Details about Richard Roll

Access statistics for papers by Richard Roll.

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Short-id: pro507

Working Papers

2007

1. Corporate serial acquisitions: An empirical test of the learning hypothesis
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
2. Learning, hubris and corporate serial acquisitions
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)

2004

3. Extracting Inflation from Stock Returns to Test Purchasing Power Parity
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center
   Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2003)
   See also Journal Article Extracting Inflation from Stock Returns to Test Purchasing Power Parity, American Economic Review, American Economic Association (2005) View citations (8) (2005)

1989

4. PRICE VOLATILITY, INTERNATIONAL MARKET LINKS, AND THEIR IMPLICATIONS FOR REGULATORY POLICIES
   Working Papers, Columbia - Center for Futures Markets View citations (126)

Journal Articles

2008

1. Liquidity and market efficiency
   Journal of Financial Economics, 2008, 87, (2), 249-268 View citations (362)

2007

2. How employee stock options and executive equity ownership affect long-term IPO operating performance
   Journal of Corporate Finance, 2007, 13, (5), 695-720 View citations (16)
3. Is European M&A Regulation Protectionist?
   Economic Journal, 2007, 117, (522), 1096-1121 View citations (41)
4. Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis
   Journal of Finance, 2007, 62, (5), 2201-2234 View citations (67)

2006

5. Investor Reaction to Inter‐corporate Business Contracting: Evidence and Explanation
   Economic Notes, 2006, 35, (3), 253-291 View citations (1)
6. Taxes and dividend clientele: Evidence from trading and ownership structure
   Journal of Banking & Finance, 2006, 30, (1), 229-246 View citations (19)

2005

7. Evidence on the speed of convergence to market efficiency
   Journal of Financial Economics, 2005, 76, (2), 271-292 View citations (147)
8. Extracting Inflation from Stock Returns to Test Purchasing Power Parity
   American Economic Review, 2005, 95, (1), 255-276 View citations (8)
   See also Working Paper Extracting Inflation from Stock Returns to Test Purchasing Power Parity, Working Papers (2004) (2004)

2004

9. Market Response to European Regulation of Business Combinations
   Journal of Financial and Quantitative Analysis, 2004, 39, (4), 731-757 View citations (64)
10. Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange
    Journal of Financial and Quantitative Analysis, 2004, 39, (2), 327-341 View citations (80)

2003

11. Benefits to Homeowners from Mortgage Portfolios Retained by Fannie Mae and Freddie Mac
    Journal of Financial Services Research, 2003, 23, (1), 29-42 View citations (16)
12. Determinants of Daily Fluctuations in Liquidity and Trading Activity
    Latin American Journal of Economics-formerly Cuadernos de Economía, 2003, 40, (121), 728-751 View citations (5)

2002

13. East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis
    Journal of Financial Markets, 2002, 5, (1), 1-30 View citations (47)
14. Order imbalance, liquidity, and market returns
    Journal of Financial Economics, 2002, 65, (1), 111-130 View citations (360)
15. Rational infinitely lived asset prices must be non-stationary
    Journal of Banking & Finance, 2002, 26, (6), 1093-1097 View citations (5)
16. Remembering Mert
    Pacific-Basin Finance Journal, 2002, 10, (4), 353-353

2000

17. An explanation of the forward premium ‘puzzle’
    European Financial Management, 2000, 6, (2), 121-148 View citations (15)
18. Commonality in liquidity
    Journal of Financial Economics, 2000, 56, (1), 3-28 View citations (614)

1999

19. Learning from others, reacting, and market quality1
    Journal of Financial Markets, 1999, 2, (2), 153-178 View citations (7)

1995

20. An empirical survey of Indonesian equities 1985-1992
    Pacific-Basin Finance Journal, 1995, 3, (2-3), 159-192 View citations (7)

1994

21. On the Cross-sectional Relation between Expected Returns and Betas
    Journal of Finance, 1994, 49, (1), 101-21 View citations (109)

1992

22. Industrial Structure and the Comparative Behavior of International Stock Market Indices
    Journal of Finance, 1992, 47, (1), 3-41 View citations (317)

1986

23. Economic Forces and the Stock Market
    The Journal of Business, 1986, 59, (3), 383-403 View citations (1796)
24. Stock return variances: The arrival of information and the reaction of traders
    Journal of Financial Economics, 1986, 17, (1), 5-26 View citations (667)
25. The Hubris Hypothesis of Corporate Takeovers
    The Journal of Business, 1986, 59, (2), 197-216 View citations (992)

1985

26. A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency
    Journal of Financial Economics, 1985, 14, (3), 349-357 View citations (13)

1984

27. A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply
    Journal of Finance, 1984, 39, (2), 347-50 View citations (15)
28. A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market
    Journal of Finance, 1984, 39, (4), 1127-39 View citations (984)
29. On Valuing American Call Options with the Black-Scholes European Formula
    Journal of Finance, 1984, 39, (2), 443-55 View citations (24)
30. Orange Juice and Weather
    American Economic Review, 1984, 74, (5), 861-80 View citations (155)

1983

31. On computing mean returns and the small firm premium
    Journal of Financial Economics, 1983, 12, (3), 371-386 View citations (81)
32. Over-the-Counter Option Market Dividend Protection and "Biases" in the Black-Scholes Model: A Note
    Journal of Finance, 1983, 38, (4), 1271-77 View citations (5)
33. The Fiscal and Monetary Linkage between Stock Returns and Inflation
    Journal of Finance, 1983, 38, (1), 1-33 View citations (357)

1981

34. A Possible Explanation of the Small Firm Effect
    Journal of Finance, 1981, 36, (4), 879-88 View citations (85)
35. Strategies for Pairwise Competition in Markets and Organizations
    Bell Journal of Economics, 1981, 12, (1), 201-213 View citations (27)

1980

36. An Empirical Investigation of the Arbitrage Pricing Theory
    Journal of Finance, 1980, 35, (5), 1073-1103 View citations (252)
37. Orthogonal Portfolios
    Journal of Financial and Quantitative Analysis, 1980, 15, (5), 1005-1023 View citations (13)

1979

38. A reply to Mayers and Rice (1979)
    Journal of Financial Economics, 1979, 7, (4), 391-400 View citations (7)
39. On some parity conditions encountered frequently in international economics
    Journal of Macroeconomics, 1979, 1, (3), 267-283 View citations (12)

1978

40. Ambiguity when Performance is Measured by the Securities Market Line
    Journal of Finance, 1978, 33, (4), 1051-69 View citations (107)

1977

41. A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory
    Journal of Financial Economics, 1977, 4, (2), 129-176 View citations (506)
42. A pure foreign exchange asset pricing model
    Journal of International Economics, 1977, 7, (2), 161-179 View citations (21)
43. An analytic valuation formula for unprotected American call options on stocks with known dividends
    Journal of Financial Economics, 1977, 5, (2), 251-258 View citations (86)
44. An empirical study of risk under fixed and flexible exchange
    Carnegie-Rochester Conference Series on Public Policy, 1977, 5, (1), 235-265 View citations (3)
45. Comments on qualitative results for investment proportions
    Journal of Financial Economics, 1977, 5, (2), 265-268 View citations (6)

1975

46. Abstract–Measuring Nonstationarity in the Stochastic Process of Asset Returns
    Journal of Financial and Quantitative Analysis, 1975, 10, (4), 687-687 View citations (1)

1974

47. Capital Budgeting of Risky Projects with "Imperfect" Markets for Physical Capital
    Journal of Finance, 1974, 29, (2), 601-13 View citations (18)
48. Rational Response to the Money Supply
    Journal of Political Economy, 1974, 82, (3), 587-97 View citations (1)

1973

49. Assets, Money, and Commodity Price Inflation Under Uncertainty: Demand Theory
    Journal of Money, Credit and Banking, 1973, 5, (4), 903-23 View citations (7)
50. Evidence on the "Growth-Optimum" Model
    Journal of Finance, 1973, 28, (3), 551-66 View citations (17)

1972

51. Interest Rates on Monetary Assets and Commodity Price Index Changes
    Journal of Finance, 1972, 27, (2), 251-77 View citations (17)
52. Investor Evaluation of Accounting Information: Some Empirical Evidence
    The Journal of Business, 1972, 45, (2), 225-57 View citations (36)

1971

53. Expectations and the Demand for Bonds: Comment
    American Economic Review, 1971, 61, (1), 225-28
54. Investment Diversification and Bond Maturity
    Journal of Finance, 1971, 26, (1), 51-66 View citations (16)

1970

55. 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, 5, (4-5), 501-503

1969

56. Bias in Fitting the Sharpe Model to Time Series Data
    Journal of Financial and Quantitative Analysis, 1969, 4, (3), 271-289 View citations (6)

1968

57. 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, 3, (3), 363-366

1966

58. Interest-Rate Risk and the Term Structure of Interest Rates: Comment
    Journal of Political Economy, 1966, 74, (6), 629