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Richard Roll

Global rank #266 99%

Institution: University of California-Los Angeles (UCLA)

Primary Field: Finance (weighted toward more recent publications)

First Publication: 1966

Most Recent: 2008

RePEc ID: pro507 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 0.00 0.00 0.00 0.00
All Time 8.71 35.19 13.41 0.00 118.64

Publication Statistics

Raw Publications 42
Coauthorship-Adjusted Count 57.56

Publications (42)

Year Article Journal Tier Authors
2008 Liquidity and market efficiency Journal of Financial Economics A 3
2007 Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis Journal of Finance A 3
2007 How employee stock options and executive equity ownership affect long-term IPO operating performance Journal of Corporate Finance B 3
2006 Taxes and dividend clientele: Evidence from trading and ownership structure Journal of Banking & Finance B 4
2005 Extracting Inflation from Stock Returns to Test Purchasing Power Parity American Economic Review S 3
2005 Evidence on the speed of convergence to market efficiency Journal of Financial Economics A 3
2004 Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange Journal of Financial and Quantitative Analysis B 4
2004 Market Response to European Regulation of Business Combinations Journal of Financial and Quantitative Analysis B 3
2002 Rational infinitely lived asset prices must be non-stationary Journal of Banking & Finance B 1
2002 Order imbalance, liquidity, and market returns Journal of Financial Economics A 3
2000 Commonality in liquidity Journal of Financial Economics A 3
1994 On the Cross-sectional Relation between Expected Returns and Betas. Journal of Finance A 2
1992 Industrial Structure and the Comparative Behavior of International Stock Market Indices. Journal of Finance A 1
1986 Stock return variances : The arrival of information and the reaction of traders Journal of Financial Economics A 2
1985 A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency Journal of Financial Economics A 1
1984 On Valuing American Call Options with the Black-Scholes European Formula. Journal of Finance A 2
1984 A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply. Journal of Finance A 2
1984 Orange Juice and Weather. American Economic Review S 1
1984 A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market. Journal of Finance A 1
1983 Over-the-Counter Option Market Dividend Protection and "Biases" in the Black-Scholes Model: A Note. Journal of Finance A 3
1983 The Fiscal and Monetary Linkage between Stock Returns and Inflation. Journal of Finance A 2
1983 On computing mean returns and the small firm premium Journal of Financial Economics A 1
1981 A Possible Explanation of the Small Firm Effect. Journal of Finance A 1
1980 An Empirical Investigation of the Arbitrage Pricing Theory. Journal of Finance A 2
1980 Orthogonal Portfolios Journal of Financial and Quantitative Analysis B 1
1979 A reply to Mayers and Rice (1979) Journal of Financial Economics A 1
1978 Ambiguity when Performance is Measured by the Securities Market Line. Journal of Finance A 1
1977 Comments on qualitative results for investment proportions Journal of Financial Economics A 2
1977 A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory Journal of Financial Economics A 1
1977 A pure foreign exchange asset pricing model Journal of International Economics A 2
1977 An analytic valuation formula for unprotected American call options on stocks with known dividends Journal of Financial Economics A 1
1975 Abstract–Measuring Nonstationarity in the Stochastic Process of Asset Returns Journal of Financial and Quantitative Analysis B 2
1974 Capital Budgeting of Risky Projects with "Imperfect" Markets for Physical Capital. Journal of Finance A 2
1974 Rational Response to the Money Supply. Journal of Political Economy S 1
1973 Evidence on the "Growth-Optimum" Model. Journal of Finance A 1
1972 Interest Rates on Monetary Assets and Commodity Price Index Changes. Journal of Finance A 1
1971 Investment Diversification and Bond Maturity. Journal of Finance A 1
1971 Expectations and the Demand for Bonds: Comment. American Economic Review S 1
1970 An Introduction to Risk and Return from Common Stocks. By Richard A. Brealey (Cambridge, Mass.: The M.I.T. Press, 1969). Journal of Financial and Quantitative Analysis B 1
1969 Bias in Fitting the Sharpe Model to Time Series Data Journal of Financial and Quantitative Analysis B 1
1968 Mathematics 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 + xxii pages. Journal of Financial and Quantitative Analysis B 1
1966 Interest-Rate Risk and the Term Structure of Interest Rates: Comment Journal of Political Economy S 1