Richard Roll

Richard Roll
Name	Richard Roll
Birth date	1942
Nationality	American
Fields	Finance, Economics
Institutions	University of California, Los Angeles; California Institute of Technology; National Bureau of Economic Research
Alma mater	University of California, Berkeley
Doctoral advisor	Eugene F. Fama
Notable students	Kenneth R. French

Richard Roll is an American financial economist known for foundational work in asset pricing, market microstructure, and empirical tests of the Capital Asset Pricing Model. He developed rigorous statistical methodologies and diagnostic tests that influenced Financial Economics research, linking theoretical models with empirical evidence drawn from securities markets such as the New York Stock Exchange and the American Stock Exchange. His contributions intersect with scholars and institutions including Eugene F. Fama, Kenneth R. French, the National Bureau of Economic Research, and the California Institute of Technology.

Early life and education

Born in 1942, Roll completed undergraduate and graduate studies at the University of California, Berkeley, where he worked in proximity to the influential finance group that included Eugene F. Fama and scholars associated with the Chicago School of Economics research networks. At Berkeley he received a Ph.D. in finance, producing a dissertation that engaged with empirical tests used in contemporary debates at the American Finance Association meetings and in journals such as the Journal of Finance and the Journal of Financial Economics.

Academic career and appointments

Roll held faculty appointments at the University of California, Los Angeles before joining the faculty of the California Institute of Technology where he served for decades. He has been affiliated with the National Bureau of Economic Research as a research associate and participated in programs and conferences organized by the American Finance Association, the Institute of Management Sciences, and the Royal Swedish Academy of Sciences through collaborative initiatives. Roll's academic network includes partnerships and joint work with scholars from the University of Chicago, Harvard University, and the Massachusetts Institute of Technology.

Research contributions and theories

Roll is best known for the development of the "Roll critique," a fundamental insight on the empirically untestable nature of the Capital Asset Pricing Model (CAPM) when the true market portfolio is unobservable. This critique relates directly to the CAPM formulation attributed to William F. Sharpe and John Lintner and has implications for empirical strategies discussed in venues such as the Journal of Political Economy and the Review of Economic Studies. Roll also advanced measures of market microstructure effects, addressing bid-ask spreads and transaction costs using data from the New York Stock Exchange and electronic trading platforms linked to developments at the NASDAQ Stock Market. His work on portfolio performance evaluation influenced debates involving the Securities and Exchange Commission and investment management practices at institutions like Goldman Sachs and Vanguard Group.

Methodologically, Roll employed time-series econometrics and asset pricing tests that interacted with contributions from James Tobin and Robert C. Merton on portfolio choice and continuous-time finance, while drawing on tests and measures used in publications from the Brookings Institution and the National Bureau of Economic Research. His empirical strategies have been cited in discussions by Paul A. Samuelson and in policy-oriented analyses at the Federal Reserve Board.

Publications and selected works

Roll authored numerous influential papers in leading journals. Notable works include his critique on CAPM estimation and analysis of market microstructure, published in outlets like the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies. He contributed chapters to handbooks and conference volumes organized by the American Finance Association and the National Bureau of Economic Research, and he co-authored empirical studies that engaged with asset pricing factors later popularized by Eugene F. Fama and Kenneth R. French. His publications have been archived and cited across bibliographies maintained by institutions such as the California Institute of Technology and repositories circulated through the Social Science Research Network.

Selected papers and pieces commonly referenced in graduate curricula at the University of Chicago Booth School of Business, the Harvard Business School, and the Columbia Business School address price formation, transaction costs, and econometric identification in asset pricing tests. Roll also contributed to workshop volumes at the Cowles Foundation and the Center for Economic Policy Research.

Awards, honors, and recognition

Roll's scholarship has been recognized by election to prominent scholarly circles and citations in award deliberations associated with the Nobel Memorial Prize in Economic Sciences community dialogue, though the prize itself honors others in related fields. He has received fellowships and visiting appointments sponsored by organizations such as the National Science Foundation and lecture invitations from the American Finance Association and the Royal Economic Society. His work is highly cited in citation indices maintained by the Institute for Scientific Information and featured in retrospective panels at conferences hosted by the National Bureau of Economic Research.

Personal life and legacy

Roll's mentoring shaped careers of prominent researchers who have held posts at institutions including the University of Chicago, Dartmouth College, and Duke University. His methodological rigor and the Roll critique remain staples in doctoral seminars at business schools such as the Stanford Graduate School of Business and the Wharton School. The persistence of his contributions is evident in contemporary debates about factor models, market efficiency, and microstructure, where his insights continue to inform empirical practice and policy dialogue involving regulators like the Securities and Exchange Commission and central banks including the Federal Reserve Bank of New York.

Category:American economists Category:Financial economists Category:University of California, Berkeley alumni