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Division of the Humanities and Social Sciences
Richard Roll
Office: 235 Baxter
Mail Code: MC 228-77
Phone: 626-395-3890
Administrative Assistant:
Name: Sabrina C. Hameister
Phone: 626-395-4228
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Richard Roll

Linde Institute Professor of Finance
B.A.E., Auburn University, 1961; M.B.A., University of Washington, 1963; Ph.D., University of Chicago, 1968. Caltech, Linde Institute Professor, 2013-.

Profile

Richard Roll is a finance expert known, in particular, for his work on portfolio theory and asset pricing. He also brings extensive business experience to the Linde Institute, having been a consultant for a range of corporations, law firms, and government agencies in addition to serving on boards and founding several businesses himself. At Boeing in the early 1960s, he worked on the Minuteman missile and the Saturn moon rocket. He was a vice president at Goldman, Sachs & Co. in the 1980s, where he founded and directed the mortgage securities group. He is currently a principal of the consulting firm Compensation Valuation, Inc.

Roll joined the faculty at UCLA in 1976, where he most recently held the Joel Fried Chair in Applied Finance in the Anderson School of Management and is now a professor emeritus. He was previously on the faculty at Carnegie Mellon University, the European Institute for Advanced Study of Management in Brussels, and the French business school Hautes Etudes Commerciales (HEC) near Paris. Roll holds a PhD in economics, finance, and statistics from the University of Chicago, as well as an MBA from the University of Washington and a BAE from Auburn University. He has received honorary doctorates from universities in both France and Germany.

Roll has published two books and more than 120 articles in peer-reviewed journals, and he is or has been an associate editor of 11 different journals in finance and economics. Among his honors, he has won the Graham and Dodd Award for financial writing four times, the Leo Melamed Prize for financial research, and the Onassis Prize in Finance. In 2009, he was named Financial Engineer of the Year by the International Association of Financial Engineers. He is a past president of the American Finance Association and a fellow of the Econometric Society.

Research Summary
Financial Economics; Asset Pricing; Options; Interest Rates; Corporate Finance; Liquidity
Selected Awards
  • 1968 Irving Fisher Award for the Best American Dissertation in Economics
  • 1980, 83, 16 Q-Group paper awards
  • 1995 Doctor Honoris Causa, Universität Karlsruhe, Germany
  • 1998 Doctor Honoris Causa, Université de Lille, France
  • 1988, 90, 04, 05 Graham & Dodd Award for financial writing
  • 1989 Fellow of the Econometric Society
  • 1990 Leo Melamed Award for outstanding scholarship by a business school professor
  • 2009 Named "Financial Engineer of the Year for 2009" by the International Association of Financial Engineers
  • 2015 Winner of the Onassis Prize for Finance
Caltech Affiliations
External Affiliations
  • President, American Finance Association, 1987–1988

Featured News

Building a Program: Financial Economics
June 16, 2015
Financing is done in much more flexible and efficient ways today than it was 30 years ago due to innovations in financial economics. Recognizing this area's importance to both academia and society, Caltech is developing a curriculum around the study of finance.
Caltech Economist Richard Roll Wins Onassis Prize in Finance
March 26, 2015
Richard Roll, the Linde Institute Professor of Finance at Caltech, has been named one of two recipients of this year's Onassis Prize in Finance.
Finessing Finance: An Interview with Richard Roll
September 29, 2014
"Everything has a price," the saying goes, and though that might sound cynical, taking the adage seriously can lead to a lifetime of fascinating inquiry. Just ask Richard W. Roll, who recently joined Caltech as the Linde Institute Professor of Finance.
Read more news   ＞

Selected Publications

Asset Pricing

  1. Chen, N., Roll, R., and Ross, S.A., Economic Forces and the Stock Market, Journal of Business, 59, 3, 383-403 (July 1986).*
  2. French, K.R. and Roll, R., Stock Return Variances: The Arrival of Information and the Reaction of Traders, Journal of Financial Economics, 17, 5-26 (September 1986).
  3. Roll, R., R2, Journal of Finance, 43, 2, 541-566 (July 1988). (1987 Presidential Address to the American Finance Association).
  4. Pukthuanthong, K., Roll, R., and Subrahmanyam, A., A Protocol for Factor Identification, Review of Financial Studies, 32 (April, 2019), 1573-1607.
  5. Levy, M., and Roll, R., The Market Portfolio May Be Mean-Variance Efficient After All, Review of Financial Studies 23, 6 (June, 2010), 2464-2491.

Corporate Finance including Mergers and Acquisitions

  1. Atkas, N., E. De Bodt, and Roll, R., Market Response to European Regulation of Business Combinations, Journal of Financial and Quantitative Analysis 39, 4 (December, 2004), 731-757.
  2. Aktas, N., De Bodt, E., and Roll, R., Learning from Repetitive Acquisitions: Evidence from the Time Between Deals, Journal of Financial Economics 108, (April, 2013), 99-117.
  3. DeAngelo, H., and Roll, R., How Stable are Corporate Capital Structures? Journal of Finance 70, (February, 2015), 373-418.*

Options and Futures

  1. Geske, R. and Roll, R., On Valuing American Call Options with the Black/Scholes European Formula, Journal of Finance, 39, 2, 443-455 (June 1984).
  2. Richard, S.F. and Roll, R., Prepayments on Fixed-Rate Mortgage-Backed Securities, Journal of Portfolio Management, 73-82 (Spring 1989).*
  3. Roll, R., Schwartz, E., and Subrahmanyam, A., Options Trading Activity and Firm Valuation 94, 3 (December, 2009), Journal of Financial Economics, 345-360.
  4. Roll, R., Schwartz, E., and Subrahmanyam, A., O/S, The Relative Trading Activity in Options and Stock, Journal of Financial Economics 91, 1 (April 2010), 1-17.
  5. Elayan, F., Pukthuanthong, K., and Roll, R., Investors Like Firms That Expense Employee Stock Options AND They Dislike Firms That Fail to Expense, Journal of Investment Management, 3, 1 (First Quarter 2005), 75-98.

Microstructure and Liquidity

  1. Roll, R., A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market, Journal of Finance, 39, 4, 1127-1139 (September 1984).
  2. Chordia, T., R. Roll, and A. Subrahmanyam, Commonality in Liquidity, Journal of Financial Economics, 56, (April, 2000), 3-28.
  3. Chordia, T., R. Roll and A. Subrahmanyam, Market Liquidity and Trading Activity, Journal of Finance 56, (April, 2001), 501-530.
  4. Chordia, T., Roll, R., and Subrahmanyam, A., Evidence on the Speed of Convergence to Market Efficiency, Journal of Financial Economics 76, 2 (May 2005), 271-292.*
  5. Roll, R., Schwartz, E., and Subrahmanyam, A., Liquidity and the Law of One Price: The Case of the Futures-Cash Basis, Journal of Finance 62, 5 (October 2007), 2201-2234.
  6. Chordia, T., Roll, R., and Subrahmanyam, Recent Trends in Trading Activity and Market Quality, Journal of Financial Economics 101, 2 (August, 2011), 243-263.

Papers that include some aspects of psychology (though not strictly "Behavioral Finance.")

  1. Roll, R., Orange Juice and Weather, American Economic Review, 74, 5, 861-880 (December 1984).*
  2. Roll, R., The Hubris Hypothesis of Corporate Takeovers, Journal of Business, 59, 2, 197-216 (April 1986).
  3. Atkas, N., E. De Bodt, and Roll, R., Learning, Hubris and Corporate Serial Acquisitions, Journal of Corporate Finance 15, 5 (December, 2009), 543-561.
  4. Aktas, N., De Bodt, E., H. Bollaert, and Roll, R., CEO Narcissism and the Takeover Process: From Private Initiation to Deal Completion, Journal of Financial and Quantitative Analysis 51 (February, 2016), 113-137,
  5. De Bodt, E., Cousin, J., and Roll, R., Empirical Evidence of Overbidding in M&A Contests, Journal of Financial and Quantitative Analysis,
    53, (August, 2018), 1547-1579.

Miscellaneous, including international finance, regulation, surprising events, and weird theories

  1. Cornell, B., and Roll, R., Strategies for Pairwise Competitions in Markets and Organizations, Bell Journal of Economics, 12, 1, 201-213 (Spring 1981).
  2. Geske, R. and Roll, R., The Fiscal and Monetary Linkage Between Stock Returns and Inflation, Journal of Finance, 38, 1, 1-33 (March 1983).
  3. Roll, R., The International Crash of October 1987, Financial Analysts Journal 19-35 (September-October 1988).
  4. Roll, R. and Ross, S.A., Impôt Progressif et Inégalité du Revenu, FINECO, 1, 1, 107-130 (Automne 1991).
  5. Roll, R., Industrial Structure and The Comparative Behavior of International Stock Market Indices, Journal of Finance, 47, 1, 3-41 (March 1992).
  6. Roll, R., and Shu Yan, An Explanation of the Forward Premium "Puzzle", European Financial Management, (June, 2000), 121-148.
  7. Roll, R., Rational Infinitely-Lived Asset Prices Must be Non-Stationary, Journal of Banking and Finance 26, (June 2002), 1093-1097.
  8. Roll, R., and J. Talbott, Political Freedom, Economic Liberty, and Prosperity, Journal of Democracy 14, 3, (July, 2003), 75-89.*
  9. Chowdhry, B., Roll, R., and Xia, Y., Extracting Inflation from Stock Returns to Test Purchasing Power Parity, American Economic Review 95, 1 (March 2005), 255-276.
  10. Atkas, N., E. De Bodt, and Roll, R., Is European M&A Regulation Protectionist? Economic Journal 117, (July, 2007), 1096-1121.
  11. Pukthuanthong-Le, K., and Roll, R., Global Market Integration: An Alternative Measure and Its Application, Journal of Financial Economics 94, 2 (November, 2009), 214-232.
  12. Cotter, J., Gabriel, S., and Roll, R., Can Housing Risk Be Diversified? A Cautionary Tale from the Recent Boom and Bust, Review of Financial Studies 28, 3 (2015), 913-936.

Selected Working Paper

Pukthuanthong, K., and Roll, R., An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor, (February, 2021.)

2022-23
BEM 104 – Investments
2021-22
BEM 104 – Investments
2020-21
BEM 104 – Investments
2019-20
BEM 104 – Investments
2018-19
BEM 104 – Investments