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Economics and Finance

D-Index
83
Citations
70295
World Ranking
231
National Ranking
171

Overview

Richard Roll is affiliated with the California Institute of Technology in the United States and has a research focus primarily within Economics, Econometrics, and Finance. Their work spans a total of 18 publications primarily concentrated in this field.

Their research subfields include Finance, Economics and Econometrics, Accounting, Management Science and Operations Research, and General Economics, Econometrics, and Finance. Within these areas, the main topics addressed are Financial Markets and Investment Strategies, Market Dynamics and Volatility, Corporate Finance and Governance, Stock Market Forecasting Methods, Merger and Competition Analysis, Auditing, Earnings Management, Governance, and Financial Risk and Volatility Modeling.

Richard Roll has contributed frequently to several academic venues. They have nine publications in the SSRN Electronic Journal and single publications in the Journal of Corporate Finance, Management Science, Journal of Financial and Quantitative Analysis, and The Journal of Investing.

Recent papers authored or co-authored by Richard Roll include:

  • The deterrence effect of M&A regulatory enforcements (2024, Journal of Corporate Finance)
  • How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective (2021, Management Science)
  • Competition Shocks, Rival Reactions, and Stock Return Comovement (2025, Journal of Financial and Quantitative Analysis)
  • The Shrinkage Adjusted Sharpe Ratio: An Improved Method for Mutual Fund Selection (2022, The Journal of Investing)
  • The (Un)Intended Consequences of M&A Regulation (2020, SSRN Electronic Journal)

They have collaborated frequently with several co-authors, including Eric de Bodt, Jean-Gabriel Cousin, Kuntara Pukthuanthong, Micah S. Officer, and Moshe Levy.

Best Publications

  • Economic Forces and the Stock Market

    N F Jotjensen;R Roll;S Ross

  • The Adjustment of Stock Prices to New Information

    Eugene F. Fama;Lawrence Fisher;Michael C. Jensen;Richard J. Roll

  • The Hubris Hypothesis of Corporate Takeovers

    Richard Roll

  • A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

    Richard Roll

  • A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

    Richard Roll

  • The Adjustment of Stock Prices to New Information

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  • Stock return variances: The arrival of information and the reaction of traders

    Kenneth R. French;Richard Roll;Richard Roll

  • Commonality in liquidity

    Tarun Chordia;Richard Roll;Avanidhar Subrahmanyam

  • Market Liquidity and Trading Activity

    Tarun Chordia;Richard Roll;Avanidhar Subrahmanyam

  • An Empirical Investigation of the Arbitrage Pricing Theory

    Richard Roll;Stephen A. Ross

  • The Fiscal and Monetary Linkage between Stock Returns and Inflation

    Robert Geske;Richard Roll

  • Order Imbalance, Liquidity, and Market Returns

    Tarun Chordia;Richard Roll;Avanidhar Subrahmanyam

  • Liquidity and market efficiency.

    Tarun Chordia;Richard Roll;Avanidhar Subrahmanyam

  • A Mean/Variance Analysis of Tracking Error

    Richard Roll

  • Industrial Structure and the Comparative Behavior of International Stock Market Indices

    Richard Roll

  • Parameter Estimates for Symmetric Stable Distributions

    Eugene F. Fama;Richard Roll

  • Global market integration: An alternative measure and its application

    Kuntara Pukthuanthong;Richard Roll

  • Some Properties of Symmetric Stable Distributions

    Eugene F. Fama;Richard Roll

  • Orange Juice and Weather

    Richard Roll

  • Commonality in Liquidity

    Tarun Chordia;Avanidhar Subrahmanyam;Avanidhar Subrahmanyam;Richard Roll

  • R-S1-2

    Richard Roll

  • Market Liquidity and Trading Activity

    Tarun Chordia;Avanidhar Subrahmanyam;Avanidhar Subrahmanyam;Richard Roll

Frequent Co-Authors

Avanidhar Subrahmanyam
Avanidhar Subrahmanyam University of California, Los Angeles
Tarun Chordia
Tarun Chordia Emory University
Eduardo S. Schwartz
Eduardo S. Schwartz Simon Fraser University
Stuart A. Gabriel
Stuart A. Gabriel University of California, Los Angeles
Bruno H. Solnik
Bruno H. Solnik Hong Kong University of Science and Technology
Merton H. Miller
Merton H. Miller University of Chicago
Eugene F. Fama
Eugene F. Fama University of Chicago
Svetlozar T. Rachev
Svetlozar T. Rachev Texas Tech University
Harry DeAngelo
Harry DeAngelo University of Southern California

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