Richard Roll (born October 31, 1939) is an American economist and professor of finance at
UCLA
The University of California, Los Angeles (UCLA) is a public land-grant research university in Los Angeles, California. UCLA's academic roots were established in 1881 as a teachers college then known as the southern branch of the California St ...
, best known for his work on
portfolio theory
Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk. It is a formalization and extension of diversificatio ...
and
asset pricing
In financial economics, asset pricing refers to a formal treatment and development of two main Price, pricing principles, outlined below, together with the resultant models.
There have been many models developed for different situations, but cor ...
, both theoretical and empirical.
He earned his
bachelor's degree
A bachelor's degree (from Middle Latin ''baccalaureus'') or baccalaureate (from Modern Latin ''baccalaureatus'') is an undergraduate academic degree awarded by colleges and universities upon completion of a course of study lasting three to six ...
in
aerospace engineering
Aerospace engineering is the primary field of engineering concerned with the development of aircraft and spacecraft. It has two major and overlapping branches: aeronautical engineering and astronautical engineering. Avionics engineering is si ...
from
Auburn University
Auburn University (AU or Auburn) is a public land-grant research university in Auburn, Alabama. With more than 24,600 undergraduate students and a total enrollment of more than 30,000 with 1,330 faculty members, Auburn is the second largest uni ...
in 1961, and his
M.B.A.
A Master of Business Administration (MBA; also Master's in Business Administration) is a postgraduate degree focused on business administration. The core courses in an MBA program cover various areas of business administration such as account ...
in 1963 at the
University of Washington
The University of Washington (UW, simply Washington, or informally U-Dub) is a public research university in Seattle, Washington.
Founded in 1861, Washington is one of the oldest universities on the West Coast; it was established in Seattle a ...
while working for
Boeing
The Boeing Company () is an American multinational corporation that designs, manufactures, and sells airplanes, rotorcraft, rockets, satellites, telecommunications equipment, and missiles worldwide. The company also provides leasing and product ...
in
Seattle, Washington
Seattle ( ) is a port, seaport city on the West Coast of the United States. It is the county seat, seat of King County, Washington, King County, Washington (state), Washington. With a 2020 population of 737,015, it is the largest city in bo ...
. In 1968, he received his
Ph.D.
A Doctor of Philosophy (PhD, Ph.D., or DPhil; Latin: or ') is the most common degree at the highest academic level awarded following a course of study. PhDs are awarded for programs across the whole breadth of academic fields. Because it is a ...
from the
Graduate School of Business at the
University of Chicago
The University of Chicago (UChicago, Chicago, U of C, or UChi) is a private research university in Chicago, Illinois. Its main campus is located in Chicago's Hyde Park neighborhood. The University of Chicago is consistently ranked among the b ...
in
economics
Economics () is the social science that studies the Production (economics), production, distribution (economics), distribution, and Consumption (economics), consumption of goods and services.
Economics focuses on the behaviour and intera ...
,
finance
Finance is the study and discipline of money, currency and capital assets. It is related to, but not synonymous with economics, the study of production, distribution, and consumption of money, assets, goods and services (the discipline of fina ...
, and
statistics
Statistics (from German language, German: ''wikt:Statistik#German, Statistik'', "description of a State (polity), state, a country") is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of ...
. 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
Irving Fisher (February 27, 1867 – April 29, 1947) was an American economist, statistician, inventor, eugenicist and progressive social campaigner. He was one of the earliest American neoclassical economists, though his later work on debt def ...
Prize as the best American dissertation in economics in 1968.
Roll co-authored the first
event study An event study is a statistical method to assess the impact of an event on the value of a firm. For example, the announcement of a merger between two business entities can be analyzed to see whether investors believe the merger will create or dest ...
that sought to analyze how stock prices respond to an event in 1969,
using price data from the newly available
CRSP database. Roll has co-authored major papers with
Stephen Ross,
Eugene Fama
Eugene Francis "Gene" Fama (; born February 14, 1939) is an American economist, best known for his empirical work on portfolio theory, asset pricing, and the efficient-market hypothesis.
He is currently Robert R. McCormick Distinguished Servi ...
,
Michael Jensen and
Kenneth French
Kenneth Ronald "Ken" French (born March 10, 1954) is the Roth Family Distinguished Professor of Finance at the Tuck School of Business, Dartmouth College. He has previously been a faculty member at MIT, the Yale School of Management, and the Un ...
.
Roll took an Assistant Professor position at
Carnegie-Mellon University
Carnegie Mellon University (CMU) is a private research university in Pittsburgh, Pennsylvania. One of its predecessors was established in 1900 by Andrew Carnegie as the Carnegie Technical Schools; it became the Carnegie Institute of Technology ...
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
The American Finance Association (AFA) is an academic organization whose focus is the study and promotion of knowledge of financial economics. It was formed in 1939. Its main publication, the ''Journal of Finance'', was first published in 1946.
...
. He has published over 80 professional articles.
See also
*
Roll's critique Roll's critique is a famous analysis of the validity of empirical tests of the capital asset pricing model (CAPM) by Richard Roll. It concerns methods to formally test the statement of the CAPM, the equation
:E(R_i) = R_f + \beta_ (R_m) - R_f\,
T ...
References
External links
UCLA Page
{{DEFAULTSORT:Roll, Richard
1939 births
Living people
American economists
Financial economists
Fellows of the Econometric Society
Auburn University alumni
University of Washington Foster School of Business alumni
University of Chicago Booth School of Business alumni
Presidents of the American Finance Association