-178, May.
  20. Roll, Richard, 1995. "An empirical survey of Indonesian equities 1985-1992," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 159-192, July.
  21. Roll, Richard & Ross, Stephen A, 1994. " On the Cross-sectional Relation between Expected Returns and Betas," Journal of Finance, American Finance Association, vol. 49(1), pages 101-21, March.
  22. Roll, Richard, 1992. " Industrial Structure and the Comparative Behavior of International Stock Market Indices," Journal of Finance, American Finance Association, vol. 47(1), pages 3-41, March.
  23. Roll, Richard, 1988. " R-S1-2," Journal of Finance, American Finance Association, vol. 43(3), pages 541-66, July.
  24. Roll, Richard, 1986. "The Hubris Hypothesis of Corporate Takeovers," The Journal of Business, University of Chicago Press, vol. 59(2), pages 197-216, April.
  25. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
  26. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
  27. Roll, Richard, 1985. "A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency," Journal of Financial Economics, Elsevier, vol. 14(3), pages 349-357, September.
  28. Roll, Richard & Ross, Stephen A, 1984. " A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply," Journal of Finance, American Finance Association, vol. 39(2), pages 347-50, June.
  29. Roll, Richard, 1984. "Orange Juice and Weather," American Economic Review, American Economic Association, vol. 74(5), pages 861-80, December.
  30. Roll, Richard, 1984. " A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-39, September.
  31. Geske, Robert & Roll, Richard, 1984. " On Valuing American Call Options with the Black-Scholes European Formula," Journal of Finance, American Finance Association, vol. 39(2), pages 443-55, June.
  32. Geske, Robert & Roll, Richard, 1983. " The Fiscal and Monetary Linkage between Stock Returns and Inflation," Journal of Finance, American Finance Association, vol. 38(1), pages 1-33, March.
  33. Roll, Richard, 1983. "On computing mean returns and the small firm premium," Journal of Financial Economics, Elsevier, vol. 12(3), pages 371-386, November.
  34. Geske, Robert & Roll, Richard & Shastri, Kuldeep, 1983. " Over-the-Counter Option Market Dividend Protection and "Biases" in the Black-Scholes Model: A Note," Journal of Finance, American Finance Association, vol. 38(4), pages 1271-77, September.
  35. Bradford Cornell & Richard Roll, 1981. "Strategies for Pairwise Competition in Markets and Organizations," Bell Journal of Economics, The RAND Corporation, vol. 12(1), pages 201-213, Spring.
  36. Roll, Richard, 1981. "A Possible Explanation of the Small Firm Effect," Journal of Finance, American Finance Association, vol. 36(4), pages 879-88, September.
  37. Roll, Richard, 1980. "Orthogonal Portfolios," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(05), pages 1005-1023, December.
  38. Roll, Richard & Ross, Stephen A, 1980. " An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 35(5), pages 1073-1103, December.
  39. Roll, Richard & Solnik, Bruno, 1979. "On some parity conditions encountered frequently in international economics," Journal of Macroeconomics, Elsevier, vol. 1(3), pages 267-283.
  40. Roll, Richard, 1979. "A reply to Mayers and Rice (1979)," Journal of Financial Economics, Elsevier, vol. 7(4), pages 391-400, December.
  41. Roll, Richard, 1978. "Ambiguity when Performance is Measured by the Securities Market Line," Journal of Finance, American Finance Association, vol. 33(4), pages 1051-69, September.
  42. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March.
  43. Roll, Richard & Solnik, Bruno, 1977. "A pure foreign exchange asset pricing model," Journal of International Economics, Elsevier, vol. 7(2), pages 161-179, May.
  44. Roll, Richard, 1977. "An analytic valuation formula for unprotected American call options on stocks with known dividends," Journal of Financial Economics, Elsevier, vol. 5(2), pages 251-258, November.
  45. Farber, Andre & Roll, Richard & Solnik, Bruno, 1977. "An empirical study of risk under fixed and flexible exchange," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 235-265, January.
  46. Roll, Richard & Ross, Stephen A., 1977. "Comments on qualitative results for investment proportions," Journal of Financial Economics, Elsevier, vol. 5(2), pages 265-268, November.
  47. Hinich, Melvin J. & Roll, Richard, 1975. "Abstract–Measuring Nonstationarity in the Stochastic Process of Asset Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(04), pages 687-687, November.
  48. Bogue, Marcus C & Roll, Richard, 1974. "Capital Budgeting of Risky Projects with "Imperfect" Markets for Physical Capital," Journal of Finance, American Finance Association, vol. 29(2), pages 601-13, May.
  49. Roll, Richard, 1974. "Rational Response to the Money Supply," Journal of Political Economy, University of Chicago Press, vol. 82(3), pages 587-97, May/June.
  50. Roll, Richard, 1973. "Evidence on the "Growth-Optimum" Model," Journal of Finance, American Finance Association, vol. 28(3), pages 551-66, June.
  51. Roll, Richard, 1973. "Assets, Money, and Commodity Price Inflation Under Uncertainty: Demand Theory," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 5(4), pages 903-23, November.
  52. Kaplan, Robert S & Roll, Richard, 1972. "Investor Evaluation of Accounting Information: Some Empirical Evidence," The Journal of Business, University of Chicago Press, vol. 45(2), pages 225-57, April.
  53. Roll, Richard, 1972. "Interest Rates on Monetary Assets and Commodity Price Index Changes," Journal of Finance, American Finance Association, vol. 27(2), pages 251-77, May.
  54. Roll, Richard, 1971. "Expectations and the Demand for Bonds: Comment," American Economic Review, American Economic Association, vol. 61(1), pages 225-28, March.
  55. Roll, Richard, 1971. "Investment Diversification and Bond Maturity," Journal of Finance, American Finance Association, vol. 26(1), pages 51-66, March.
  56. Roll, Richard, 1970. "An Introduction to Risk and Return from Common Stocks. By Richard A. Brealey (Cambridge, Mass.: The M.I.T. Press, 1969)," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 5(4-5), pages 501-503, December.
  57. Roll, Richard, 1969. "Bias in Fitting the Sharpe Model to Time Series Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(03), pages 271-289, September.
  58. Roll, Richard, 1968. "Mathematics and Computers in Soviet Economic Planning. John P. Hardt, Marvin Hoffenberg, Norman Kaplan, and Herbert S. Levine (editors and coordinators), New Haven: Yale University Press, 1967. 298 + ," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 3(03), pages 363-366, September.
  59. Richard Roll, 1966. "Interest-Rate Risk and the Term Structure of Interest Rates: Comment," Journal of Political Economy, University of Chicago Press, vol. 74, pages 629.

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