Richard Roll : Citation Profile


Are you Richard Roll?

University of California-Los Angeles (UCLA)

24

H index

39

i10 index

6596

Citations

RESEARCH PRODUCTION:

58

Articles

5

Papers

RESEARCH ACTIVITY:

   42 years (1966 - 2008). See details.
   Cites by year: 157
   Journals where Richard Roll has often published
   Relations with other researchers
   Recent citing documents: 573.    Total self citations: 4 (0.06 %)

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   Permalink: http://citec.repec.org/pro507
   Updated: 2021-11-28    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 (45)

Renneboog, Luc (29)

Masih, Abul (25)

faff, robert (24)

Lo, Andrew (21)

Harvey, Campbell (21)

Guidolin, Massimo (18)

Campbell, John (17)

GUPTA, RANGAN (17)

Thorbecke, Willem (17)

Bollerslev, Tim (17)

Cites to:

Subrahmanyam, Avanidhar (17)

Fama, Eugene (13)

Stoll, Hans (9)

Lee, Charles (8)

French, Kenneth (8)

Shleifer, Andrei (7)

Grossman, Sanford (5)

Miller, Merton (5)

Ready, Mark (5)

Kyle, Albert (5)

Vishny, Robert (4)

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
The Journal of Business3
American Economic Review3
Journal of Political Economy2
Pacific-Basin Finance Journal2
Journal of Banking & Finance2
Journal of Financial Markets2

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

Recent works citing Richard Roll (2021 and 2020)


YearTitle of citing document
2020Volatility and Information Behavior: A Study on Shariah Index and General Index ??? ?????? ?????????? ?????????: ????? ?????? ??? ?????? ???????? ??????? ????????. (2020). Meethal, Afsal Ellath ; Haque, Mohammad Imdadul. In: Journal of King Abdulaziz University: Islamic Economics. RePEc:abd:kauiea:v:33:y:2020:i:1:no:2:p:21-33.

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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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2020Foreign trade policy and economic growth: Indian evidence. (2020). Roy, Subrata. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(624):y:2020:i:3(624):p:107-126.

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2020Macroeconomic variables and market expectations: Indian Stock Market. (2020). Kumar, Arya ; Gupta, Neha. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(624):y:2020:i:3(624):p:161-178.

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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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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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2020Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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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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2020Additive 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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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2020A review of the Dividend Discount Model: from deterministic to stochastic models. (2020). de Blasis, Riccardo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:2001.00465.

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2020Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911.

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2020PCA for Implied Volatility Surfaces. (2020). Papanicolaou, George ; Healy, Brian ; Avellaneda, Marco. In: Papers. RePEc:arx:papers:2002.00085.

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2020A Framework for Online Investment Algorithms. (2020). Gebbie, Tim ; van Zyl, Terence ; Paskaramoorthy, Andrew. In: Papers. RePEc:arx:papers:2003.13360.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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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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2020Instabilities 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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2020Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010. (2020). Lerner, P B. In: Papers. RePEc:arx:papers:2004.06200.

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2020Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation. (2020). van Beek, Misha. In: Papers. RePEc:arx:papers:2004.09042.

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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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2020Mean-Variance Portfolio Management with Functional Optimization. (2020). He, Zhaoyi ; Tsang, Ka Wai. In: Papers. RePEc:arx:papers:2005.12774.

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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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2020Investing with Cryptocurrencies -- evaluating their potential for portfolio allocation strategies. (2020). Elendner, Hermann ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Petukhina, Alla. In: Papers. RePEc:arx:papers:2009.04461.

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2020Endogenous Representation of Asset Returns. (2020). Shkolnik, Alexander ; Zhou, Zhipu ; Oh, Sang-Yun . In: Papers. RePEc:arx:papers:2010.13245.

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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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2020Monetary Policy and Stock Market Returns: Evidence from ARDL Bounds Testing Approach for the Case of Vietnam. (2020). Minh, Tram Thi ; Mai, Hong Thi ; Nguyen, Thuy Thu . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:758-777.

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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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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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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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2020The change in the value relevance of accounting information after mergers and acquisitions: evidence from the adoption of SFAS 141(R). (2020). Wang, Guannan ; Kwon, Shin Hyoung. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2717-2757.

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2020Margin trading and price efficiency: information content or price‐adjustment speed?. (2020). Lv, Dayong ; Wu, Wenfeng. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2889-2918.

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2020Are individual investors liquidity providers around earnings announcements? Evidence from an emerging market. (2020). Lin, William T ; Chen, Zhijuan ; Wang, Kent ; Ma, Changfeng. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3447-3475.

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2020Does takeover competition affect acquisition choices and bidding firm performance? Australian evidence. (2020). Gunasekarage, Abeyratna ; faff, robert. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3581-3619.

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2020Do ETF flows increase market efficiency? Evidence from China. (2020). Xu, Liao ; Chen, Jilong ; Zhao, Yang. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:5:p:4795-4819.

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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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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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2020Trade signing in fast markets. (2020). Kolay, Madhuparna ; Carrion, Allen. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:385-404.

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2020Commonality in liquidity and multilateral trading facilities. (2020). Mekhaimer, Mohamed ; Jain, Pankaj K ; Mortal, Sandra. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:481-502.

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2020When Is One Plus One More Than Two? Theory and Evidence of Merger Motivations. (2020). Liu, Chang ; Hur, Seokkyun ; Chung, Chune Young. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:771-779.

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2020Determinants of initial goodwill overstatement in affiliated and non‐affiliated mergers. (2020). Kim, Moonchul ; Cheon, Youngsoon S ; Ahn, Sunghee. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:47:y:2020:i:5-6:p:587-614.

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2020Taming the Factor Zoo: A Test of New Factors. (2020). Xiu, Dacheng ; Giglio, Stefano ; Feng, Guanhao. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1327-1370.

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2020POSTCRISIS M&As AND THE IMPACT OF FINANCIAL CONSTRAINTS. (2020). Hossain, Ashrafee ; Cleary, Sean . In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:2:p:407-454.

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2020Hubristic Start‐up Founders – The Neglected Bright and Inevitable Dark Manifestations of Hubristic Leadership in New Venture Creation Processes. (2020). Freiling, Jörg ; Gersch, Martin ; Sundermeier, Janina. In: Journal of Management Studies. RePEc:bla:jomstd:v:57:y:2020:i:5:p:1037-1067.

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2020Correlated Trading by Life Insurers and Its Impact on Bond Prices. (2020). Niehaus, Greg ; Chiang, Chiachun. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:3:p:597-625.

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2020GOLD & STOCK RELATION: INVESTORS REACTION DURING COVID-19 OUTBREAK. (2020). Subrata, Roy. In: Revista Economica. RePEc:blg:reveco:v:72:y:2020:i:3:p:103-126.

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2020The impact of QE on liquidity: evidence from the UK Corporate Bond Purchase Scheme. (2019). LINTON, OLIVER ; Elliott, David ; Morley, Ben ; McLaren, Nick ; Kaminska, Iryna ; Boneva, Lena. In: Bank of England working papers. RePEc:boe:boeewp:0782.

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2020Informed trading in government bond markets. (2020). Czech, Robert ; Wang, Tianyu ; Lou, Dong ; Huang, Shiyang. In: Bank of England working papers. RePEc:boe:boeewp:0871.

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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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2020Systematic Liquidity Risk Premia. (2020). Hong, Sanghyun ; Boyle, Glenn. In: Working Papers in Economics. RePEc:cbt:econwp:20/15.

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2020On the Performance of Cryptocurrency Funds. (2020). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp672.

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2020Measurement of Factor Strenght: Theory and Practice. (2020). Bailey, Natalia ; Kapetanios, George ; Pesaran, Hashem M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8146.

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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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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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2020Asymmetric information and daily stock prices in Brazil. (2020). Ichimura, Denis ; Videira, Raphael ; Ripamonti, Alexandre. In: Estudios Gerenciales. RePEc:col:000129:019082.

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2020Macroeconomic View of Mergers and Acquisitions in the Technology Industry. (2020). Mayank, Mathur. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2020:i:1:p:147-155.

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2020The Covid-19 stock market puzzle and money supply in the US. (2020). McMillan, David ; Humpe, Andreas. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00803.

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2020Corporate Leverage Transmission under Information Asymmetry: Evidence from Non-financial Firms of Pakistan. (2020). Ahmed, Bilal ; Bhatti, Abdul Qadir ; Saleem, Qasim. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-04-21.

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2020Issues that Matter When Behavioral Finance Factors Drive the Largest Initial Public Offering in the Saudi Financial Market. (2020). Alsaggaf, Mohammed ; Shaddady, Ali. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-06-15.

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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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2020Causal Nexus between the Anamolies in the Crude Oil Price and Stock Market. (2020). Sarea, Adel M ; Lokesha, Lokesha ; Rajesha, T M ; Hawaldar, Iqbal Thonse. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-03-29.

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2020Does Crude Oil Prices have Effect on Exports, Imports and GDP on BRICS Countries? - An Empirical Evidence. (2020). Raju, Guntur Anjana ; Marathe, Shripad Ramchandra. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-06-67.

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2021An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000439.

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2020Clarifying managerial biases using a probabilistic framework. (2020). Theodossiou, Panayiotis ; Mascarenhas, Briance ; Ellina, Polina. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020300459.

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2021Air pollution and behavioral biases: Evidence from stock market anomalies. (2021). Pham, Mia Hang ; Nguyen, Hung T. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303701.

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2021A review of the Post-Earnings-Announcement Drift. (2021). Fink, Josef. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303750.

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2021Bidding on new audit clients: Avoiding the winner’s curse. (2021). Mowchan, Michael J ; MacGregor, Jason ; Blankley, Alan. In: Business Horizons. RePEc:eee:bushor:v:64:y:2021:i:1:p:107-117.

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2020Reputational concerns in the market for corporate control. (2020). Uysal, Vahap B ; Boone, Audra. In: Journal of Corporate Finance. RePEc:eee:corfin:v:61:y:2020:i:c:s0929119918301536.

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2020Competition Policy and the Profitability of Corporate Acquisitions. (2020). Momtaz, Paul P ; Drobetz, Wolfgang ; Dissanaike, Gishan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119919301142.

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2020CEO overconfidence and corporate cash holdings. (2020). Yeh, Chia-Wei ; Ho, Keng-Yu ; Chen, Yenn-Ru. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300213.

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2020Does operating risk affect portfolio risk? Evidence from insurers securities holding. (2020). Yu, Tong ; Yao, Tong ; Sun, Zhenzhen ; Chen, Xuanjuan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300237.

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2020Trade credit and stock liquidity. (2020). Shang, Chenguang. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300304.

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2020Macroeconomic news and acquirer returns in M&As: The impact of investor alertness. (2020). Saunders, Anthony ; Adra, Samer ; Barbopoulos, Leonidas G. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920300274.

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2020So far away from me: Firm location and the managerial ownership effect on firm value. (2020). Park, Jung Chul ; James, Hui L ; Chen, YU ; Benson, Bradley W. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301024.

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2020Corporate media connections and merger outcomes. (2020). Javakhadze, David ; Hossain, Md Miran. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301802.

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2020Acquisitions and funding conditions. (2020). Becher, David ; Liu, Tingting ; Jensen, Tyler K. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302042.

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2020State ownership and stock liquidity: Evidence from privatization. (2020). El Ghoul, Sadok ; Nash, Robert ; Guedhami, Omrane ; Chen, Ruiyuan ; Boubakri, Narjess. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302078.

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2021Time for gift giving: Abnormal share repurchase returns and uncertainty. (2021). Batten, Jonathan ; Anolick, Nina ; Wagner, Niklas ; Kinateder, Harald. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302315.

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2021Revisiting acquirer returns: Evidence from unanticipated deals. (2021). Tunyi, Abongeh A. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302339.

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2021Institutional investment horizons, corporate governance, and credit ratings: International evidence. (2021). Guedhami, Omrane ; el Ghoul, Sadok ; Drobetz, Wolfgang ; Driss, Hamdi. In: Journal of Corporate Finance. RePEc:eee:corfin:v:67:y:2021:i:c:s0929119920303187.

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2021Financial hedging and corporate investment. (2021). Zeng, Yeqin ; Chen, Zhong ; Alexandridis, George. In: Journal of Corporate Finance. RePEc:eee:corfin:v:67:y:2021:i:c:s0929119921000079.

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2021The role of directors with related supply chain industry experience in corporate acquisition decisions. (2021). Smith, Aimee Hoffmann ; Minnick, Kristina ; Burns, Natasha. In: Journal of Corporate Finance. RePEc:eee:corfin:v:67:y:2021:i:c:s0929119921000328.

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2021Firm opacity and the opportunity cost of cash. (2021). Cortes, Felipe. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000444.

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2021Mimicking insider trades. (2021). Thapa, Chandra ; Neupane, Biwesh ; Marshall, Andrew. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000614.

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2020Mean-variance analysis and the Modified Market Portfolio. (2020). Wenzelburger, Jan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302167.

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2020International Stock Comovements with Endogenous Clusters. (2020). Owyang, Michael ; Jackson Young, Laura ; Coroneo, Laura. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300725.

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2020Investor overconfidence and the security market line: New evidence from China. (2020). Li, Youwei ; Han, Xing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301299.

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2021Sovereign illiquidity and recessions.. (2021). Gutkowski, Violeta A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920301974.

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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.
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article0
1984Orange Juice and Weather. In: American Economic Review.
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article122
2005Extracting Inflation from Stock Returns to Test Purchasing Power Parity In: American Economic Review.
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article6
2003Extracting Inflation from Stock Returns to Test Purchasing Power Parity.(2003) In: Working Papers.
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This paper has another version. Agregated cites: 6
paper
2004Extracting Inflation from Stock Returns to Test Purchasing Power Parity.(2004) In: Working Papers.
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This paper has another version. Agregated cites: 6
paper
2006Investor Reaction to Inter?corporate Business Contracting: Evidence and Explanation In: Economic Notes.
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article0
2000An explanation of the forward premium ‘puzzle’ In: European Financial Management.
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article14
1971Investment Diversification and Bond Maturity. In: Journal of Finance.
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article12
1972Interest Rates on Monetary Assets and Commodity Price Index Changes. In: Journal of Finance.
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article15
1973Evidence on the Growth-Optimum Model. In: Journal of Finance.
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article10
1974Capital Budgeting of Risky Projects with Imperfect Markets for Physical Capital. In: Journal of Finance.
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article12
1978Ambiguity when Performance is Measured by the Securities Market Line. In: Journal of Finance.
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article80
1980 An Empirical Investigation of the Arbitrage Pricing Theory. In: Journal of Finance.
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article210
1981A Possible Explanation of the Small Firm Effect. In: Journal of Finance.
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article67
1983 The Fiscal and Monetary Linkage between Stock Returns and Inflation. In: Journal of Finance.
[Full Text][Citation analysis]
article257
1983 Over-the-Counter Option Market Dividend Protection and Biases in the Black-Scholes Model: A Note. In: Journal of Finance.
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article5
1984 A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply. In: Journal of Finance.
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article12
1984 On Valuing American Call Options with the Black-Scholes European Formula. In: Journal of Finance.
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article14
1984 A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market. In: Journal of Finance.
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article571
1992 Industrial Structure and the Comparative Behavior of International Stock Market Indices. In: Journal of Finance.
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article235
1994 On the Cross-sectional Relation between Expected Returns and Betas. In: Journal of Finance.
[Full Text][Citation analysis]
article50
2007Liquidity and the Law of One Price: The Case of the Futures?Cash Basis In: Journal of Finance.
[Full Text][Citation analysis]
article54
2007Corporate serial acquisitions: An empirical test of the learning hypothesis In: LIDAM Discussion Papers CORE.
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paper2
2007Learning, hubris and corporate serial acquisitions In: LIDAM Discussion Papers CORE.
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paper2
1975Abstract–Measuring Nonstationarity in the Stochastic Process of Asset Returns In: Journal of Financial and Quantitative Analysis.
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article1
1980Orthogonal Portfolios In: Journal of Financial and Quantitative Analysis.
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article9
2004Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article53
2004Market Response to European Regulation of Business Combinations In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article55
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.
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article0
1969Bias in Fitting the Sharpe Model to Time Series Data In: Journal of Financial and Quantitative Analysis.
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article4
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.
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article0
2007Is European M&A Regulation Protectionist? In: Economic Journal.
[Full Text][Citation analysis]
article14
2007How employee stock options and executive equity ownership affect long-term IPO operating performance In: Journal of Corporate Finance.
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article13
1977An empirical study of risk under fixed and flexible exchange In: Carnegie-Rochester Conference Series on Public Policy.
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article3
1999Learning from others, reacting, and market quality1 In: Journal of Financial Markets.
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article5
2002East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis In: Journal of Financial Markets.
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article45
1977A pure foreign exchange asset pricing model In: Journal of International Economics.
[Full Text][Citation analysis]
article18
2002Rational infinitely lived asset prices must be non-stationary In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article4
2006Taxes and dividend clientele: Evidence from trading and ownership structure In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article14
1983On computing mean returns and the small firm premium In: Journal of Financial Economics.
[Full Text][Citation analysis]
article72
1985A note on the geometry of Shankens CSR T2 test for mean/variance efficiency In: Journal of Financial Economics.
[Full Text][Citation analysis]
article10
1986Stock return variances : The arrival of information and the reaction of traders In: Journal of Financial Economics.
[Full Text][Citation analysis]
article547
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]
article339
2000Commonality in liquidity In: Journal of Financial Economics.
[Full Text][Citation analysis]
article479
1977An analytic valuation formula for unprotected American call options on stocks with known dividends In: Journal of Financial Economics.
[Full Text][Citation analysis]
article56
1977Comments on qualitative results for investment proportions In: Journal of Financial Economics.
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article5
2002Order imbalance, liquidity, and market returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article251
2005Evidence on the speed of convergence to market efficiency In: Journal of Financial Economics.
[Full Text][Citation analysis]
article113
1979A reply to Mayers and Rice (1979) In: Journal of Financial Economics.
[Full Text][Citation analysis]
article6
2008Liquidity and market efficiency In: Journal of Financial Economics.
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article269
1979On some parity conditions encountered frequently in international economics In: Journal of Macroeconomics.
[Full Text][Citation analysis]
article10
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]
paper94
2003Determinants of Daily Fluctuations in Liquidity and Trading Activity In: Latin American Journal of Economics-formerly Cuadernos de Economía.
[Full Text][Citation analysis]
article2
2003Benefits to Homeowners from Mortgage Portfolios Retained by Fannie Mae and Freddie Mac In: Journal of Financial Services Research.
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article13
1973Assets, Money, and Commodity Price Inflation Under Uncertainty: Demand Theory. In: Journal of Money, Credit and Banking.
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article6
1981Strategies for Pairwise Competition in Markets and Organizations In: Bell Journal of Economics.
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article22
1972Investor Evaluation of Accounting Information: Some Empirical Evidence. In: The Journal of Business.
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article34
1986The Hubris Hypothesis of Corporate Takeovers. In: The Journal of Business.
[Full Text][Citation analysis]
article791
1986Economic Forces and the Stock Market. In: The Journal of Business.
[Full Text][Citation analysis]
article1482
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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