Richard Roll | |
|---|---|
| Born | October 31, 1939 |
| Nationality | United States |
| Field | Financial economics |
| School or tradition | Chicago School |
| Influences | Merton Miller |
| Information at IDEAS / RePEc | |
Richard Roll (born October 31, 1939) is an American economist and professor of finance at UCLA, best known for his work on portfolio theory and asset pricing, both theoretical and empirical.
He earned his Bachelor's degree in Aerospace engineering from Auburn University in 1961, and his M.B.A. in 1963 at the University of Washington while working for Boeing in Seattle, Washington. In 1968, he received his Ph.D. from the Graduate School of Business at the University of Chicago in economics, finance, and statistics. His Ph.D. thesis, "The Behavior of Interest Rates: An Application of the Efficient Market Model to U.S. Treasury Bills," won the Irving Fisher Prize as the best American dissertation in economics in 1968.
Roll co-authored the first event study that sought to analyze how stock prices respond to an event in 1969,[1] using price data from the newly available CRSP database. Roll has co-authored major papers with Stephen Ross,[2][3][4] Eugene Fama,[1][5][6] Michael Jensen[1] and Kenneth French.[7]
Roll took an Assistant Professor position at Carnegie-Mellon University in 1968, a professorship at the European Institute for Advance Studies in Management in 1973, and Centre d'Enseignement Superiéure des Affaires in 1975. In 1976, Roll joined the faculty at UCLA, where he remains as Japan Alumni Chair Professor of Finance. In 1987, Roll was elected President of the American Finance Association. He has published over 80 professional articles.
See also
- Roll's critique
References
- ^ a b c Fama, Eugene; Fisher, Lawrence; Jensen, Michael C.; Roll, Richard (1969). "The Adjustment of Stock Prices to New Information". International Economic Review. 10 (1): 1–21. doi:10.2307/2525569. JSTOR 2525569.
- ^ Chen, Nai-Fu; Roll, Richard; Ross, Stephen (1986). "Economic Forces and the Stock Market". Journal of Business. 59 (3): 383–403. doi:10.1086/296344. JSTOR 2352710.
- ^ Roll, Richard; Ross, Stephen (1980). "An Empirical Investigation of the Arbitrage Pricing Theory". Journal of Finance. 35 (5): 1073–1103. doi:10.2307/2327087. JSTOR 2327087.
- ^ Roll, Richard; Ross, Stephen (1994). "On the Cross-Sectional Relation between Expected Returns and Betas". Journal of Finance. 49 (1): 101–121. doi:10.2307/2329137. JSTOR 2329137.
- ^ Fama, Eugene (1971). "Parameter Estimates for Symmetric Stable Distributions". Journal of the American Statistical Association. 66 (334): 331–338. doi:10.2307/2283932. JSTOR 2283932.
- ^ Fama, Eugene (1968). "Some Properties of Symmetric Stable Distributions". Journal of the American Statistical Association. 63 (323): 817–836. doi:10.2307/2283875. JSTOR 2283875.
- ^ French, Kenneth (1986). "Stock Return Variances: The Arrival of Information and the Reaction of Traders". Journal of Financial Economics. 17 (1): 5–26. doi:10.1016/0304-405X(86)90004-8.