Richard Roll : Citation Profile

Are you Richard Roll?

University of California-Los Angeles (UCLA)

25

H index

40

i10 index

7951

Citations

RESEARCH PRODUCTION:

58

Articles

5

Papers

RESEARCH ACTIVITY:

   42 years (1966 - 2008). See details.
   Cites by year: 189
   Journals where Richard Roll has often published
   Relations with other researchers
   Recent citing documents: 671.    Total self citations: 4 (0.05 %)

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   Permalink: http://citec.repec.org/pro507
   Updated: 2023-03-02    RAS profile: 2009-12-29    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Richard Roll.

Is cited by:

Subrahmanyam, Avanidhar (56)

Masih, Abul (29)

Renneboog, Luc (29)

Harvey, Campbell (29)

faff, robert (27)

Thorbecke, Willem (25)

Lo, Andrew (23)

Campbell, John (21)

Bartram, Söhnke (18)

Guidolin, Massimo (18)

Hautsch, Nikolaus (18)

Cites to:

Subrahmanyam, Avanidhar (17)

Fama, Eugene (13)

Stoll, Hans (9)

French, Kenneth (8)

Lee, Charles (8)

Miller, Merton (7)

Grossman, Sanford (7)

Shleifer, Andrei (7)

Stulz, René (7)

Kyle, Albert (5)

Ready, Mark (5)

Main data

Where Richard Roll has published?

Journals with more than one article published# docs
Journal of Finance15
Journal of Financial Economics11
Journal of Financial and Quantitative Analysis7
American Economic Review3
The Journal of Business3
Pacific-Basin Finance Journal2
Journal of Banking & Finance2
Journal of Financial Markets2
Journal of Political Economy2

Working Papers Series with more than one paper published# docs
Working Papers / University of Pennsylvania, Wharton School, Weiss Center2

Recent works citing Richard Roll (2022 and 2021)

YearTitle of citing document
2021Macro-Economic Variables and Stock Market: are they Co-integrated? - A Study on NSE India. (2021). Sahoo, Aditya Prasad. In: ComFin Research. RePEc:acg:comfin:v:9:y:2021:i:2:p:25-30.

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2022.

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2021The Impact of Macroeconomic Variables on Capital Market Development in Botswana’s Economy. (2021). Molefhi, Koketso. In: African Journal of Economic Review. RePEc:ags:afjecr:315797.

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2021.

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2021The Impact of CEO Overconfidence on Real Earnings Management: Evidence from M&A Transactions. (2021). Zouari, Ghazi ; Khlifi, Sawssen. In: Journal of Accounting and Management Information Systems. RePEc:ami:journl:v:20:y:2021:i:3:p:402-424.

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2022Scrambling for Dollars: International Liquidity, Banks and Exchange Rates. (2022). Engel, Charles ; Bigio, Saki ; Bianchi, Javier. In: Working Papers. RePEc:apc:wpaper:182.

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2021The Relation Between Trading Volume Concentration and Stock Returns. (2021). Lin, Yaling ; Lo, Chen-Chang ; Wen, Yi Ting ; Kuo, Jiann-Lin. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2021:p:82-89.

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2021Counterparty credit limits: An effective tool for mitigating counterparty risk?. (2017). Hautsch, Nikolaus ; Porter, Mason A ; Howison, Sam D ; Gould, Martin D. In: Papers. RePEc:arx:papers:1709.08238.

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2021Limits to Arbitrage in Markets with Stochastic Settlement Latency. (2018). Hautsch, Nikolaus ; Voigt, Stefan ; Scheuch, Christoph. In: Papers. RePEc:arx:papers:1812.00595.

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2022Additive normal tempered stable processes for equity derivatives and power law scaling. (2019). Baviera, Roberto ; Azzone, Michele. In: Papers. RePEc:arx:papers:1909.07139.

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2021The illiquidity network of stocks in Chinas market crash. (2020). Zhao, Jichang ; Tan, Xiaoling. In: Papers. RePEc:arx:papers:2004.01917.

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2021Instabilities in Multi-Asset and Multi-Agent Market Impact Games. (2020). Lillo, Fabrizio ; Cordoni, Francesco. In: Papers. RePEc:arx:papers:2004.03546.

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2021Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013.

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2021Order book dynamics in the presence of liquidity fluctuations. (2020). Yambartsev, Anatoly ; Rojas, Helder. In: Papers. RePEc:arx:papers:2004.10632.

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2021Dynamic Networks in Large Financial and Economic Systems. (2020). Baruník, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842.

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2021Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Papers. RePEc:arx:papers:2007.10727.

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2022On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates. (2021). Shin, Minchul ; Diebold, Francis X ; Zhang, Boyuan. In: Papers. RePEc:arx:papers:2012.11649.

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2021Order flow and price formation. (2021). Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2105.00521.

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2021Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units. (2021). Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:2105.10430.

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2021Effects of COVID-19 Vaccine Developments and Rollout on the Capital Market -- A Case Study. (2021). Nilchiani, Roshanak Rose ; Vierlboeck, Maximilian. In: Papers. RePEc:arx:papers:2105.12267.

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2021Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2022Price Impact of Order Flow Imbalance: Multi-level, Cross-sectional and Forecasting. (2021). Zhang, Chao ; Cucuringu, Mihai ; Cont, Rama. In: Papers. RePEc:arx:papers:2112.13213.

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2022Hierarchical Sensitivity Parity. (2022). Rodriguez, Alejandro. In: Papers. RePEc:arx:papers:2202.08921.

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2022Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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2022On the Dynamics of Solid, Liquid and Digital Gold Futures. (2022). Matsui, Toshiko ; Knottenbelt, William J ; Al-Ali, Ali. In: Papers. RePEc:arx:papers:2202.09845.

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2022Multi-Asset Bubbles Equilibrium Price Dynamics. (2022). Cordoni, Francesco. In: Papers. RePEc:arx:papers:2206.01468.

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2022Institutional ownership and liquidity commonality: evidence from Australia. (2022). Wu, Winston ; Elliott, Robert ; Bradrania, Reza. In: Papers. RePEc:arx:papers:2211.03287.

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2022Peer-reviewed theory does not help predict the cross-section of stock returns. (2022). Zimmermann, Tom ; Lopez-Lira, Alejandro ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2212.10317.

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2023Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362.

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2021The Impact of Quality of Accounting Information on Cost of Capital: Insight from an Emerging Economy. (2021). Shah, Attaullah ; Latif, Aysha Sami. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:292-307.

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2021Liquidity Synchronization and Asset Valuation in Selected Emerging Asian Economies. (2021). Bhutta, Nousheen Tariq ; Zaidi, Syeda Hina. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:488-500.

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2021Liquidity Synchronization and Asset Valuation in Selected Emerging Asian Economies. (2021). Bhutta, Nousheen Tariq ; Zaidi, Syeda Hina. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:v:11:y:2021:i:6:p:488-500:id:2101.

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2021Indicador Combinado de Liquidez para la Deuda Pública Local Colombiana. (2021). Martinez-Cruz, Diego Alejandro. In: Borradores de Economia. RePEc:bdr:borrec:1167.

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2021The Interdependence of FX and Treasury Bonds Markets: The Case of Colombia. (2021). Julio, Juan ; Julio-Roman, Juan Manuel ; Rojas-Silva, Kimberly ; Rincon-Torres, Andrey Duvan. In: Borradores de Economia. RePEc:bdr:borrec:1171.

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2022The Rising Interconnectedness of the Insurance Sector. (2022). Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:857.

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2022The term structure of carbon premia. (2022). Zulaica, Omar ; Xia, Dora. In: BIS Working Papers. RePEc:bis:biswps:1045.

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2023Signaling with debt currency choice. (2023). Zhou, Haonan ; Malamud, Semyon ; Eren, Egemen. In: BIS Working Papers. RePEc:bis:biswps:1067.

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2021Capital Market Returns and Inflation Nexus in Croatia: Wavelet Coherence Analysis. (2021). Maja, Bai ; Ivan, Novak ; Mile, Bonjak. In: Business Systems Research. RePEc:bit:bsrysr:v:12:y:2021:i:2:p:253-267:n:18.

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2021Executive Compensation and Company Valuation. (2021). Schueler, Andreas. In: Abacus. RePEc:bla:abacus:v:57:y:2021:i:2:p:297-324.

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2022Disclosures About Key Value Drivers in M&A Announcement Press Releases: An Exploratory Study. (2022). Stolowy, Hervé ; Paugam, Luc ; Lobo, Gerald J ; Filip, Andrei. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:1:p:62-104.

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2022Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity. (2022). Wagner, Niklas ; Kinateder, Harald ; Batten, Jonathan A. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:3:p:567-588.

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2021Corporate social responsibility and information flow. (2021). Wang, Xiaohong ; Chen, Gary. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:2:p:2759-2807.

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2021Order imbalance and stock returns: New evidence from the Chinese stock market. (2021). Zhou, Weixing ; Jiang, George J ; Zhang, Ting. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:2:p:2809-2836.

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2021Risk of holding stocks with liquidity sensitive to market uncertainty: evidence from China. (2021). Yan, WU ; Qian, Meifen ; Shen, Yifan ; Sun, Pingwen. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:1993-2029.

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2021The effect of stock liquidity on investment efficiency under financing constraints and asymmetric information: Evidence from the United States. (2021). Naidu, Dharmendra ; Haman, Janto ; Quah, Heidi. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:2109-2150.

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2021Media attention to locations and the cross?section of stock returns. (2021). Zhang, Xueyong ; Tang, Guomei. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:2301-2336.

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2021Gender, ethnicity and stock liquidity: evidence from South Africa. (2021). Muniandy, Balachandran ; Nguyen, Ha Thanh . In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:2337-2377.

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2022CEO pay disparity, takeover premiums and bidder performance in Australia: efficient contracting or managerial power?. (2022). Evans, John ; Duong, Lien ; Luong, Hoa. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:143-179.

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2022CEO inside debt and the acquisition of private targets. (2022). Hossain, Ashrafee T ; Bhabra, Harjeet S. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:2:p:2163-2202.

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2022Do acquiring firms achieve their mergers and acquisitions objectives? Evidence from Japan. (2022). Amano, Yoshiaki. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:2:p:2905-2945.

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2022Institutional ownership and liquidity commonality: evidence from Australia. (2022). Wu, Winston ; Elliott, Robert ; Bradrania, Reza. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1231-1272.

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2021Dynamics of crude oil price shocks and major Latin American Equity Markets: A study in time and frequency domains. (2021). Raffiee, Kambiz ; Macri, Joseph ; Chatrath, Arjun ; Adrangi, Bahram. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:3:p:432-455.

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2021Sentiment?scaled CAPM and market mispricing. (2021). Han, Xiao ; Doukas, John A. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:2:p:208-243.

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2022Geographic proximity and price efficiency: Evidence from high?speed railway connections between firms and financial centers. (2022). Shen, Tao ; Qu, Yuanyu ; Gao, Hao. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:117-141.

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2022Economic forecasts, anchoring bias, and stock returns. (2022). Yu, Han ; Dutta, Sandip ; Birz, Gene. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:169-191.

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2022Stock returns and inflation shocks in weaker economic times. (2022). Sun, Licheng ; Stivers, Chris ; Connolly, Robert A. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:827-867.

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2021Political corruption shielding and corporate acquisitions. (2021). Kryzanowski, Lawrence ; Hossain, Ashrafee Tanvir. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:1:p:55-83.

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2021Serial acquirers and decreasing returns: Do bidders’ acquisition patterns matter?. (2021). Morillon, Thibaut G. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:3:p:407-432.

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2021The effects of exchange listing on market quality: Evidence from over?the?counter uplistings. (2021). Roseman, Brian ; Griffith, Todd ; Davis, Ryan ; Yildiz, Serhat. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:4:p:645-669.

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2022Do changes in MD&A section tone predict investment behavior?. (2022). Flugum, Ryan ; Bick, Patty ; Berns, John ; Houston, Reza. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:129-153.

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2022Persistence of investor sentiment and market mispricing. (2022). Eshraghi, Arman ; Danbolt, JO ; Sakkas, Nikolaos ; Han, Xiao. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:617-640.

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2021Japanese firms overpayments for cross?border acquisitions. (2021). Bebenroth, Ralf ; Ahmed, Kashif. In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:2:p:257-273.

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2021Accounting information, disclosure, and expected utility: Do investors really abhor uncertainty?. (2021). Johnstone, D J. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:48:y:2021:i:1-2:p:3-35.

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2021Managerial discretion to delay the recognition of goodwill impairment: The role of enforcement. (2021). Paugam, Luc ; Lobo, Gerald J ; Filip, Andrei. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:48:y:2021:i:1-2:p:36-69.

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2021Learning in serial mergers: Evidence from a global sample. (2021). Steigner, Tanja ; Sutton, Ninon K ; Pandey, Vivek K. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:48:y:2021:i:9-10:p:1747-1796.

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2022Opacity, liquidity and disclosure requirements. (2022). Wagner, Wolf ; Stenzel, Andre. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:5-6:p:658-689.

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2022Does stock market liberalization improve stock price efficiency? Evidence from China. (2022). Li, Xiao ; Huang, Jianqiao ; Chen, Yunsen ; Yuan, Qingbo. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:7-8:p:1175-1210.

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2022The impact of takeover anticipation on rival firms. (2022). Sha, Xiaoyang ; Davis, Svetlana ; Walker, Thomas. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:7-8:p:1264-1288.

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2022Liquidity measurement: A comparative review of the literature with a focus on high frequency. (2022). Ekinci, Cumhur ; Guloglu, Zeynep Cobandag. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:1:p:41-74.

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2021The Cross Section of MBS Returns. (2021). Richardson, Scott ; Eisfeldt, Andrea L ; Diep, Peter . In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2093-2151.

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2021Tracking Retail Investor Activity. (2021). Zhang, Xiaoyan ; Jones, Charles M ; Boehmer, Ekkehart. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2249-2305.

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2022Common Risk Factors in Cryptocurrency. (2022). Wu, XI ; Tsyvinski, Aleh ; Liu, Yukun. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1133-1177.

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2022Long?Run Risk: Is It There?. (2022). Matthies, Ben ; Liu, Yukun. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1587-1633.

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2021ISO order imbalances and individual stock returns. (2021). Cox, Justin. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:1:p:5-23.

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2021When it rains, it pours: Multifactor asset management in good and bad times. (2021). Szafarz, Ariane ; Briere, Marie. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:641-669.

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2021Liquidity risk and the beta premium. (2021). Zhao, Huainan ; Luo, DI ; Gong, Cynthia M. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:4:p:789-814.

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2021From Implicit to Explicit: The Impact of Disclosure Requirements on Hidden Transaction Costs. (2021). Watts, Edward M ; Eventov, Omri ; Cuny, Christine . In: Journal of Accounting Research. RePEc:bla:joares:v:59:y:2021:i:1:p:215-242.

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2022How is Earnings News Transmitted to Stock Prices?. (2022). Martineau, Charles ; Gregoire, Vincent. In: Journal of Accounting Research. RePEc:bla:joares:v:60:y:2022:i:1:p:261-297.

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2022The Long?Term Consequences of Short?Term Incentives. (2022). Edmans, Alex ; Huang, Allen H ; Fang, Vivian W. In: Journal of Accounting Research. RePEc:bla:joares:v:60:y:2022:i:3:p:1007-1046.

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2021A Meta?Analytic Integration of Acquisition Performance Prediction. (2021). Samimi, Mehdi ; Wang, Gang ; King, David R ; Cortes, Andres Felipe. In: Journal of Management Studies. RePEc:bla:jomstd:v:58:y:2021:i:5:p:1198-1236.

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2022Multiple comparison procedures for discrete uniform and homogeneous tests. (2022). Dohler, Sebastian ; de Uaalvarez, Jacobo ; Cousidorocha, Marta. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:1:p:219-243.

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2021Insurer risk and performance before, during, and after the 2008 financial crisis: The role of monitoring institutional ownership. (2021). Ren, Yayuan ; Ma, YuLuen . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:2:p:351-380.

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2021Seasonality in catastrophe bonds and market?implied catastrophe arrival frequencies. (2021). Hibbeln, Martin ; Herrmann, Markus. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:3:p:785-818.

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2021Insurability of pandemic risks. (2021). Kartasheva, Anastasia ; Guxha, Danjela ; Grundl, Helmut ; Schmeiser, Hato. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:4:p:863-902.

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2022The rising interconnectedness of the insurance sector. (2022). Jourde, Tristan. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:2:p:397-425.

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2022Political connection, family involvement, and IPO underpricing: Evidence from the listed non?state?owned enterprises of China. (2022). Zeng, Jianyu ; Chen, Yulin ; Cao, Zhen ; Zhang, Qunzi. In: Pacific Economic Review. RePEc:bla:pacecr:v:27:y:2022:i:2:p:105-130.

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2022Real estate as a new equity market sector: Market responses and return comovement. (2022). Xu, Xiaoqing Eleanor ; Xie, Kangzhen ; Tang, Hongfei . In: Real Estate Economics. RePEc:bla:reesec:v:50:y:2022:i:2:p:431-467.

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2021Market reactions to enterprise risk management adoption, incorporation by rating agencies, and ORSA Act passage. (2021). Xu, Jianren ; Eastman, Evan M. In: Risk Management and Insurance Review. RePEc:bla:rmgtin:v:24:y:2021:i:2:p:151-180.

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2021The role of procedural rationality in debiasing acquisition decisions of overconfident CEOs. (2021). Keil, Thomas ; Pavievi, Stevo. In: Strategic Management Journal. RePEc:bla:stratm:v:42:y:2021:i:9:p:1696-1715.

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2021Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model. (2021). Linton, O ; Chen, J ; Li, Y-N., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2150.

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2021Factor Strengths, Pricing Errors, and Estimation of Risk Premia. (2021). Smith, Ronald ; Pesaran, M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8947.

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2022How Money Relates to Value? An Empirical Examination on Gold, Silver and Bitcoin. (2022). Gonalves, Joo Quental. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9662.

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2022The Performance of Socially Responsible Investments: A Meta-Analysis. (2022). Yuksel, Gul ; Hornuf, Lars. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9724.

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2021The RQE-CAPM : New insights about the pricing of idiosyncratic risk. (2021). Moran, Kevin ; Koumou, Nettey Boevi Gilles ; Carmichael, Benoit. In: CIRANO Working Papers. RePEc:cir:cirwor:2021s-28.

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2023Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility. (2023). Kon, N'Golo ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-03.

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2022Retail Fund Flows and Performance: Insights from Supervisory Data. (2022). Hodula, Martin ; Bajzik, Josef ; Szabo, Milan. In: Working Papers. RePEc:cnb:wpaper:2022/10.

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2022La influencia del conflicto social y la licencia social para operar sobre el valor de la empresa. (2022). Camino, Jaime Rivera ; McDonald, Robert ; Reyes, Nancy Matos. In: Estudios Gerenciales. RePEc:col:000129:020567.

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2021Currency Anomalies. (2021). Bartram, Söhnke ; Garratt, Anthony ; Djuranovik, Leslie . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15653.

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2021Japan’s Stock Market Performance: Evidence from Toda-Yamamoto and Dolado-Lutkepohl Tests for Multivariate Granger Causality. (2021). Islam, Anisul M ; Rahman, Matiur ; Guru-Gharana, Kishor K. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2021-03-12.

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2022A Comparative Study of the Fama-French Three Factor and the Carhart Four Factor Models: Empirical Evidence from Morocco. (2022). Abrache, Jawad ; Aguenaou, Samir ; Tazi, Omar. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-01-09.

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More than 100 citations found, this list is not complete...

Works by Richard Roll:

YearTitleTypeCited
1971Expectations and the Demand for Bonds: Comment. In: American Economic Review.
[Full Text][Citation analysis]		article0
1984Orange Juice and Weather. In: American Economic Review.
[Full Text][Citation analysis]		article143
2005Extracting Inflation from Stock Returns to Test Purchasing Power Parity In: American Economic Review.
[Full Text][Citation analysis]		article8
2003Extracting Inflation from Stock Returns to Test Purchasing Power Parity.(2003) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2004Extracting Inflation from Stock Returns to Test Purchasing Power Parity.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2006Investor Reaction to Inter?corporate Business Contracting: Evidence and Explanation In: Economic Notes.
[Full Text][Citation analysis]		article0
2000An explanation of the forward premium ‘puzzle’ In: European Financial Management.
[Full Text][Citation analysis]		article14
1971Investment Diversification and Bond Maturity. In: Journal of Finance.
[Full Text][Citation analysis]		article13
1972Interest Rates on Monetary Assets and Commodity Price Index Changes. In: Journal of Finance.
[Full Text][Citation analysis]		article16
1973Evidence on the Growth-Optimum Model. In: Journal of Finance.
[Full Text][Citation analysis]		article15
1974Capital Budgeting of Risky Projects with Imperfect Markets for Physical Capital. In: Journal of Finance.
[Full Text][Citation analysis]		article17
1978Ambiguity when Performance is Measured by the Securities Market Line. In: Journal of Finance.
[Full Text][Citation analysis]		article103
1980 An Empirical Investigation of the Arbitrage Pricing Theory. In: Journal of Finance.
[Full Text][Citation analysis]		article232
1981A Possible Explanation of the Small Firm Effect. In: Journal of Finance.
[Full Text][Citation analysis]		article75
1983 The Fiscal and Monetary Linkage between Stock Returns and Inflation. In: Journal of Finance.
[Full Text][Citation analysis]		article344
1983 Over-the-Counter Option Market Dividend Protection and Biases in the Black-Scholes Model: A Note. In: Journal of Finance.
[Full Text][Citation analysis]		article5
1984 A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply. In: Journal of Finance.
[Full Text][Citation analysis]		article15
1984 On Valuing American Call Options with the Black-Scholes European Formula. In: Journal of Finance.
[Full Text][Citation analysis]		article22
1984 A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market. In: Journal of Finance.
[Full Text][Citation analysis]		article778
1992 Industrial Structure and the Comparative Behavior of International Stock Market Indices. In: Journal of Finance.
[Full Text][Citation analysis]		article295
1994 On the Cross-sectional Relation between Expected Returns and Betas. In: Journal of Finance.
[Full Text][Citation analysis]		article104
2007Liquidity and the Law of One Price: The Case of the Futures?Cash Basis In: Journal of Finance.
[Full Text][Citation analysis]		article61
2007Corporate serial acquisitions: An empirical test of the learning hypothesis In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper2
2007Learning, hubris and corporate serial acquisitions In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper2
1975Abstract–Measuring Nonstationarity in the Stochastic Process of Asset Returns In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article1
1980Orthogonal Portfolios In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article12
2004Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article73
2004Market Response to European Regulation of Business Combinations In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article58
1968Mathematics 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 + In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article0
1969Bias in Fitting the Sharpe Model to Time Series Data In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article5
1970An Introduction to Risk and Return from Common Stocks. By Richard A. Brealey (Cambridge, Mass.: The M.I.T. Press, 1969). In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article0
2007Is European M&A Regulation Protectionist? In: Economic Journal.
[Full Text][Citation analysis]		article41
2007How employee stock options and executive equity ownership affect long-term IPO operating performance In: Journal of Corporate Finance.
[Full Text][Citation analysis]		article15
1977An empirical study of risk under fixed and flexible exchange In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article4
1999Learning from others, reacting, and market quality1 In: Journal of Financial Markets.
[Full Text][Citation analysis]		article6
2002East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis In: Journal of Financial Markets.
[Full Text][Citation analysis]		article45
1977A pure foreign exchange asset pricing model In: Journal of International Economics.
[Full Text][Citation analysis]		article21
2002Rational infinitely lived asset prices must be non-stationary In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2006Taxes and dividend clientele: Evidence from trading and ownership structure In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article15
1983On computing mean returns and the small firm premium In: Journal of Financial Economics.
[Full Text][Citation analysis]		article77
1985A note on the geometry of Shankens CSR T2 test for mean/variance efficiency In: Journal of Financial Economics.
[Full Text][Citation analysis]		article13
1986Stock return variances : The arrival of information and the reaction of traders In: Journal of Financial Economics.
[Full Text][Citation analysis]		article604
1977A critique of the asset pricing theorys tests Part I: On past and potential testability of the theory In: Journal of Financial Economics.
[Full Text][Citation analysis]		article471
2000Commonality in liquidity In: Journal of Financial Economics.
[Full Text][Citation analysis]		article565
1977An analytic valuation formula for unprotected American call options on stocks with known dividends In: Journal of Financial Economics.
[Full Text][Citation analysis]		article66
1977Comments on qualitative results for investment proportions In: Journal of Financial Economics.
[Full Text][Citation analysis]		article6
2002Order imbalance, liquidity, and market returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article326
2005Evidence on the speed of convergence to market efficiency In: Journal of Financial Economics.
[Full Text][Citation analysis]		article131
1979A reply to Mayers and Rice (1979) In: Journal of Financial Economics.
[Full Text][Citation analysis]		article7
2008Liquidity and market efficiency In: Journal of Financial Economics.
[Full Text][Citation analysis]		article336
1979On some parity conditions encountered frequently in international economics In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article12
2002Remembering Mert In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article0
1995An empirical survey of Indonesian equities 1985-1992 In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article6
1989PRICE VOLATILITY, INTERNATIONAL MARKET LINKS, AND THEIR IMPLICATIONS FOR REGULATORY POLICIES. In: Columbia - Center for Futures Markets.
[Citation analysis]		paper98
2003Determinants of Daily Fluctuations in Liquidity and Trading Activity In: Latin American Journal of Economics-formerly Cuadernos de Economía.
[Full Text][Citation analysis]		article4
2003Benefits to Homeowners from Mortgage Portfolios Retained by Fannie Mae and Freddie Mac In: Journal of Financial Services Research.
[Full Text][Citation analysis]		article15
1973Assets, Money, and Commodity Price Inflation Under Uncertainty: Demand Theory. In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article7
1981Strategies for Pairwise Competition in Markets and Organizations In: Bell Journal of Economics.
[Full Text][Citation analysis]		article24
1972Investor Evaluation of Accounting Information: Some Empirical Evidence. In: The Journal of Business.
[Full Text][Citation analysis]		article36
1986The Hubris Hypothesis of Corporate Takeovers. In: The Journal of Business.
[Full Text][Citation analysis]		article896
1986Economic Forces and the Stock Market. In: The Journal of Business.
[Full Text][Citation analysis]		article1685
1966Interest-Rate Risk and the Term Structure of Interest Rates: Comment In: Journal of Political Economy.
[Full Text][Citation analysis]		article0
1974Rational Response to the Money Supply. In: Journal of Political Economy.
[Full Text][Citation analysis]		article1

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