Richard Roll (born October 31, 1939) is an American economist and professor of finance at

CalTech The California Institute of Technology (branded as Caltech) is a private university, private research university in Pasadena, California, United States. The university is responsible for many modern scientific advancements and is among a small g ...

, 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 interrelated Price, pricing principles, outlined below, together with the resultant models. There have been many models developed for different situations, ...

, both theoretical and empirical. He earned his

bachelor's degree A bachelor's degree (from Medieval Latin ''baccalaureus'') or baccalaureate (from Modern Latin ''baccalaureatus'') is an undergraduate degree awarded by colleges and universities upon completion of a course of study lasting three to six years ...

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 s ...

from

Auburn University Auburn University (AU or Auburn) is a Public university, public Land-grant university, land-grant research university in Auburn, Alabama, United States. With more than 26,800 undergraduate students, over 6,100 post-graduate students, and a tota ...

in 1961, and his M.B.A. in 1963 at the

University of Washington The University of Washington (UW and informally U-Dub or U Dub) is a public research university in Seattle, Washington, United States. Founded in 1861, the University of Washington is one of the oldest universities on the West Coast of the Uni ...

while working for

Boeing The Boeing Company, or simply Boeing (), is an American multinational corporation that designs, manufactures, and sells airplanes, rotorcraft, rockets, satellites, and missiles worldwide. The company also provides leasing and product support s ...

Seattle, Washington Seattle ( ) is the List of municipalities in Washington, most populous city in the U.S. state of Washington (state), Washington and in the Pacific Northwest region of North America. With a population of 780,995 in 2024, it is the List of Unit ...

. In 1968, he received his Ph.D. from the Graduate School of Business at the

University of Chicago The University of Chicago (UChicago, Chicago, or UChi) is a Private university, private research university in Chicago, Illinois, United States. Its main campus is in the Hyde Park, Chicago, Hyde Park neighborhood on Chicago's South Side, Chic ...

economics Economics () is a behavioral science that studies the Production (economics), production, distribution (economics), distribution, and Consumption (economics), consumption of goods and services. Economics focuses on the behaviour and interac ...

finance Finance refers to monetary resources and to the study and Academic discipline, discipline of money, currency, assets and Liability (financial accounting), liabilities. As a subject of study, is a field of Business administration, Business Admin ...

, and

statistics Statistics (from German language, German: ', "description of a State (polity), state, a country") is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of data. In applying statistics to a s ...

. 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 de ...

Prize as the best American dissertation in economics in 1968. Roll co-authored the first

event study An event study is a statistical and econometric method to assess the impact of events on outcome variables. The event is also framed as a "treatment". As the event methodology can be used to elicit the effects of any type of event on the directio ...

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 Servic ...

, 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 university, private research university in Pittsburgh, Pennsylvania, United States. The institution was established in 1900 by Andrew Carnegie as the Carnegie Technical Schools. In 1912, it became t ...

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 The University of California, Los Angeles (UCLA) is a public land-grant research university in Los Angeles, California, United States. Its academic roots were established in 1881 as a normal school then known as the southern branch of the C ...

, from which he retired as Japan Alumni Chair Professor of Finance in 2014. 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. ...

. Roll has published over 80 professional articles. In addition to his academic work, Roll has also been active in the money management industry. From 1985-1987, he took a leave of absence from UCLA and worked at Goldman Sachs. In 1985 he also co-founded Roll and Ross Asset Management Corporation with Stephen Ross. Roll was co-chairman until 2005.

References

External links

UCLA Page
{{DEFAULTSORT:Roll, Richard 1939 births Living people American 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

See also

References

External links