Publications
We are pleased to offer the following research articles and white papers authored by Dr. Richard Roll, International Finance Professor, UCLA Anderson School, and Senior Research Advisor to Factor Advisors. To review these articles and many others in their entirety, please visit www.anderson.ucla.edu/x3279.xml.*
"The Possible Misdiagnosis of a Crisis" Richard Roll, Financial Analysts Journal, Volume 67, Number 2 (2011)
Most explanations of the 2007-08 financial crisis-including excessive leverage, subprime mortgages, exotic derivatives, reckless risk taking, and easy money that spawned a housing bubble-are inconsistent with elementary principles of finance. Richard Roll explains the inconsistencies and suggests an alternative diagnosis that is fully compatible with rationality.
"A Practitioner's Guide to Arbitrage Pricing Theory" Edwin Burmeister, Richard Roll, and Stephen A. Ross,
CFA Institute Research Foundation Publications, A Practitioner's Guide to Factor Models (March 1994): 1-30
The Arbitrage Pricing Theory (APT) is a classic risk management tool recognizing that several broad sources of macroeconomic risk, or factors, independently combine to influence security returns. In this guide, the authors discuss the basics of APT and the macroeconomic forces that combine to form the underlying sources of security risk. Of interest to investment professionals, the authors present several ways to use the APT effectively.
"Economic Forces and the Stock Market" N. Chen, R. Roll, S.A. Ross, Journal of Business, 59, 3, 383-403 (July 1986)
In this classic paper on the APT, the authors find evidence of several macroeconomic factors as significant in explaining US equity returns: shifts in the yield curve (i.e. the spread between long duration and short duration US government bonds), expected and unexpected inflation, industrial production growth and changes in the yield spread between investment grade and high yield corporate bonds.
* Professor Richard Roll is a Senior Research Advisor to Factor Capital Management, LLC, and Factor Advisors, LLC (together, "Factor"). All articles and papers authored or co-authored by Richard Roll speak of his research and express his personal opinions. The information presented herein is for background information only and should not to be considered a recommendation to participate in any particular ETF, trading strategy, or deemed to be an offer or sale of any investment product, and should not be relied on as such. The user of this information assumes the entire risk of any use made of the information provided herein. Neither Professor Roll, Factor nor any other party involved in making or compiling any information makes an express or implied warranty or representation with respect to information in these articles. Past performance is no guarantee of future results
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