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Details about Richard Roll

Workplace:Anderson Graduate School of Management, University of California-Los Angeles (UCLA), (more information at EDIRC)

Access statistics for papers by Richard Roll.

Last updated 2009-12-29. Update your information in the RePEc Author Service.

Short-id: pro507


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Working Papers

2007

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

2004

  1. Extracting Inflation from Stock Returns to Test Purchasing Power Parity
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads
    Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2003) Downloads

    See also Journal Article in American Economic Review (2005)

1989

  1. PRICE VOLATILITY, INTERNATIONAL MARKET LINKS, AND THEIR IMPLICATIONS FOR REGULATORY POLICIES
    Working Papers, Columbia - Center for Futures Markets View citations (92)

Journal Articles

2008

  1. Liquidity and market efficiency
    Journal of Financial Economics, 2008, 87, (2), 249-268 Downloads View citations (226)

2007

  1. How employee stock options and executive equity ownership affect long-term IPO operating performance
    Journal of Corporate Finance, 2007, 13, (5), 695-720 Downloads View citations (11)
  2. Is European M&A Regulation Protectionist?
    Economic Journal, 2007, 117, (522), 1096-1121 Downloads View citations (14)
  3. Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis
    Journal of Finance, 2007, 62, (5), 2201-2234 Downloads View citations (52)

2006

  1. Investor Reaction to Inter‐corporate Business Contracting: Evidence and Explanation
    Economic Notes, 2006, 35, (3), 253-291 Downloads
  2. Taxes and dividend clientele: Evidence from trading and ownership structure
    Journal of Banking & Finance, 2006, 30, (1), 229-246 Downloads View citations (11)

2005

  1. Evidence on the speed of convergence to market efficiency
    Journal of Financial Economics, 2005, 76, (2), 271-292 Downloads View citations (102)
  2. Extracting Inflation from Stock Returns to Test Purchasing Power Parity
    American Economic Review, 2005, 95, (1), 255-276 Downloads View citations (6)
    See also Working Paper (2004)

2004

  1. Market Response to European Regulation of Business Combinations
    Journal of Financial and Quantitative Analysis, 2004, 39, (4), 731-757 Downloads View citations (52)
  2. Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange
    Journal of Financial and Quantitative Analysis, 2004, 39, (2), 327-341 Downloads View citations (48)

2003

  1. Benefits to Homeowners from Mortgage Portfolios Retained by Fannie Mae and Freddie Mac
    Journal of Financial Services Research, 2003, 23, (1), 29-42 Downloads View citations (13)
  2. Determinants of Daily Fluctuations in Liquidity and Trading Activity
    Latin American Journal of Economics-formerly Cuadernos de Economía, 2003, 40, (121), 728-751 Downloads View citations (2)

2002

  1. 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 Downloads View citations (43)
  2. Order imbalance, liquidity, and market returns
    Journal of Financial Economics, 2002, 65, (1), 111-130 Downloads View citations (233)
  3. Rational infinitely lived asset prices must be non-stationary
    Journal of Banking & Finance, 2002, 26, (6), 1093-1097 Downloads View citations (3)
  4. Remembering Mert
    Pacific-Basin Finance Journal, 2002, 10, (4), 353-353 Downloads

2000

  1. An explanation of the forward premium ‘puzzle’
    European Financial Management, 2000, 6, (2), 121-148 Downloads View citations (13)
  2. Commonality in liquidity
    Journal of Financial Economics, 2000, 56, (1), 3-28 Downloads View citations (433)

1999

  1. Learning from others, reacting, and market quality1
    Journal of Financial Markets, 1999, 2, (2), 153-178 Downloads View citations (5)

1995

  1. An empirical survey of Indonesian equities 1985-1992
    Pacific-Basin Finance Journal, 1995, 3, (2-3), 159-192 Downloads View citations (6)

1994

  1. On the Cross-sectional Relation between Expected Returns and Betas
    Journal of Finance, 1994, 49, (1), 101-21 Downloads View citations (44)

1992

  1. Industrial Structure and the Comparative Behavior of International Stock Market Indices
    Journal of Finance, 1992, 47, (1), 3-41 Downloads View citations (221)

1986

  1. Economic Forces and the Stock Market
    The Journal of Business, 1986, 59, (3), 383-403 Downloads View citations (1364)
  2. Stock return variances: The arrival of information and the reaction of traders
    Journal of Financial Economics, 1986, 17, (1), 5-26 Downloads View citations (524)
  3. The Hubris Hypothesis of Corporate Takeovers
    The Journal of Business, 1986, 59, (2), 197-216 Downloads View citations (722)

1985

  1. A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency
    Journal of Financial Economics, 1985, 14, (3), 349-357 Downloads View citations (10)

1984

  1. A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply
    Journal of Finance, 1984, 39, (2), 347-50 Downloads View citations (12)
  2. A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market
    Journal of Finance, 1984, 39, (4), 1127-39 Downloads View citations (521)
  3. On Valuing American Call Options with the Black-Scholes European Formula
    Journal of Finance, 1984, 39, (2), 443-55 Downloads View citations (13)
  4. Orange Juice and Weather
    American Economic Review, 1984, 74, (5), 861-80 Downloads View citations (116)

1983

  1. On computing mean returns and the small firm premium
    Journal of Financial Economics, 1983, 12, (3), 371-386 Downloads View citations (70)
  2. Over-the-Counter Option Market Dividend Protection and "Biases" in the Black-Scholes Model: A Note
    Journal of Finance, 1983, 38, (4), 1271-77 Downloads View citations (5)
  3. The Fiscal and Monetary Linkage between Stock Returns and Inflation
    Journal of Finance, 1983, 38, (1), 1-33 Downloads View citations (243)

1981

  1. A Possible Explanation of the Small Firm Effect
    Journal of Finance, 1981, 36, (4), 879-88 Downloads View citations (62)
  2. Strategies for Pairwise Competition in Markets and Organizations
    Bell Journal of Economics, 1981, 12, (1), 201-213 Downloads View citations (18)

1980

  1. An Empirical Investigation of the Arbitrage Pricing Theory
    Journal of Finance, 1980, 35, (5), 1073-1103 Downloads View citations (194)
  2. Orthogonal Portfolios
    Journal of Financial and Quantitative Analysis, 1980, 15, (5), 1005-1023 Downloads View citations (8)

1979

  1. A reply to Mayers and Rice (1979)
    Journal of Financial Economics, 1979, 7, (4), 391-400 Downloads View citations (6)
  2. On some parity conditions encountered frequently in international economics
    Journal of Macroeconomics, 1979, 1, (3), 267-283 Downloads View citations (9)

1978

  1. Ambiguity when Performance is Measured by the Securities Market Line
    Journal of Finance, 1978, 33, (4), 1051-69 Downloads View citations (74)

1977

  1. 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 Downloads View citations (312)
  2. A pure foreign exchange asset pricing model
    Journal of International Economics, 1977, 7, (2), 161-179 Downloads View citations (18)
  3. An analytic valuation formula for unprotected American call options on stocks with known dividends
    Journal of Financial Economics, 1977, 5, (2), 251-258 Downloads View citations (52)
  4. An empirical study of risk under fixed and flexible exchange
    Carnegie-Rochester Conference Series on Public Policy, 1977, 5, (1), 235-265 Downloads View citations (2)
  5. Comments on qualitative results for investment proportions
    Journal of Financial Economics, 1977, 5, (2), 265-268 Downloads View citations (4)

1975

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

1974

  1. Capital Budgeting of Risky Projects with "Imperfect" Markets for Physical Capital
    Journal of Finance, 1974, 29, (2), 601-13 Downloads View citations (11)
  2. Rational Response to the Money Supply
    Journal of Political Economy, 1974, 82, (3), 587-97 Downloads View citations (1)

1973

  1. Assets, Money, and Commodity Price Inflation Under Uncertainty: Demand Theory
    Journal of Money, Credit and Banking, 1973, 5, (4), 903-23 Downloads View citations (6)
  2. Evidence on the "Growth-Optimum" Model
    Journal of Finance, 1973, 28, (3), 551-66 Downloads View citations (9)

1972

  1. Interest Rates on Monetary Assets and Commodity Price Index Changes
    Journal of Finance, 1972, 27, (2), 251-77 Downloads View citations (15)
  2. Investor Evaluation of Accounting Information: Some Empirical Evidence
    The Journal of Business, 1972, 45, (2), 225-57 Downloads View citations (33)

1971

  1. Expectations and the Demand for Bonds: Comment
    American Economic Review, 1971, 61, (1), 225-28 Downloads
  2. Investment Diversification and Bond Maturity
    Journal of Finance, 1971, 26, (1), 51-66 Downloads View citations (10)

1970

  1. 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 Downloads

1969

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

1968

  1. 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 Downloads

1966

  1. Interest-Rate Risk and the Term Structure of Interest Rates: Comment
    Journal of Political Economy, 1966, 74, 629 Downloads
 
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