Richard W. Roll
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Richard W. Rollbusiness Degrees
Business
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#344
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Finance
#16
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#19
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Business Economics
Richard W. Roll's Degrees
- PhD Finance University of Chicago
- Masters Finance University of Chicago
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(Suggest an Edit or Addition)Richard W. Roll's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- Economic Forces and the Stock Market (1986) (5327)
- The Adjustment of Stock Prices to New Information (1969) (4648)
- The Hubris Hypothesis of Corporate Takeovers (1986) (3808)
- A Critique of the Asset Pricing Theory''s Tests: Part I (1977) (2957)
- A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market (1984) (2654)
- Stock return variances: The arrival of information and the reaction of traders (1986) (1934)
- Commonality in Liquidity (1999) (1641)
- Market Liquidity and Trading Activity (2000) (1431)
- An Empirical Investigation of the Arbitrage Pricing Theory (1980) (1283)
- The Fiscal and Monetary Linkage between Stock Returns and Inflation (1983) (1000)
- Liquidity and Market Efficiency (2007) (839)
- A Mean/Variance Analysis of Tracking Error (1992) (728)
- Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992) (668)
- Orderimbalance, Liquidity and Market Returns (2001) (629)
- Parameter Estimates for Symmetric Stable Distributions (1971) (544)
- Global market integration: An alternative measure and its application (2009) (522)
- AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE (1978) (491)
- A Possible Explanation of the Small Firm Effect (1981) (471)
- Recent Trends in Trading Activity and Market Quality (2010) (443)
- Some Properties of Symmetric Stable Distributions (1968) (442)
- On the Cross-sectional Relation between Expected Returns and Betas (1994) (411)
- The International Crash of October 1987 (1988) (372)
- An analytic valuation formula for unprotected American call options on stocks with known dividends (1977) (368)
- On computing mean returns and the small firm premium (1983) (338)
- Evidence on the Speed of Convergence to Market Efficiency (2001) (326)
- O/S: The Relative Trading Activity in Options and Stock (2009) (306)
- Investor Evaluation of Accounting Information: Some Empirical Evidence (1972) (215)
- CEO Narcissism and the Takeover Process: From Private Initiation to Deal Completion (2012) (195)
- Prepayments on fixed-rate mortgage-backed securities (1989) (187)
- Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis (2007) (183)
- Price volatility, international market links, and their implications for regulatory policies (1989) (182)
- R-S1-2 (1988) (180)
- Learning, Hubris and Corporate Serial Acquisitions (2007) (173)
- The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning (1984) (172)
- Learning from Repetitive Acquisitions: Evidence from the Time between Deals (2012) (171)
- Negotiations Under the Threat of an Auction (2009) (170)
- Gold and the Dollar (and the Euro, Pound, and Yen) (2011) (163)
- Serial Acquirer Bidding: An Empirical Test of the Learning Hypothesis (2011) (154)
- Options Trading Activity and Firm Valuation (2007) (152)
- Systematic Risk in Corporate Bond Credit Spreads (1998) (146)
- Market Response to European Regulation of Business Combinations (2002) (141)
- Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange (2001) (136)
- Is European M&A Regulation Protectionist? (2004) (123)
- East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis (2001) (121)
- The Market Portfolio May Be Mean/Variance Efficient after All (2010) (120)
- On Valuing American Call Options with the Black-Scholes European Formula (1984) (118)
- The Behavior of Interest Rates. (1972) (106)
- The Behavior of Interest Rates: An Application of the Efficient Market Model to U (1970) (105)
- CAPITAL BUDGETING OF RISKY PROJECTS WITH “IMPERFECT” MARKETS FOR PHYSICAL CAPITAL (1974) (102)
- How Stable are Corporate Capital Structures? (2013) (94)
- A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply (1984) (89)
- A pure foreign exchange asset pricing model (1977) (86)
- EVIDENCE ON THE “GROWTH-OPTIMUM” MODEL (1973) (85)
- INTEREST RATES ON MONETARY ASSETS AND COMMODITY PRICE INDEX CHANGES (1972) (82)
- What Every CFO Should Know about Scientific Progress in Financial Economics: What Is Known and What Remains to Be Resolved (1994) (81)
- Strategies for Pairwise Competition in Markets and Organizations (1981) (77)
- An Explanation of the Forward Premium 'Puzzle' (2000) (76)
- Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation (2014) (71)
- INVESTMENT DIVERSIFICATION AND BOND MATURITY (1971) (70)
- Why Many Developing Countries Just Aren't (2001) (66)
- A Delegated-Agent Asset-Pricing Model (2004) (66)
- A Protocol for Factor Identification (2014) (62)
- Political Freedom, Economic Liberty, and Prosperity (2003) (60)
- Bias in Fitting the Sharpe Model to Time Series Data (1969) (56)
- Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust (2014) (55)
- Taxes and dividend clientele: Evidence from trading and ownership structure (2006) (55)
- Empirical TIPS (2004) (55)
- Co-Movements in Bid-Ask Spreads and Market Depth (2000) (53)
- Assets, Money, and Commodity Price Inflation Under Uncertainty: Demand Theory (1973) (52)
- Newly Listed Firms: Fundamentals, Survival Rates, and Returns (2001) (48)
- Internationally Correlated Jumps (2015) (47)
- A reply to Mayers and Rice (1979) (1979) (47)
- Benefits to Homeowners from Mortgage Portfolios Retained by Fannie Mae and Freddie Mac (2003) (45)
- A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency (1985) (45)
- Performance Evaluation and Benchmark Errors (II)* (1980) (44)
- Orthogonal Portfolios (1980) (42)
- An empirical survey of Indonesian equities 1985–1992☆ (1995) (41)
- How employee stock options and executive equity ownership affect long-term IPO operating performance (2007) (36)
- Over-the-Counter Option Market Dividend Protection and "Biases" in the Black-Scholes Model: A Note (1983) (35)
- Interest Rates and Price Expectations During the Civil War (1972) (34)
- A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics (2015) (33)
- Regulation, the capital-asset pricing model, and the arbitrage pricing theory (1983) (32)
- U.S. Treasury Inflation-Indexed Bonds (1996) (32)
- Volatility, Correlation, and Diversification in aMulti-Factor World (2013) (30)
- On some parity conditions encountered frequently in international economics (1979) (29)
- Subordinated Exchange Rate Models: Evidence for Heavy Tailed Distributions and Long-Range Dependence (2001) (28)
- Extracting Inflation from Stock Returns to Test Purchasing Power Parity (2004) (26)
- Recent Trends in Trading Activity (2009) (25)
- Integration and Contagion in US Housing Markets (2011) (24)
- Learning from others, reacting, and market quality1 (1999) (24)
- Trading Activity in the Equity Market and Its Contingent Claims: An Empirical Investigation (2012) (24)
- Determinants of Daily Fluctuations in Liquidity and Trading Activity (2003) (23)
- An empirical study of risk under fixed and flexible exchange (1977) (23)
- Full-Stock-Payment Marginalization in Merger and Acquisition Transactions (2017) (22)
- INVESTORS LIKE FIRMS THAT EXPENSE EMPLOYEE STOCK OPTIONS AND THEY DISLIKE FIRMS THAT FAIL TO EXPENSE (2005) (21)
- A Comparative Anatomy of REITS and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics (2009) (21)
- Comments on qualitative results for investment proportions (1977) (20)
- Corporate Serial Acquisitions: An Empirical Test of the Learning Hypothesis (2007) (20)
- Rational infinitely lived asset prices must be non-stationary (2002) (18)
- Empirical Evidence of Overbidding in M&A Contests (2016) (18)
- Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World (2016) (17)
- The Financial Sector in India: Emerging Issues (2006) (17)
- New Series on Home Mortgage Yields Since 1951. (1972) (16)
- Hubris, Learning, and M&A Decisions (2005) (16)
- To Expense or not to Expense Employee Stock Options: The Market Reaction (2004) (13)
- MicroHoo: Deal Failure, Industry Rivalry, and Sources of Overbidding (2012) (12)
- A New Perspective on the Validity of the CAPM: Still Alive and Well (2012) (12)
- Market Response to European Regulation (2001) (11)
- Performance evaluation and benchmark errors (I)* (1980) (11)
- Essays on interest rates (1970) (10)
- Subordinated Stock Price Models: Heavy Tails and Long-Range Dependence in the High-frequency Deutsche Bank Price Record (2000) (9)
- Corporate Rivalry and Return Comovement (2020) (9)
- Tick Size, Price Grids and Market Performance: Stable Matches as a Model of Market Dynamics and Equilibrium (2018) (9)
- Interest-Rate Risk and the Term Structure of Interest Rates: Comment (1966) (8)
- Numerical Techniques in Finance. (1990) (8)
- (Im)Possible Frontiers: A Comment (2015) (8)
- Liquidity and the Law of One Price: The Case of the Cash/Futures Basis (2005) (7)
- Forthcoming, Review of Financial Studies (2014) (7)
- Common Determinants of Liquidity and Trading (2001) (7)
- Seeking Alpha? It’s a Bad Guideline for Portfolio Optimization (2016) (7)
- Development and freedom as risk management (2013) (7)
- Mimicking Portfolios (2018) (7)
- The Full Stock Payment Marginalization in M&A Transactions (2015) (7)
- Accounting Changes and Stock Prices (1973) (6)
- Adjustable Rate Mortgages: Valuation (1988) (6)
- Negotiation under the threat of an auction : friendly deals , ex-ante competition and bidder returns (2007) (6)
- Rival Reactions – Do Value-Increasing Mergers Bolster Monopoly Rents for Strong Rivals? (2014) (6)
- The Propagation of Shocks Across International Equity Markets (2014) (5)
- Hubris, learning, and M&A decisions: Empirical Evidence (2006) (5)
- Market Reactions to European Merger Regulation: A Reexamination of the Protectionism Hypothesis (2011) (5)
- The End of Class Warfare: An Examination of Income Disparity (2002) (5)
- On Valuing Human Capital And Relating it to Macro-Economic Conditions (2016) (5)
- A Toolkit for Factor-Mimicking Portfolios (2019) (5)
- The Equilibrium Assignment of Narcissistic CEOs to Firms (2015) (4)
- Average and Marginal Tobin’s q as Indicators of Future Growth Opportunities, Expected Return, and Risk by (2008) (4)
- Improved method for detecting acquirer fixed effects (2019) (4)
- Nominal Interest Rates and Loan Volume with Heterogeneous Beliefs (1997) (4)
- An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor (2015) (4)
- Real Interest Rates, Expected Inflation, and Real Estate Returns: A Comparison of the U.S. and Canada (2008) (3)
- Rational Response to the Money Supply (1974) (3)
- Measuring Non-Stationarity in the Parameters of a Linear Model with Applications to Asset Returns. (1977) (3)
- Improved Method for Detecting Acquirer Skills (2016) (2)
- Agnostic Tests of Stochastic Discount Factor Theory (2015) (2)
- Abstract–Measuring Nonstationarity in the Stochastic Process of Asset Returns (1975) (2)
- Alternative Variance Estimators for Pricing Options (2011) (2)
- On the Origination and Propagation of Shocks Across International Equity Markets: A Microstructure Perspective (2015) (2)
- Capital Structure Instability (2016) (2)
- Can Metropolitan Housing Risk Be Diversified? A Cautionary Tale from the Recent Boom and Bust (2012) (2)
- Rivals’ Returns (2020) (1)
- Investor Reaction to Inter-Corporate Business Contracting: Evidence and Explanation (2006) (1)
- How Employee Stock Options and Executive Equity Ownership Affect Long-Term IPO Stock Prices and Operating Performance (2009) (1)
- An Introduction to Risk and Return from Common Stocks . By Richard A. Brealey (Cambridge, Mass.: The M.I.T. Press, 1969). (1970) (1)
- Commonality in liquidity q (2000) (1)
- SECURITIES MARKET LINE (1978) (1)
- The Hubris Hypothesis: Empirical Evidence (2014) (1)
- How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective (2021) (1)
- Generalized Performance Measures: Optimal Overweighing of Fees Relative to Sample Returns (2018) (1)
- Testing Asset Pricing Model with Non-Traded Factors: A New Method to Resolve (Measurement/Econometric) Issues in Factor-Mimicking Portfolio (2019) (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 (1968) (1)
- The (Un)Intended Consequences of M&A Regulation (2020) (1)
- Volatility , Correlation , and Spread ETFs as Factors (2011) (1)
- Are Jumps of Hedge Funds Correlated Among Themselves and Across Other Assets (2011) (0)
- Progressive Taxation and the Inequality of After-Tax Income (1980) (0)
- Whither Diversification? (2023) (0)
- Futures Contracts as a Merchandising Tool: The Role of Delivery as a Means of Ownership Transfer (1993) (0)
- On Some International Parity Conditions (1979) (0)
- The Shrinkage Adjusted Sharpe Ratio: An Improved Method for Mutual Fund Selection (2022) (0)
- The Economic Effect of Potential Grain Futures Contract Redesign (1993) (0)
- Maintaining the Integrity of Grain Futures Contracts: The Economics of Manipulation and Its Prevention (1993) (0)
- The End of Class Warfare (2002) (0)
- Managing Risk in Thrift Institutions: Beyond the Duration Cap (1987) (0)
- Competition shocks, rival reactions, and return comovement (2021) (0)
- An Empirical Study of Exchange Risk Under Fixed and Flexible Exchange (1977) (0)
- The (Un)intended Consequences of M&A Regulatory Enforcements (2022) (0)
- Generalized Portfolio Performance Measures: Optimal Overweighting of Fees Relative to Sample Returns (2017) (0)
- CHAPTER 1 Order Imbalance , Liquidity , and Market Returns (2007) (0)
- Expectations and the Demand for Bonds: Comment (1971) (0)
- Changing Expected Returns Can Induce Spurious Serial Correlation (2019) (0)
- American Finance Association On the Cross-Sectional Relation between Expected Returns and Betas Author ( s ) : (2007) (0)
- Human Capital Valuation, Asset Pricing, and Economic Development (2023) (0)
- The Role of the Futures Delivery Process (1993) (0)
- CREDIT RISK AND RISK NEUTRAL DEFAULT PROBABILITIES : INFORMATION ABOUT RATING MIGRATIONS AND DEFAULTS by Gordon Delianedis and Robert Geske (1998) (0)
- The Efficient Frontier: A Note on the Curious Difference between Variance and Standard Deviation (2021) (0)
- The Economic Function of Futures Trading (1993) (0)
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