Richard Roll

Richard Roll is a professor at CalTech and a principal at AQR Capital Management. His 1977 paper "A Critique of the Asset Pricing Theory's Tests" — known as the "Roll Critique" — demonstrated that CAPM is untestable because the true market portfolio is unobservable. This became one of the most cited papers in financial economics and remains a foundational challenge for empirical asset pricing. Roll also contributed research on options, portfolio immunization, market microstructure, and the behavior of asset prices around information events. His research on the January effect and small-cap seasonality was among the earliest systematic documentation of calendar anomalies in equity markets. At AQR, his academic work on asset pricing complements the firm's factor-based investment strategies that build on the literature he helped shape. His critique also motivated the development of alternative multifactor models — including the Fama-French three-factor model — that attempt to capture more of the cross-sectional variation in returns that CAPM's single-factor structure cannot explain.