Richard Roll

Professor Emeritus, Joel Fried Chair in Applied Finance

Phone: (310) 825-6118

Fax: (310) 206-8404


Richard Roll holds the Joel Fried Chair in Applied Finance at UCLA Anderson.  He is also a principal of the consulting firm, Compensation Valuation, Inc.   Other business experience includes the Boeing Company where, in the early 1960's, he worked on the 727 and wrote the operating manual for the first stage booster of the Saturn moon rocket.  During 1985-87, he was a vice-president of Goldman, Sachs & Co., where he founded and directed the mortgage securities research group.  He has been a consultant for many corporations, law firms, and government agencies, and has served on several boards.

Prof. Roll was on the faculty at Carnegie-Mellon University, The European Institute for Advanced Study of Management in Brussels, and the French business school, Hautes Etudes Commerciales, near Paris.  He joined the UCLA faculty in 1976.

He has published two books and more than 100 articles in peer-reviewed journals.  His 1968 doctoral thesis won the Irving Fisher Prize as the best American dissertation in economics.  He has won the Graham and Dodd Award for financial writing four times and the Leo Melamed Award for the best financial research by an American business school professor.  Prof. Roll is the past president of the American Finance Association and is a fellow of the Econometric Society.  He has been an associate editor of eleven different journals in finance and economics.


Ph.D. Economics, Finance, and Statistics 1968, University of Chicago
MBA Business, 1963, University of Washington
B.A.E. Aeronautical Engineering, 1961, Auburn University


Arbitrage Pricing Theory, Asset Pricing, Bond Markets, Derivatives, Efficient Markets, Hedging Strategies, Index Funds, Investment Theory, Interest Rates, Mutual Funds, Portfolio Management, Securities Exchange Commission, Stock Market Analysis, Banking
  • Nihat Aktas, Eric de Bodt and Richard Roll. (2007). Is European M&A Regulation Protectionist?. The Economic Journal, [ Link ]
  • Richard Roll, Eduardo S. Schwartz, and Avanidhar Subrahmanyam. (October 2007). Liquidity and the Law of One Price: The Case of the Futures-Cash Basis. Journal of Finance, [ Link ]
  • Fayez A. Elayan, Kuntara Pukthuanthong, and Richard Roll. (November 2006). Investor Reaction to Inter-Corporate Business Contracting: Evidence and Explanation. Economic Notes, [ Link ]
  • Kuntara Pukthuanthong and Richard Roll. (January 27, 2014). A Protocol for Factor Identification. [ Download ] [ Show Abstract ]
    It is now generally agreed that multiple factors drive asset returns. Their identities, however, remain subject to wide debate, despite a plethora of factor candidates nominated in a voluminous literature. We propose a protocol for sorting them out. Our protocol involves seven empirical stages that successively identify non-risk factors that are not priced, non-risk factors that are (i.e., arbitrage opportunities), risk factors that are not priced, and those that are. Certain principles apply. Factor movements should not be easily predictable. A characteristic such as firm size, or anything else known in advance, cannot be a factor. However, characteristics can be related to mean returns either because they happen to align with factor loadings or because they represent arbitrage opportunities. Truly pervasive factors with accompanying risk premium must be related to the covariances among returns on real assets only, not to the covariances of any assets in zero net supply, such as bonds and derivatives. Time variation in covariances is a challenge, but soluble with recently developed statistical procedures.
  • Nihat Aktasa, Eric de Bodtb and Richard Roll. (April 29, 2013). Rival Reactions. [ Download ] [ Show Abstract ]
    Mergers and acquisitions are major events, reshaping competition among related firms (traditionally called rivals). Despite their seeming importance, most merger and acquisition studies have found only a limited empirical impact on rival stock prices. Our paper revisits this issue using a novel approach to characterize the degree of interactions among related firms based on their stock return correlations after controlling for market and industry price movements. Our approach filters out firms that are not related and distinguishes business partners from direct competitors. The results indicate that merger and acquisition announcements are on average bad news for both business partners and direct competitors of the acquirer. This provides significant evidence that mergers and acquisitions reinforce an acquirer competitive advantage, a validation of the competitive pressure hypothesis. JEL classification: G34 Keywords: Mergers and acquisitions, industry rivals, market power, competitive pressure
  • Pukthuanthong, Kuntara and Roll, Richard. (January 2011). Internationally Correlated Jumps. [ Download ]

Working Papers

Bongaerts, D., Roll, R., Rösch, D., van Dijk, M., and Yuferova, D. (July, 2014). "The Propagation of Shocks Across International Equity Markets: A Microstructure Perspective" [ Link ]

Pukthuanthong, K., Roll, R., and Wang, J. (July, 2014). "Resolving the Errors-in-Variables Bias in Risk Premium Estimation" [ Link ]

Roll, R., de Bodt, E., and Cousin, J. (July, 2014). "The Hubris Hypothesis: Empirical Evidence" [ Link ]

Roll, R., Berger, D., and Pukthuanthong, K. (December, 2013). "On Valuing Human Capital And Relating It to Macro-Economic Conditions" [ Link ]

Roll, R., Schwartz, E., and Subrahmanyam, A. (December, 2010)."Volume in Redundant Assets" [ Link ]

Pukthuanthong-Le, K., and Roll, R. (July, 2010). Internationally Correlated Jumps [ Link ]

Aktas, N., De Bodt, E., H. Bollaert, and Roll, R. (July, 2010). "CEO Narcissism and the Takeover Process" [ Link ]

Aktas, N., De Bodt, E., and Roll, R. (July, 2010). "MicroHoo: Lessons from a takeover attempt" [ Link ]

Aktas, N., De Bodt, E., and Roll, R. (March, 2011). "Learning from Repetitive Acquisitions: Evidence from the Time Between Deals" [ Link ]

DeAngelo, Harry, and Roll, R. (March, 2011). "How Stable are Corporate Capital Structures?" [ Link ]

Richard Roll and Avanidhar Subrahmanyam. (October 2009). "Liquidity Skewness" [ Link ]

John Cotter and Richard Roll. (October 2009). "A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics" [ Link ]

Nihat Aktas, Eric de Bodt, and Richard Roll. (March 2008). "The Elapsed Time Between Acquisitions" [ Link ]

Richard Roll, Eduardo Schwartz, and Avanidhar Subrahmanyam. (March 2009). "Relative Trading Activity in Options and Stock" [ Link ]

Moshe Levy and Richard Roll. (January 2009). "The Market Portfolio may be Mean-Variance Efficient After All" [ Link ]

Kuntara Pukthuanthong-Le and Richard Roll. (January 2009). "Global Market Integration: An Alternative Measure and Its Application" [ Link ]

Richard Roll and J. Fred Weston. (December 2008). "Average and Marginal Tobin’s q as Indicators of Future Growth Opportunities, Expected Return, and Risk" [ Link ]

Nihat Aktas, Eric de Bodt, and Richard Roll. (March 2008). "The Elapsed Time Between Acquisitions" [ Link ]

Richard Roll's Vita

Richard Roll's Working Papers and Publications

Prof. Roll on Valuing Employee Stock Options (Windows Media)