• Publications
  • Influence
The Hubris Hypothesis of Corporate Takeovers
Despite many excellent research papers, we still do not fully understand the motives behind mergers and tender offers or whether they bring an increase in aggregate market value. In theirExpand
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The Adjustment of Stock Prices to New Information
There is an impressive body of empirical evidence which indicates that successive price changes in individual common stocks are very nearly independent. Recent papers by Mandelbrot and Samuelson showExpand
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Market response to European regulation of business combinations
Acquisitions, mergers, and other business agreements face increasing regulatory scrutiny, even when they involve firms domiciled outside the territory of regulatory authorities. Recent examplesExpand
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The Market Portfolio May Be Mean/Variance Efficient after All
Numerous studies have examined the mean/variance efficiency of various market proxies by employing sample parameters and have concluded that these proxies are inefficient. These findings cast doubtExpand
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Integration and Contagion in US Housing Markets
This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal Housing Finance Agency (FHFA) house price repeat sales indexes from 384 metropolitanExpand
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An empirical survey of Indonesian equities 1985–1992☆
Abstract Using a new data base of equities listed on the Jakarta Exchange, historical returns were documented for the 1985–1992 period. Jakarta stocks had high volatility relative to other countries,Expand
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On Valuing American Call Options with the Black-Scholes European Formula
Empirical papers on option pricing have uncovered systematic differences between market prices and values produced by the Black-Scholes European formula. Such "biases" have been found related to theExpand
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Rational infinitely lived asset prices must be non-stationary
Abstract Rational expectations must not be expected to change. Hence, a rational expectation about a future random quantity follows a pure martingale until the uncertainty is resolved. This impliesExpand
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Volatility, Correlation, and Diversification in aMulti-Factor World
  • R. Roll
  • Economics
  • The Journal of Portfolio Management
  • 31 January 2013
In a multi-factor world, diversification benefits do not generally depend on correlation. Investors can restructure portfolios to align factor sensitivities. This implies that diversificationExpand
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Trading Activity in the Equity Market and Its Contingent Claims: An Empirical Investigation
Little is known about the joint dynamics of volume across the various contingent claims on the equity market. We study the time-series of trading activity in the cash S&P 500 index and itsExpand
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