Richard ROLL* ● If the horn honks and the mechanic concludes that the whole electrical …
Roll (1973) gives a comparative test of the asset pricing theory and the optimal growth model …

Frozen concentrated orange juice is an unusual commodity. It is concentrated not only
hydrologically, but also geographically; more than 98 percent of US production takes place in the …

In an efficient market, the fundamental value of a security fluctuates randomly. However, trading
costs induce negative serial dependence in successive observed market price changes. …

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 …

THERE IS an impressive body of empirical evidence which indicates that successive price
changes in individual common stocks are very nearly independent. 2 Recent papers by …

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 …

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 …

Global markets seem to be increasingly integrated but there is no well-accepted measure of
integration. We show that the correlation across markets is a poor measure; perfectly …

Leverage cross‐sections more than a few years apart differ markedly, with similarities
evaporating as the time between them lengthens. Many firms have high and low leverage at …

This paper takes a few steps toward alleviating problems of data analysis that arise from the
fact that elementary expressions for density and cumulative distribution functions (cdf's) for …