richard roll

46 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0009-0003-5620-7924

California Institute of Technology

Publications

How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective — Management Science 2022 (name-matched, not ORCID-linked)
A Protocol for Factor Identification — The Review of Financial Studies 2019 (name-matched, not ORCID-linked)
Full-Stock-Payment Marginalization in Merger and Acquisition Transactions — Management Science 2018 (name-matched, not ORCID-linked)
Empirical Evidence of Overbidding in M&A Contests — Journal of Financial and Quantitative Analysis 2018 (name-matched, not ORCID-linked)
CEO Narcissism and the Takeover Process: From Private Initiation to Deal Completion — Journal of Financial and Quantitative Analysis 2016
How Stable Are Corporate Capital Structures? — The Journal of Finance 2015 (name-matched, not ORCID-linked)
Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust — The Review of Financial Studies 2015 (name-matched, not ORCID-linked)
Learning from repetitive acquisitions: Evidence from the time between deals — Journal of Financial Economics 2013 (name-matched, not ORCID-linked)
The Market Portfolio May Be Mean/Variance Efficient After All: The Market Portfolio — The Review of Financial Studies 2010 (name-matched, not ORCID-linked)
Negotiations under the threat of an auction — Journal of Financial Economics 2010 (name-matched, not ORCID-linked)
O/S: The relative trading activity in options and stock — Journal of Financial Economics 2010 (name-matched, not ORCID-linked)
Options trading activity and firm valuation — Journal of Financial Economics 2009 (name-matched, not ORCID-linked)
Liquidity and the Law of One Price: The Case of the Futures-Cash Basis — The Journal of Finance 2007 (name-matched, not ORCID-linked)
Extracting Inflation from Stock Returns to Test Purchasing Power Parity — American Economic Review 2005 (name-matched, not ORCID-linked)
Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange — Journal of Financial and Quantitative Analysis 2004 (name-matched, not ORCID-linked)
Market Response to European Regulation of Business Combinations — Journal of Financial and Quantitative Analysis 2004 (name-matched, not ORCID-linked)
Market Liquidity and Trading Activity — The Journal of Finance 2001 (name-matched, not ORCID-linked)
On the Cross-sectional Relation between Expected Returns and Betas — The Journal of Finance 1994 (name-matched, not ORCID-linked)
Industrial Structure and the Comparative Behavior of International Stock Market Indices — The Journal of Finance 1992 (name-matched, not ORCID-linked)
R2 — The Journal of Finance 1988 (name-matched, not ORCID-linked)
A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency — Journal of Financial Economics 1985 (name-matched, not ORCID-linked)
A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply — The Journal of Finance 1984 (name-matched, not ORCID-linked)
On Valuing American Call Options with the Black-Scholes European Formula — The Journal of Finance 1984 (name-matched, not ORCID-linked)
A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market — The Journal of Finance 1984 (name-matched, not ORCID-linked)
On computing mean returns and the small firm premium — Journal of Financial Economics 1983 (name-matched, not ORCID-linked)
Over-the-Counter Option Market Dividend Protection and “Biases” in the Black-Scholes Model: A Note — The Journal of Finance 1983 (name-matched, not ORCID-linked)
The Fiscal and Monetary Linkage between Stock Returns and Inflation — The Journal of Finance 1983 (name-matched, not ORCID-linked)
A Possible Explanation of the Small Firm Effect — The Journal of Finance 1981 (name-matched, not ORCID-linked)
Orthogonal Portfolios — Journal of Financial and Quantitative Analysis 1980 (name-matched, not ORCID-linked)
An Empirical Investigation of the Arbitrage Pricing Theory — The Journal of Finance 1980 (name-matched, not ORCID-linked)
A reply to Mayers and Rice (1979) — Journal of Financial Economics 1979 (name-matched, not ORCID-linked)
AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE — The Journal of Finance 1978 (name-matched, not ORCID-linked)
A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory — Journal of Financial Economics 1977 (name-matched, not ORCID-linked)
An analytic valuation formula for unprotected American call options on stocks with known dividends — Journal of Financial Economics 1977 (name-matched, not ORCID-linked)
Comments on qualitative results for investment proportions — Journal of Financial Economics 1977 (name-matched, not ORCID-linked)
Rational Response to the Money Supply — Journal of Political Economy 1974 (name-matched, not ORCID-linked)
CAPITAL BUDGETING OF RISKY PROJECTS WITH “IMPERFECT” MARKETS FOR PHYSICAL CAPITAL — The Journal of Finance 1974 (name-matched, not ORCID-linked)
EVIDENCE ON THE “GROWTH-OPTIMUM” MODEL — The Journal of Finance 1973 (name-matched, not ORCID-linked)
INTEREST RATES ON MONETARY ASSETS AND COMMODITY PRICE INDEX CHANGES — The Journal of Finance 1972 (name-matched, not ORCID-linked)
INVESTMENT DIVERSIFICATION AND BOND MATURITY — The Journal of Finance 1971 (name-matched, not ORCID-linked)
Parameter Estimates for Symmetric Stable Distributions — Journal of the American Statistical Association 1971 (name-matched, not ORCID-linked)
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 1970 (name-matched, not ORCID-linked)
Bias in Fitting the Sharpe Model to Time Series Data — Journal of Financial and Quantitative Analysis 1969 (name-matched, not ORCID-linked)
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 + xxii pages. — Journal of Financial and Quantitative Analysis 1968 (name-matched, not ORCID-linked)
Some Properties of Symmetric Stable Distributions — Journal of the American Statistical Association 1968 (name-matched, not ORCID-linked)
Interest-Rate Risk and the Term Structure of Interest Rates: Comment — Journal of Political Economy 1966 (name-matched, not ORCID-linked)