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Publications by Richard Roll

Empirical Tests of Asset Pricing Models With Individual Assets: Resolving the Errors-In-Variables Bias in Risk Premium Estimation

Journal of Financial Economics

English

Recent Trends in Trading Activity and Market Quality

Journal of Financial Economics

English

Tick Size, Price Grids and Market Performance: Stable Matches as a Model of Market Dynamics and Equilibrium

Games and Economic Behavior

English

A Protocol for Factor Identification

SSRN Electronic Journal

English

Mimicking Portfolios

SSRN Electronic Journal

English

Market Response to European Regulation of Business Combinations

Journal of Financial and Quantitative Analysis

English

A Delegated-Agent Asset-Pricing Model

Financial Analysts Journal

English