Working Papers Richard Roll

# Title Authors Created
1446 Changing Expected Returns Can Induce Spurious Serial Correlation Pukthuanthong, Kuntara
Roll, Richard
07/10/2019
1436 Mimicking Portfolios Roll, Richard
Srivastava, Akshay
01/08/2018
1435 Tick Size, Price Grids and Market Performance: Stable Matches as a Model of Market Dynamics and Equilibrium Plott, Charles R.
Roll, Richard
Seo, Han
Zhao, Hao
01/08/2018
1431 A Protocol for Factor Identification Pukthuanthong, Kuntara
Roll, Richard
Subrahmanyam, Avanidhar
07/28/2017
1430 Generalized Portfolio Performance Measures: Optimal Overweighting of Fees Relative to Sample Returns Levy, Moshe
Roll, Richard
07/27/2017
1426 Empirical Evidence of Overbidding in M&A Contests de Bodt, Eric
Cousin, Jean-Gabriel
Roll, Richard
11/15/2016
1425 Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World Cotter, John
Gabriel, Stuart
Roll, Richard
10/20/2016
1419 Improved Methods for Detecting Acquirer Skills de Bodt, Eric
Cousin, Jean-Gabriel
Roll, Richard
05/17/2016
1417 Full Stock Payment Marginalization in M&A Transactions de Bodt, Eric
Cousin, Jean-Gabriel
Roll, Richard
04/05/2016
1411 Seeking Alpha? It's a Bad Guideline for Portfolio Optimization Levy, Moshe
Roll, Richard
12/10/2015
1405 An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor Pukthuanthong, Kuntara
Roll, Richard
03/05/2015
1398 Can Housing Risk be Diversified? A Cautionary Tale from the Housing Boom and Bust Cotter, John
Gabriel, Stuart
Roll, Richard
10/13/2014
1393 The Propagation of Shocks Across International Equity Markets: A Microstructure Perspective Roll, Richard
Bongaerts, Dion
Rosch, Dominik
van Dijk, Mathijs
Yuferova, Darya
08/12/2014
1392 Resolving the Errors-in-Variables Bias in Risk Premium Estimation Roll, Richard
Wang, Junbo
Pukthuanthong, Kuntara
07/21/2014
1390 The Hubris Hypothesis: Emperical Evidence Roll, Richard
de Bodt, Eric
Cousin, Jean-Gabriel
07/10/2014