Richard Roll

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Studies published by Richard Roll.

Studies lacking replication:


Replicated studies:

Replications:

  • Moshe Levy, Richard Roll. (Im)Possible Frontiers: A Comment (Critical Finance Review 2015).
    JEL codes: G11, G12. Methods: - Software: -
    Data availability unknown; Readme availability unknown; Code availability unknown
    Replicated study: Thomas J. Brennan, Andrew W. Lo. Management Science 2010.
    JEL codes: -. Keywords: Short selling, Long/short, Portfolio optimization, Mean-variance analysis, CAPM
    Data: -. Type: reproduction (new methods). Result: different results. Call into question: yes. Replication authors statement: accepted results.

Corrections:


IDEAS/RePEc: [1]

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