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55. Summary and Conclusions

Author

Pirrong, S. Craig, Haddock, David, Kormendi, Roger, Brennan, Michael, Miller, Merton, Roll, Richard, Stoll, Hans, Telser, Lester, Pirrong, S. Craig, Haddock, David, Kormendi, Roger, Brennan, Michael, Miller, Merton, Roll, Richard, Stoll, Hans, and Telser, Lester

Published
1993
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58. The Economic Function of Futures Trading

Author

Pirrong, S. Craig, Haddock, David, Kormendi, Roger, Brennan, Michael, Miller, Merton, Roll, Richard, Stoll, Hans, Telser, Lester, Pirrong, S. Craig, Haddock, David, Kormendi, Roger, Brennan, Michael, Miller, Merton, Roll, Richard, Stoll, Hans, and Telser, Lester

Published
1993
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59. The Role of the Futures Delivery Process

Author

Pirrong, S. Craig, Haddock, David, Kormendi, Roger, Brennan, Michael, Miller, Merton, Roll, Richard, Stoll, Hans, Telser, Lester, Pirrong, S. Craig, Haddock, David, Kormendi, Roger, Brennan, Michael, Miller, Merton, Roll, Richard, Stoll, Hans, and Telser, Lester

Published
1993
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62. How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective: A microstructure perspective

Author

Bongaerts, Dion, Roll, Richard, Rösch, Dominik, van Dijk, Mathijs, Yuferova, Darya, and Department of Finance

Abstract

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 are prevalent and large, with rapid spillovers across markets. However, price shocks are predominantly driven by information; they do not revert and are often associated with macroeconomic news. Furthermore, liquidity shocks are typically isolated and transitory. Overall, we find little evidence for liquidity effects fomenting price shocks or non-fundamental contagion, nor for alternative explanations. Market-wide liquidity dry-ups are thus of little concern to international investors.

Published
2022

63. The Shrinkage Adjusted Sharpe Ratio: An Improved Method for Mutual Fund Selection

Author

Roll, Richard, Levy, Moshe, Roll, Richard, and Levy, Moshe

Abstract

Mutual fund selection is a notoriously difficult task, because past performance is a poor predictor of future performance. We propose a fund performance measure that incorporates a simple idea: shrinkage, in the sense of Bayes-James-Stein, should be applied to gross return parameters, but not to fees, which are known. The proposed Shrinkage Adjusted Sharpe ratio (SAS) substantially improves the prediction of out-of-sample performance relative to existing methods. The best prediction is obtained when fees are weighed 5 times heavier than sample returns.

Published
2022

64. The (Un)intended Consequences of M&A Regulatory Enforcements

Author

Roll, Richard, de Bodt, Eric, Cousin, Jean-Gabriel, Officer, Micah, Roll, Richard, de Bodt, Eric, Cousin, Jean-Gabriel, and Officer, Micah

Abstract

Economic and policy uncertainty affect merger and acquisition (M&A) activity. In this paper, we use Department of Justice (DOJ) and Federal Trade Commission (FTC) interventions in the M&A market to investigate whether uncertainty around regulatory enforcements also matters. Our results support this conjecture. Using the Hoberg and Phillips (2010) similarity scores to identify product market competitors, we confirm a clear and significant DOJ/FTC regulatory enforcements’ deterrence effect on future M&A transaction attempts, a result robust to many alternative specifications and confirmed in additional tests. This deterrence effect is (at least partly) driven by the length of the regulatory process, a factor that exacerbates enforcement uncertainty. Our results identify an (un)intended channel through which M&A regulation hampers efficient resources allocation.

Published
2022

68. Protocol for Factor Identification.

Author

Pukthuanthong, Kuntara, Roll, Richard, and Subrahmanyam, Avanidhar

Subjects
RISK assessment, COVARIANCE matrices, PRICING, CROSS-sectional method, RATE of return
Abstract

We propose a protocol for identifying genuine risk factors. A genuine 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 is reasonable enough to be consistent with risk pricing. A market factor, a profitability factor, and traded versions of macroeconomic factors pass our protocol, but many characteristic-based factors do not. Several of the underlying characteristics, however, do command premiums in the cross-section. Received July 20, 2017; editorial decision June 9, 2018 by Editor Andrew Karolyi. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online. [ABSTRACT FROM AUTHOR]

Published
2019
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73. The Shrinkage Adjusted Sharpe Ratio: An Improved Method for Mutual Fund Selection.

Author

Levy, Moshe and Roll, Richard

Subjects
MUTUAL funds, PRIVATE equity, INTEREST rates, GROSS domestic product, PARTICLE swarm optimization
Abstract

Mutual fund selection is a notoriously difficult task, because past performance is a poor predictor of future performance. We propose a fund performance measure that incorporates a simple idea: shrinkage, in the sense of Bayes-James-Stein, should be applied to gross return parameters, but not to fees, which are known. The proposed Shrinkage Adjusted Sharpe ratio (SAS) substantially improves the prediction of out-of-sample performance relative to existing methods. The best prediction is obtained when fees are weighed five times heavier than sample returns. [ABSTRACT FROM AUTHOR]

Published
2023
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