Research Papers

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
73. Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam, Liquidity and Market Efficiency, Journal of Financial Economics, 87:2, (February 2008).
72. Elayan, F., Pukthuanthong, K., and Roll, R., Investor Reaction to Inter-corporate Business Contracting: Evidence and Explanation, Economic Notes, 35, 253-291 (March 2007).
71. 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).
70. 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).
69. Chordia, T., R. Roll and A. Subrahmanyam, Market Liquidity and Trading Activity, Journal of Finance, 56, 501-530 (April 2001).
68. Chordia, T., R. Roll and A. Subrahmanyam, Co-Movements in Bid-Ask Spreads and Market Depth, Financial Analysts Journal 56, 23-27 (September 2000).
67. Chordia, T., R. Roll, and A. Subrahmanyam, Commonality in Liquidity, Journal of Financial Economics, 56, 3-28 (April 2000).
66. Roll, R., and Shu Yan, An Explanation of the Forward Premium "Puzzle",European Financial Management(June 2000).
65. Chakrabarti, Rajesh, and R. Roll, Learning from Others, Reacting, and Market Quality, Journal of Financial Markets (May 1999).
64. Pedrosa, M. and R. Roll, Systematic Risk in Corporate Bond Credit Spreads, Journal of Fixed Income (December 1998).
63. Roll, R., U.S. Treasury Inflation-Indexed Bonds: The Design of a New Security, Journal of Fixed Income, 9-28 (December 1996).
62. Roll, R., An Empirical Survey of Indonesian Equitites, 1985-1991, Pacific Basin Finance Journal (Summer 1995).
61. Roll, R., What Every CFO Should Know About Scientific Progress in Financial Economics: What is Known, and What Remains to be Resolved, Financial Management, 69-75 (Summer 1994).
60. Roll, R., S.A. Ross, On the Cross-Sectional Relation Between Expected Returns and Betas, Journal of Finance, 101-121 (March 1994).
59. Roll, R., A Mean/Variance Analysis of Tracking Error, Journal of Portfolio Management, 13-22 (Summe, 1992).
58. Roll, R., Industrial Structure and The Comparative Behavior of International Stock Market Indices, Journal of Finance, 47, 1, 3-41 (March 1992).
57. Roll, R. and Ross, S.A., Impot Progress if et Inegalite du Revenu, FINECO, 1, 1, 107-130 (Automne 1991).
56. 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).
55. Roll, R., Price Volatility, International Market Links, and Their Implications for Regulatory Policies, Journal of Financial Services Research, 3, 211-246 (December 1989).
54. Richard, S.F. and Roll, R., Prepayments on Fixed-Rate Mortgage-Backed Securities, Journal of Portfolio Management, 73-82 (Spring 1989)
53. Roll, R., The International Crash of October 1987, Financial Analysts Journal, 19-35 (September-October 1988).
52. Roll, R., R-Squared, Journal of Finance, 43, 2, 541-566 (July 1988).
51. Berk, J. and Roll, R., Adjustable Rate Mortgages: Valuation, Journal of Real Estate Finance and Economics, 1, 2, 163-184 (June 1988).
50. Bartholomew, L., Berk, J. and Roll, R., Adjustable Rate Mortgages: Prepayment Behavior, Housing Finance Review, 7, 1, 31-46 (Spring 1988).
49. Roll, R., Recent Innovations in Collateralized Mortgage Obligations, Housing Finance Review (Winter 1987).
48. Roll, R., Adjustable Rate Mortgages: The Indexes, Housing Finance Review 6, 2, 137-152 (Summer 1987).
47. Queen, M., and Roll, R., Firm Mortality: Using Market Indicators to Predict Survival, Financial Analysts Journal (May/June 1987).
46. Roll, R., La Theorie Financiere et les Affaires, Politique Economique, 14-19 (October 1986).
45. French, K.R. and Roll, R., Stock Return Variances: The Arrival of Information and the Reaction of Traders, Journal of Financial Economics, 17, 5-26 (September 1986).
44. Chen, N., Roll, R., and Ross, S.A., Economic Forces and the Stock Market, Journal of Business, 59, 3, 383-403 (July 1986).
43. Roll, R., The Hubris Hypothesis of Corporate Takeovers, Journal of Business, 59, 2, 197-216 (April 1986).
42. Roll, R., A Note on the Geometry of Shanken's CSR T-squared Test for Mean/Variance Efficiency, Journal of Financial Economics, 14, 349-357 (September 1985).
41. Roll, R., Orange Juice and Weather, American Economic Review, 74, 5, 861-880 (December 1984).
40. Roll, R., A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market, Journal of Finance, 39, 4, 1127-1139 (September 1984).
39. Roll, R. and Ross, S.A., The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning, Financial Analysts Journal, 14-26 (May/June 1984).
38. Roll, R. and Ross, S.A., A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply, Journal of Finance, 39, 2, 347-350 (June 1984).
37. Geske, R. and Roll, R., On Valuing American Call Options with the Black/Scholes European Formula, Journal of Finance, 39, 2, 443-455 (June 1984).
36. Roll, R., After-Tax Investment Results from Long-Term vs. Short-term Discount Coupon Bonds, Financial Analysts Journal, 43-54 (January/February 1984).
35. Roll, R., On Computing Mean Returns and the Small Firm Premium, Journal of Financial Economics, 12, 371-386 (November 1983).
34. Geske, R., Roll, R., and Shastri, K., Over-the-Counter Option Market Dividend Protection and Biases in the Black/Scholes Model: A Note, Journal of Finance, 38, 4, 1271-1277 (September 1983).
33. Roll, R. and Ross, S.A., Regulation, The Capital Asset Pricing Model and the Arbitrage Pricing Theory, Public Utilities Fortnightly, 111, 22-28 (May 1983).
32. Geske, R. and Roll, R., The Fiscal and Monetary Linkage Between Stock Returns and Inflation, Journal of Finance, 38, 1, 1-33 (March 1983).
31. Roll, R, The Turn-of-the-Year Effect and the Return Premia of Small Firms, Journal of Portfolio Management, 9, 18-28 (Winter 1983).
30. Roll, R., A Possible Explanation of the Small Firm Effect, Journal of Finance, 36, 4, 879-888 (September 1981).
29. Cornell, B., and Roll, R., Strategies for Pairwise Competitions in Markets and Organizations, Bell Journal of Economics, 12, 1, 201-213 (Spring 1981).
28. Roll, R., Performance Evaluation and Benchmark Errors [II], Journal of Portfolio Management, 7, 17-22 (Winter 1981).
27. Roll, R. and Ross, S.A., An Empirical Investigation of the Arbitrage Pricing Theory, Journal of Finance, 35, 5, 1073-1103 (December 1980).
26. Roll, R., Orthogonal Portfolios, Journal of Financial and Quantitative Analysis, 15, 5, 1005-1023 (December 1980).
25. Roll, R., Performance Evaluation and Benchmark Errors [I],Journal of Portfolio Management, 6, 5-12 (Summer 1980).
24. Roll, R., A Reply to Mayers and Rice [1979],Journal of Financial Economics, 7, 391-400 (December 1979).
23. Roll, R. and Solnik, B., On Some Parity Conditions Encountered Frequently in International Economics, Journal of Macroeconomics, I, 3, 267-283 (Summer 1979).
22. Jacquillat, B. and Roll, R., French Index-Linked Bonds for U.S. Investors?,Journal of Portfolio Management, 75, 24-30 (Spring 1979).
21. Roll, R., Ambiguity When Performance is Measured by the Securities Market Line, Journal of Finance, 33 1051-1069 (September 1978).
20. Roll, R. and Ross, S.A., Comments on Qualitative Results for Investment Proportions, Journal of FinancialEconomics, 5, 265-268 (March 1977).
l9. Roll, R., An Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends, Journal of Financial Economics, 5, 251-258 (March 1977).
l8. Roll, R., A Critique of the Asset Pricing Theory's Tests,Journal of Financial Economics, 4, 129-176 (March 1977).
l7. Roll, R. and Solnik, B., A Pure Foreign Exchange Asset Pricing Model, Journal of International Economics, 7, 161-179 (1977).
l6. Roll, R., Rational Response to the Money Supply, Journal of Political Economy, 82, 3, 587-597 (May/June 1974).
l5. Bogue, M. and Roll, R. Capital Budgeting of Risky Projects with Imperfect Markets for Physical Capital, Journal of Finance, 29, 2, 601-613 (May 1974).
l4. Roll, R., Assets, Money and Commodity Price Inflation Under Uncertainty: Demand Theory, Journal of Money Credit and Banking, 5, 4, 905-923 (November 1973).
l3. Roll, R., Evidence on the Growth-Optimum Model, Journal of Finance, 28, 3, 551-566 (June 1973).
l2. 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).
ll. Roll, R., Interest Rates and Price Expectations During the Civil War, Journal of Economic History, 32, 2, 476-498 (June 1972).
l0. Roll, R., Interest Rates on Monetary Assets and Commodity Price Index Changes, Journal of Finance, 27, 2, 251-277 (May 1972).
9. Kaplan, R. and Roll, R., Investor Evaluation of Accounting Information: Some Empirical Evidence, Journal of Business, 45, 2, 225-257 (April l972).
8. Fama, E. and Roll, R., Parameter Estimates for Symmetric Stable Distributions, Journal of the American Statistical Association, 66, 334, 331-338 (June 1971).
7. Roll, R., Expectations and the Demand for Bonds: Comment, American Economic Review, 61, 1, 225-228 (March 1971).
6. Roll. R., Investment Diversification and Bond Maturity, Journal of Finance, 26, l, 51-66 (March l971).
5. Roll, R., Bias in Fitting the Sharpe Model to Time-Series Data, Journal of Financial and Quantitative Analysis, 4, 3, 271-289 (September 1969).
4. Geisel, M., Roll, R. and Wettick, R., The Effectiveness of State and Local Regulation of Handguns: A Statistical Analysis, Duke Law Journal, 1969, 647-676 (August 1969).
3. Fama, E., Fisher, L., Jensen, M. and Roll, R., The Adjustment of Stock Prices to New Information, International Economic Review, 10, 1, 1-21 (February 1969).
2. Fama, E. and Roll, R., Some Properties of Symmetric Stable Distributions, Journal of the American Statistical Association, 63, 817-836 (September 1968).
l. Roll, R., Interest-Rate Risk and the Term Structure of Interest Rates: Comment, Journal of Political Economy (December 1966).