Richard Roll

Profile photo of Richard Roll
 

Professor Emeritus, Joel Fried Chair in Applied Finance

(310) 825-6118

Areas of Expertise

  • Arbitrage Pricing Theory
  • Asset Pricing
  • Banking
  • Bond Markets
  • Derivatives
  • Efficient Markets
  • Hedging Strategies
  • Interest Rates
  • Investment Theory
  • Mutual Funds
  • Portfolio Management
  • Securities Exchange Commission
  • Stock Market Analysis

About

 

Biography

A finance expert known for his work on portfolio theory and asset pricing, Richard Roll joined UCLA Anderson as professor of finance in 1976. He held the Allstate Chair between 1982 and 2002, the Japan Alumni Chair from 2002 to 2011, and the Joel Fried Chair in Applied Finance for three years before retiring in 2014. Prior to joining Anderson, Roll was a faculty member at Carnegie Mellon University, the European Institute for Advanced Study of Management in Brussels, and the French business school Hautes Etudes Commerciales, near Paris. Roll is now the Linde Professor of Finance at the California Institute of Technology.

His business experience ranges from aeronautical engineer at the Boeing Company, where he worked on the 727 and wrote the operating manual for the first stage booster of the Saturn moon rocket in the early '60s, to vice president of Goldman, Sachs & Co., where he founded and directed the mortgage securities research group, and founder and principal of the consulting firms, Roll & Ross Asset Management and Compensation Valuation Inc. He has been a consultant for numerous corporations, law firms and government agencies, and has served on several boards.

Roll has published several 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 is a four-time recipient of the Graham and Dodd Award for financial writing and won the Leo Melamed Award for the best financial research by an American business school professor. Some of his most recent awards include: the Bernstein-Fabozzi/Jacobs-Levy award for the best paper published during 2013 in the Journal of Portfolio Management; the Ross Best Paper Award for 2013 in Finance Research Letters; the Dean's Award for Mentoring Doctoral Students in 2014 at UCLA Anderson; and the Onassis Prize for Finance in 2015.

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 11 different journals in finance and economics.

 

Education

Ph.D. Economics, Finance, and Statistics 1968, University of Chicago

MBA Business, 1963, University of Washington

B.A.E. Aeronautical Engineering, 1961, Auburn University

 

Published Papers

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 ]

 

Working Papers

"Institutional determinants of capital structure adjustment speeds" with Özde Öztekin, Mark J. Flannery (September 2010).

"(Im) Possible Frontiers: A Comment" Moshe Levy and Richard Roll (April, 2011).

"Volume in Redundant Assets" with Eduardo S. Schwartz & Avanidhar Subrahmanyam (March, 2011).

"Learning from Repetitive Acquisitions: Evidence from the time Between Deals" with Nihat Aktas, Eric de Bodt (March 2011).

"How Stable are Corporate Capital Structures?" http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1784204 with Harry DeAngelo (March 2011).

"Volume in Redundant Assets" with Eduardo S. Schwartz & Avanidhar Subrahmanyam (July, 2010).

"MicroHoo: Lessons from a takeover attempt" with Nihat Aktas, Eric de Bodt (July, 2010).

"CEO Narcissism and the Takeover Process" with Nihat Aktas, Eric de Bodt and Helen bollaert (July, 2010).

"Internationally Correlated Jumps" with Kuntara Pukthuanthong-Le (July, 2010). 

"The Market Portfolio May be Mean-Variance Efficient After All" with Moshe Levy (January, 2009).

"Global Market Integration: An Alternative Measure and Its Application" with Kuntara Pukthuanthong-Le (January, 2009).

"Average and Marginal Tobin's q as Indicators of Future Growth Opportunities, Expected Return, and Risk" with J. Fred Weston (December 2008).

"The Elapsed Time Between Acquisitions" with Nihat Aktas, Eric de Bodt (March 2008).

"Real Interest Rates, Expected Inflation, and Real Estate Returns: A Comparison of the U.S. and Canada" with Kuntara Pukthuanthong-Le (November, 2007).

"Learning, hubris and corporate serial acquisitions" with Nihat Aktas & Eric de Bodt (February 1, 2007).

"Corporate Serial Acquisitions: An empirical test of the learning hypothesis" with Nihat Aktas & Eric de Bodt (2007).

"Investor Reaction to Inter-Corporate Business Contracting: Evidence and Explanation" with Fayez A. Elayan & Kuntara Pukthuanthong (2007).

"Learning, Hubris, and Corporate Serial Acquisitions" with Nihat Aktas & Eric de Bodt (2007).

"Liquidity and the Law of One Price: The Case of the Futures/Cash Basis" with Eduardo S. Schwartz & Avanidhar Subrahmanyam (2007).

"Negotiation Under the Threat of an Auction: Friendly deals, ex-ante competition and bidder returns" with Nihat Aktas & Eric de Bodt (2007).

"Options Trading Activity and Firm Valuation" with Eduardo S. Schwartz & Avanidhar Subrahmanyam (2007).

"Why Has Trading Volume Increased?" with Tarun Chordia & Avanidhar Subrahmanyam (2007).

"Hubris, Learning, and M&A Decisions: Empirical Evidence" with Nihat Aktas & Eric de Bodt (2006).

"How Employee Stock Options and Executive Equity Ownership Enhance Long-term IPO Performance" with Pukthuanthong and Walker (September, 2005).

"Was European M&A Regulation Protectionist?" with Nihat Aktas & Eric de Bodt (September 2005).

"Liquidity and the Law of One Price: The Case of the Futures/Cash Basis" with Schwartz and Subrahmanyam (August, 2005).

"The Valuation Effect and Determinants of Corporate Contracting" with Elayan and Pukthuanthong (July, 2005).

"The End of Class Warfare: An Examination of Income Disparity" with Talbott (April, 2002).

"Why Many Developing Countries Just Aren't" with Talbott (November, 2001).

"Order Imbalance, Liquidity, and Market Returns" with Chordia and Subrahmanyam (April, 2001).

 

Published Journal Articles

Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam, Liquidity and Market EfficiencyJournal of Financial Economics, 87:2, (February 2008).

Elayan, F., Pukthuanthong, K., and Roll, R., Investor Reaction to Inter-corporate Business Contracting: Evidence and ExplanationEconomic Notes, 35, 253-291 (March 2007).

Roll, R., Benefits to Homeowners from Mortgage Portfolios Retained by Fannie Mae and Freddie Mac, Journal of Financial Services Research, 23:1, 29-42 (2003).

Chakrabarti, R., and R. Roll, East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis, Journal of Financial Markets 5, 1-30 (August 2002).

Chordia, T., R. Roll and A. Subrahmanyam, Market Liquidity and Trading ActivityJournal of Finance, 56, 501-530 (April 2001).

Chordia, T., R. Roll and A. Subrahmanyam, Co-Movements in Bid-Ask Spreads and Market DepthFinancial Analysts Journal 56, 23-27 (September 2000).

67. Chordia, T., R. Roll, and A. Subrahmanyam, Commonality in LiquidityJournal of Financial Economics, 56, 3-28 (April 2000).

Roll, R., and Shu Yan, An Explanation of the Forward Premium "Puzzle",European Financial Management(June 2000).

Chakrabarti, Rajesh, and R. Roll, Learning from Others, Reacting, and Market QualityJournal of Financial Markets (May 1999).

Pedrosa, M. and R. Roll, Systematic Risk in Corporate Bond Credit Spreads, Journal of Fixed Income (December 1998).

Roll, R., U.S. Treasury Inflation-Indexed Bonds: The Design of a New SecurityJournal of Fixed Income, 9-28 (December 1996).

Roll, R., An Empirical Survey of Indonesian Equitites, 1985-1991Pacific Basin Finance Journal (Summer 1995).

Roll, R., What Every CFO Should Know About Scientific Progress in Financial Economics: What is Known, and What Remains to be ResolvedFinancial Management, 69-75 (Summer 1994).

Roll, R., S.A. Ross, On the Cross-Sectional Relation Between Expected Returns and BetasJournal of Finance, 101-121 (March 1994).

Roll, R., A Mean/Variance Analysis of Tracking ErrorJournal of Portfolio Management, 13-22 (Summe, 1992).

Roll, R., Industrial Structure and The Comparative Behavior of International Stock Market IndicesJournal of Finance, 47, 1, 3-41 (March 1992).

oll, R. and Ross, S.A., Impot Progress if et Inegalite du RevenuFINECO, 1, 1, 107-130 (Automne 1991).

Roll, R., La Gestion del Riesgo en Las Instituciones de Ahorro, Mas Alla del Desfase de Duracion (trad. Amadeo Reynes Pascual), ICE Revista de Economia, 688, 218-241 (Diciembre 1990).

Roll, R., Price Volatility, International Market Links, and Their Implications for Regulatory PoliciesJournal of Financial Services Research, 3, 211-246 (December 1989).

Richard, S.F. and Roll, R., Prepayments on Fixed-Rate Mortgage-Backed SecuritiesJournal of Portfolio Management, 73-82 (Spring 1989)

Roll, R., The International Crash of October 1987, Financial Analysts Journal, 19-35 (September-October 1988).

Roll, R., R-SquaredJournal of Finance, 43, 2, 541-566 (July 1988).

Berk, J. and Roll, R., Adjustable Rate Mortgages: ValuationJournal of Real Estate Finance and Economics, 1, 2, 163-184 (June 1988).

Bartholomew, L., Berk, J. and Roll, R., Adjustable Rate Mortgages: Prepayment BehaviorHousing Finance Review, 7, 1, 31-46 (Spring 1988).

Roll, R., Recent Innovations in Collateralized Mortgage ObligationsHousing Finance Review (Winter 1987).

Roll, R., Adjustable Rate Mortgages: The IndexesHousing Finance Review 6, 2, 137-152 (Summer 1987).

Queen, M., and Roll, R., Firm Mortality: Using Market Indicators to Predict SurvivalFinancial Analysts Journal (May/June 1987).

Roll, R., La Theorie Financiere et les Affaires, Politique Economique, 14-19 (October 1986).

French, K.R. and Roll, R., Stock Return Variances: The Arrival of Information and the Reaction of TradersJournal of Financial Economics, 17, 5-26 (September 1986).

Chen, N., Roll, R., and Ross, S.A., Economic Forces and the Stock MarketJournal of Business, 59, 3, 383-403 (July 1986).

Roll, R., The Hubris Hypothesis of Corporate TakeoversJournal of Business, 59, 2, 197-216 (April 1986).

Roll, R., A Note on the Geometry of Shanken's CSR T-squared Test for Mean/Variance EfficiencyJournal of Financial Economics, 14, 349-357 (September 1985).

Roll, R., Orange Juice and WeatherAmerican Economic Review, 74, 5, 861-880 (December 1984).

Roll, R., A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient MarketJournal of Finance, 39, 4, 1127-1139 (September 1984).

Roll, R. and Ross, S.A., The Arbitrage Pricing Theory Approach to Strategic Portfolio PlanningFinancial Analysts Journal, 14-26 (May/June 1984).

Roll, R. and Ross, S.A., A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A ReplyJournal of Finance, 39, 2, 347-350 (June 1984).

Geske, R. and Roll, R., On Valuing American Call Options with the Black/Scholes European FormulaJournal of Finance, 39, 2, 443-455 (June 1984).

Roll, R., After-Tax Investment Results from Long-Term vs. Short-term Discount Coupon BondsFinancial Analysts Journal, 43-54 (January/February 1984).

Roll, R., On Computing Mean Returns and the Small Firm PremiumJournal of Financial Economics, 12, 371-386 (November 1983).

Geske, R., Roll, R., and Shastri, K., Over-the-Counter Option Market Dividend Protection and Biases in the Black/Scholes Model: A NoteJournal of Finance, 38, 4, 1271-1277 (September 1983).

Roll, R. and Ross, S.A., Regulation, The Capital Asset Pricing Model and the Arbitrage Pricing TheoryPublic Utilities Fortnightly, 111, 22-28 (May 1983).

Geske, R. and Roll, R., The Fiscal and Monetary Linkage Between Stock Returns and InflationJournal of Finance, 38, 1, 1-33 (March 1983).

Roll, R, The Turn-of-the-Year Effect and the Return Premia of Small FirmsJournal of Portfolio Management, 9, 18-28 (Winter 1983).

Roll, R., A Possible Explanation of the Small Firm EffectJournal of Finance, 36, 4, 879-888 (September 1981).

Cornell, B., and Roll, R., Strategies for Pairwise Competitions in Markets and OrganizationsBell Journal of Economics, 12, 1, 201-213 (Spring 1981).

Roll, R., Performance Evaluation and Benchmark Errors [II]Journal of Portfolio Management, 7, 17-22 (Winter 1981).

Roll, R. and Ross, S.A., An Empirical Investigation of the Arbitrage Pricing TheoryJournal of Finance, 35, 5, 1073-1103 (December 1980).

Roll, R., Orthogonal PortfoliosJournal of Financial and Quantitative Analysis, 15, 5, 1005-1023 (December 1980).

Roll, R., Performance Evaluation and Benchmark Errors [I],Journal of Portfolio Management, 6, 5-12 (Summer 1980).

Roll, R., A Reply to Mayers and Rice [1979],Journal of Financial Economics, 7, 391-400 (December 1979).

Roll, R. and Solnik, B., On Some Parity Conditions Encountered Frequently in International EconomicsJournal of Macroeconomics, I, 3, 267-283 (Summer 1979).

Jacquillat, B. and Roll, R., French Index-Linked Bonds for U.S. Investors?,Journal of Portfolio Management, 75, 24-30 (Spring 1979).

Roll, R., Ambiguity When Performance is Measured by the Securities Market LineJournal of Finance, 33 1051-1069 (September 1978).

Roll, R. and Ross, S.A., Comments on Qualitative Results for Investment ProportionsJournal of FinancialEconomics, 5, 265-268 (March 1977).

Roll, R., An Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known DividendsJournal of Financial Economics, 5, 251-258 (March 1977).

Roll, R., A Critique of the Asset Pricing Theory's Tests,Journal of Financial Economics, 4, 129-176 (March 1977).

Roll, R. and Solnik, B., A Pure Foreign Exchange Asset Pricing ModelJournal of International Economics, 7, 161-179 (1977).

Roll, R., Rational Response to the Money SupplyJournal of Political Economy, 82, 3, 587-597 (May/June 1974).

Bogue, M. and Roll, R. Capital Budgeting of Risky Projects with Imperfect Markets for Physical CapitalJournal of Finance, 29, 2, 601-613 (May 1974).

Roll, R., Assets, Money and Commodity Price Inflation Under Uncertainty: Demand TheoryJournal of Money Credit and Banking, 5, 4, 905-923 (November 1973).

Roll, R., Evidence on the Growth-Optimum ModelJournal of Finance, 28, 3, 551-566 (June 1973).

Kaplan, R. and Roll, R., Accounting Changes and Stock Prices, (a condensed version of Investor Evaluation of Accounting Information: Some Empirical Evidence), Financial Analysts Journal, 1-6 (January/February 1973).

Roll, R., Interest Rates and Price Expectations During the Civil WarJournal of Economic History, 32, 2, 476-498 (June 1972).

Roll, R., Interest Rates on Monetary Assets and Commodity Price Index ChangesJournal of Finance, 27, 2, 251-277 (May 1972).

Kaplan, R. and Roll, R., Investor Evaluation of Accounting Information: Some Empirical EvidenceJournal of Business, 45, 2, 225-257 (April l972).

Fama, E. and Roll, R., Parameter Estimates for Symmetric Stable DistributionsJournal of the American Statistical Association, 66, 334, 331-338 (June 1971).

Roll, R., Expectations and the Demand for Bonds: CommentAmerican Economic Review, 61, 1, 225-228 (March 1971).

Roll. R., Investment Diversification and Bond MaturityJournal of Finance, 26, l, 51-66 (March l971).

Roll, R., Bias in Fitting the Sharpe Model to Time-Series DataJournal of Financial and Quantitative Analysis, 4, 3, 271-289 (September 1969).

Geisel, M., Roll, R. and Wettick, R., The Effectiveness of State and Local Regulation of Handguns: A Statistical AnalysisDuke Law Journal, 1969, 647-676 (August 1969).

Fama, E., Fisher, L., Jensen, M. and Roll, R., The Adjustment of Stock Prices to New InformationInternational Economic Review, 10, 1, 1-21 (February 1969).

Fama, E. and Roll, R., Some Properties of Symmetric Stable DistributionsJournal of the American Statistical Association, 63, 817-836 (September 1968).

Roll, R., Interest-Rate Risk and the Term Structure of Interest Rates: CommentJournal of Political Economy (December 1966).