Zobrazeno 1 - 10
of 173
pro vyhledávání: '"Richard Roll"'
Autor:
Moshe Levy, Richard Roll
Publikováno v:
The Journal of Investing. 32:7-23
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b9d652dc85b9cbb19d293e70e1b6f110
https://doi.org/10.3905/joi.2022.1.252
https://doi.org/10.3905/joi.2022.1.252
Autor:
Richard Roll
Publikováno v:
The Journal of Portfolio Management. 48:93-97
The Markowitz frontier of optimal portfolios is valid in both mean–variance space and in mean–standard deviation space. There are, however, some curious differences because lines in one space become curves in the other. This article explores and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8b25694edbfba6bdc995afa04c8b60b9
https://doi.org/10.3905/jpm.2021.1.300
https://doi.org/10.3905/jpm.2021.1.300
Publikováno v:
Management Science, 68(4), 3071-3089. INFORMS Institute for Operations Research and the Management Sciences
We study intraday, market-wide shocks to stock prices, market liquidity, and trading activity on international stock markets and assess the relevance of recent theories on “liquidity dry-ups” in explaining such shocks. Market-wide price shocks ar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3d7b93ed7d553172a6477a7820c8a5ba
https://pure.eur.nl/en/publications/e22f18b1-8bbb-4b66-b03e-503adcba1781
https://pure.eur.nl/en/publications/e22f18b1-8bbb-4b66-b03e-503adcba1781
Publikováno v:
Journal of Empirical Finance. 50:20-42
Large merger and acquisition (MA just a few acquirers undertake many M&As. Does this feature affect statistical inference? To investigate the issue, our study relies on simulations based on real data sets. The results suggest the existence of a bias,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0795892a74494c55f378985fab91d885
https://doi.org/10.1016/j.jempfin.2018.12.003
https://doi.org/10.1016/j.jempfin.2018.12.003
Autor:
Moshe Levy, Richard Roll
The vast majority of investors in the capital market do so, at least in part, via mutual funds. In the US market alone, there are currently thousands of mutual funds to choose from. Thus, the task of mutual fund selection is of central importance. It
Publikováno v:
SSRN Electronic Journal.
Economic (Bhagwat, Dam and Harford, 2016), political (Cao, Li and Liu, 2019), and policy (Nam and Hieu, 2017; Bonaime, Gulen and Ion, 2018) uncertainty affect merger and acquisition (M&A) activity. In this paper, we use Department of Justice (DOJ) an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4d4ba32e8c44e8d8b5be541dc2ec659c
https://doi.org/10.2139/ssrn.3549230
https://doi.org/10.2139/ssrn.3549230
Publikováno v:
The Review of Financial Studies. 32:1573-1607
We propose a protocol for identifying genuine risk factors. The underlying premise is that a risk factor must be related to the covariance matrix of returns, must be priced in the cross-section of returns, and should yield a reward-to-risk ratio that
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f0b020284a3c51f178c76b1b59c04d4a
https://doi.org/10.1093/rfs/hhy093
https://doi.org/10.1093/rfs/hhy093
Publikováno v:
Journal of Financial and Quantitative Analysis. 53:1547-1579
Surprisingly few papers have attempted to develop a direct empirical test for overbidding in merger and acquisition contests. We develop such a test grounded on a necessary condition for profit-maximizing bidding behavior. The test is not subject to
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::71a0c55db50801a080381e37274648b4
https://doi.org/10.1017/s0022109018000273
https://doi.org/10.1017/s0022109018000273
Publikováno v:
Management Science. 64:760-783
The number of merger and acquisition (M&A) transactions paid fully in stock in the U.S. market declined sharply after 2001, when pooling and goodwill amortization were abolished by the Financial Accounting Standards Board. Did this accounting rule ch
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6282812e210e4e24d1d26e2c7069eace
https://doi.org/10.1287/mnsc.2016.2635
https://doi.org/10.1287/mnsc.2016.2635