A simple implicit measure of the effective bid‐ask spread in an efficient market

R Roll - The Journal of finance, 1984 - Wiley Online Library
… , respectively Since s R is typically quite small, say one to three percent, the term s R 4 /
16 … For example, if the true percentage spread s R is three percent, ignoring the second-order …

Stock return variances: The arrival of information and the reaction of traders

KR French, R Roll - Journal of financial economics, 1986 - Elsevier
Asset prices are much more volatile during exchange trading hours than during non-trading
hours. This paper considers three explanations for this phenomenon: (1) volatility is caused …

A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

R Roll - Journal of financial economics, 1977 - Elsevier
Richard ROLL* ● If the horn honks and the mechanic concludes that the whole electrical …
They also find that the observed estimate of r, is significantly different from r, and thus reject …

Eye, head and skeletal muscle spindle feedback in the elaboration of body references

JP Roll, JP Vedel, R Roll - Progress in brain research, 1989 - Elsevier
Evidence is presented to support the notion that the sensory feedback originating in muscles
is of major importance in the central elaboration of motor representation. The muscle …

O/S: The relative trading activity in options and stock

R Roll, E Schwartz, A Subrahmanyam - Journal of Financial Economics, 2010 - Elsevier
… 2 plots the R-squares from the cross-sectional regressions using the log share O/S as
dependent variable. It is evident that the R-squares are much larger in the second half of the …

COSAC, the cometary sampling and composition experiment on Philae

…, R Roll, C Szopa, F Raulin, R Sternberg… - Space Science …, 2007 - Springer
… : r control of the experiment during measurement cycles r data formatting and pre-processing
r in-flight calibration r collection of housekeeping data r … from the CDMS r data compression …

The adjustment of stock prices to new information

EF Fama, L Fisher, MC Jensen, R Roll - International economic review, 1969 - JSTOR
… The table indicates that there are indeed fairly strong relationships between the market and
monthly returns on individual securities; the mean value of the r'j is 0.632 with an average …

The hubris hypothesis of corporate takeovers

R Roll - Journal of business, 1986 - JSTOR
The hubris hypothesis is advanced as an explanation of corporate takeovers. Hubris on the
part of individual decision makers in bidding firms can explain why bids are made even …

Economic forces and the stock market

NF Chen, R Roll, SA Ross - Journal of business, 1986 - JSTOR
This paper tests whether innovations in macroeconomic variables are risks that are rewarded
in the stock market. Financial theory suggests that the following macroeconomic variables …

The fiscal and monetary linkage between stock returns and inflation

R Geske, R Roll - The journal of Finance, 1983 - Wiley Online Library
Contrary to economic theory and common sense, stock returns are negatively related to
both expected and unexpected inflation. We argue that this puzzling empirical phenomenon …