Rossen I. Valkanov

University of California, San Diego (UCSD) - Rady School of Management

9500 Gilman Drive

Rady School of Management

La Jolla, CA 92093

United States

  • University of California, San Diego (UCSD) - Rady School of Management

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SCHOLARLY PAPERS

26

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Scholarly Papers (26)

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1.

Valuation in the Us Commercial Real Estate

Number of pages: 37 Posted: 16 Oct 2006
Eric Ghysels, Rossen I. Valkanov and Alberto Plazzi
University of North Carolina Kenan-Flagler Business School, University of California, San Diego (UCSD) - Rady School of Management and Swiss Finance Institute
Downloads 1,457 (11,782)
Citation 6

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Real Estate, MIDAS, Cap rate, Predictive regression

2.

Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability

AFA 2004 San Diego Meetings; Anderson School of Management Working Paper
Number of pages: 42 Posted: 23 Nov 2003
Walter N. Torous, Rossen I. Valkanov and Harrison G. Hong
Massachusetts Institute of Technology, University of California, San Diego (UCSD) - Rady School of Management and Columbia University, Graduate School of Arts and Sciences, Department of Economics
Downloads 1,296 (14,203)
Citation 16

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3.

Forecasting Real Estate Prices

Handbook of Economic Forecasting: Vol II, G. Elliott and A. Timmermann, eds., Elsevier, 2012
Number of pages: 91 Posted: 21 Apr 2013
Eric Ghysels, Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,175 (16,533)
Citation 6

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real estate, predictability, market efficiency, REIT

4.

Value Creation Estimates Beyond Announcement Returns: Mega-Mergers versus Other Mergers

Number of pages: 52 Posted: 10 Nov 2009 Last Revised: 09 Feb 2012
Dinara Bayazitova, Matthias Kahl and Rossen I. Valkanov
University of North Carolina at Chapel Hill, Kelley School of Business, Indiana University and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,083 (18,680)
Citation 1

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Mergers, Value Creation, Announcement Returns, Corporate Governance

5.

Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 11-06
Number of pages: 61 Posted: 14 Feb 2011 Last Revised: 11 Apr 2016
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,081 (18,740)
Citation 5

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return asymmetry, international equity markets, portfolio allocation, skewness

6.

There is a Risk-Return Tradeoff after All

Downloads 916 ( 23,908)
Citation 142

There is a Risk-Return Tradeoff after All

EFA 2004 Maastricht Meetings Paper No. 1345; Anderson Working Paper; CIRANO Working Paper
Number of pages: 56 Posted: 18 Jun 2004
Eric Ghysels, Pedro Santa-Clara and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 816 (27,810)
Citation 139

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ICAPM, risk-return tradeoff, conditional variance, forecasting returns

There is a Risk-Return Tradeoff after All

NBER Working Paper No. w10913
Number of pages: 55 Posted: 08 Dec 2004 Last Revised: 18 Sep 2012
Pedro Santa-Clara, Eric Ghysels and Rossen I. Valkanov
New University of Lisbon - Nova School of Business and Economics, University of North Carolina Kenan-Flagler Business School and University of California, San Diego (UCSD) - Rady School of Management
Downloads 100 (261,138)
Citation 142

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7.

Expected Returns and the Expected Growth in Rents of Commercial Real Estate

EFA 2007 Ljubljana Meetings Paper, EFA 2005 Moscow Meetings Paper, AFA 2007 Chicago Meetings Paper
Number of pages: 62 Posted: 25 Jul 2005 Last Revised: 10 Oct 2016
Walter N. Torous, Rossen I. Valkanov and Alberto Plazzi
Massachusetts Institute of Technology, University of California, San Diego (UCSD) - Rady School of Management and Swiss Finance Institute
Downloads 822 (27,954)
Citation 21

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Cap rate, real estate, return predictability

8.

Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies

Downloads 752 ( 31,609)
Citation 70

Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies

Anderson School of Management Working Paper and UNC Department of Economics Working Paper
Number of pages: 46 Posted: 05 Oct 2003
Eric Ghysels, Pedro Santa-Clara and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 673 (36,158)
Citation 70

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variance estimation, volatility, asset pricing, MIDAS

Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies

NBER Working Paper No. w10914
Number of pages: 45 Posted: 08 Dec 2004 Last Revised: 18 Sep 2012
Eric Ghysels, Pedro Santa-Clara and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 79 (303,541)
Citation 70

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9.

Midas Regressions: Further Results and New Directions

Number of pages: 50 Posted: 23 Feb 2006
Eric Ghysels, Arthur Sinko and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 637 (39,462)
Citation 42

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Volatility, Risk, tick-by-tick applications, nonlinear MIDAS, microstructure noise

10.

Political Cycles and the Stock Market

Anderson School of Management, UCLA, Working Paper
Number of pages: 56 Posted: 25 Oct 2000
Pedro Santa-Clara and Rossen I. Valkanov
New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 599 (42,860)
Citation 67

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11.

The Neglected Effect of Fiscal Policy on Stock and Bond Returns

EFA 2003 Annual Conference Paper No. 201; UCLA, Anderson School of Management Working Paper, FEUNL Working Paper No. 413
Number of pages: 48 Posted: 06 Aug 2003
José Tavares and Rossen I. Valkanov
Nova School of Business and Economics - Universidade Nova de Lisboa and University of California, San Diego (UCSD) - Rady School of Management
Downloads 572 (45,538)
Citation 6

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returns, stocks, bonds, taxes, government spending, Ricardian Equivalence, fiscal policy

12.

Complexity in Structured Finance

Number of pages: 68 Posted: 15 Sep 2013 Last Revised: 05 Nov 2017
Andra C. Ghent, Walter N. Torous and Rossen I. Valkanov
University of Wisconsin - School of Business - Department of Real Estate and Urban Land Economics, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 537 (49,327)
Citation 1

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Complexity, Security Design, MBS Performance

13.

The Fed's Effect on Excess Returns and Inflation is Much Bigger than You Think

Texas Finance Festival
Number of pages: 32 Posted: 11 Apr 2002
Shingo Goto and Rossen I. Valkanov
University of Rhode Island - College of Business Administration and University of California, San Diego (UCSD) - Rady School of Management
Downloads 516 (51,917)
Citation 8

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14.

Forecasting Stock Returns Under Economic Constraints

Downloads 472 ( 58,116)

Forecasting Stock Returns Under Economic Constraints

Number of pages: 57 Posted: 09 Dec 2012
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 470 (57,822)

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Economic constraints, Sharpe ratio, Equity premium predictions, Bayesian analysis

Forecasting Stock Returns Under Economic Constraints

CEPR Discussion Paper No. DP9377
Number of pages: 61 Posted: 12 Mar 2013
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 2 (651,297)
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Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability

15.

The Risk-Return Relationship and Financial Crises

Number of pages: 20 Posted: 07 May 2016
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute and University of California, San Diego (UCSD) - Rady School of Management
Downloads 471 (58,285)

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risk, return, financial crisis, flight-to-safety

16.

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

Downloads 405 ( 69,993)
Citation 27

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

EFA 2005 Moscow Meetings Paper
Number of pages: 49 Posted: 23 Jun 2005
Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov
Duke University - Fuqua School of Business, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 337 (86,038)
Citation 27

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Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

NBER Working Paper No. w10996
Number of pages: 50 Posted: 19 Jan 2005 Last Revised: 20 Jul 2010
Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov
Duke University - Fuqua School of Business, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 68 (331,052)
Citation 27

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Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3411-3447, 2009
Posted: 08 Sep 2009
Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov
Duke University - Fuqua School of Business, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management

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G11, G12

17.

Multi-Period Forecasts of Volatility: Direct, Iterated, and Mixed-Data Approaches

EFA 2009 Bergen Meetings Paper
Number of pages: 22 Posted: 17 Feb 2009
Eric Ghysels, Rossen I. Valkanov and Antonio Rubia Serrano
University of North Carolina Kenan-Flagler Business School, University of California, San Diego (UCSD) - Rady School of Management and University of Alicante, Department of Financial Economics
Downloads 373 (77,004)
Citation 3

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Volatility forecasting, multi-period forecasts, mixed-data sampling

18.

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Downloads 329 ( 89,017)
Citation 5

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Number of pages: 40 Posted: 19 Nov 2004
Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
Swiss Finance Institute, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 326 (89,343)
Citation 5

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Commercial real estate, cross-sectional volatility, total risk

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Real Estate Economics, Vol. 36, Issue 3, pp. 403-439, Fall 2008
Number of pages: 37 Posted: 04 Aug 2008
Alberto Plazzi, Walter Torous and Rossen I. Valkanov
Swiss Finance Institute, affiliation not provided to SSRN and University of California, San Diego (UCSD) - Rady School of Management
Downloads 3 (640,543)
Citation 5
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19.

Comparing Securitized and Balance Sheet Loans: Size Matters

Number of pages: 57 Posted: 27 Sep 2012 Last Revised: 22 Jul 2014
Andra C. Ghent and Rossen I. Valkanov
University of Wisconsin - School of Business - Department of Real Estate and Urban Land Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 327 (89,621)

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Securitization, Commercial Mortgage-Backed Securities (CMBS), Structured finance

20.

Does the Early Exercise Premium Contain Information About Future Underlying Returns?

AFA 2007 Chicago Meetings Paper, EFA 2008 Athens Meetings Paper
Number of pages: 46 Posted: 05 Aug 2005 Last Revised: 18 Oct 2011
Rossen I. Valkanov, Yuzhao Zhang and Pradeep K. Yadav
University of California, San Diego (UCSD) - Rady School of Management, Rutgers, The State University of New Jersey - Department of Finance and University of Oklahoma Price College of Business
Downloads 319 (92,113)
Citation 3

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Return Predictability, Early Exercise Premium, Dividend Growth

21.

A MIDAS Approach to Modeling First and Second Moment Dynamics

Downloads 248 (120,396)

A MIDAS Approach to Modeling First and Second Moment Dynamics

Number of pages: 41 Posted: 26 Jul 2014 Last Revised: 19 Sep 2015
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 248 (119,900)

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MIDAS regressions; Bayesian estimation; stochastic volatility; out-of-sample forecasts; GDP growth

A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics

CEPR Discussion Paper No. DP10160
Number of pages: 48 Posted: 25 Sep 2014
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics, UCSD and University of California, San Diego (UCSD) - Rady School of Management
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Bayesian estimation, GDP growth, MIDAS regressions, out-of-sample forecasts, stochastic volatility

22.

Long-Horizon Regressions When the Predictor is Slowly Varying

Number of pages: 52 Posted: 18 Jul 2004
Hyungsik Roger Moon, Antonio Rubia Serrano and Rossen I. Valkanov
University of Southern California - Department of Economics, University of Alicante, Department of Financial Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 170 (171,907)
Citation 5

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Return predictability, long-horizon regressions, near unit root, local-to-zero variance

23.

Direct Versus Iterated Multi-Period Volatility Forecasts: Why MIDAS Is King

Swiss Finance Institute Research Paper No. 19-02 (2019), Kenan Institute of Private Enterprise Research Paper No. 19-7
Number of pages: 34 Posted: 31 Jan 2019
Eric Ghysels, Alberto Plazzi, Rossen I. Valkanov, Antonio Rubia Serrano and Asad Dossani
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business
Downloads 96 (266,438)

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volatility forecasting, multi-period forecasts, mixed-data sampling

24.

The Presidential Puzzle: Political Cycles and the Stock Market

Journal of Finance, Vol. 58, pp. 1841-1872, October 2003
Number of pages: 32 Posted: 01 Nov 2003
Pedro Santa-Clara and Rossen I. Valkanov
New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 24 (487,483)
Citation 67
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25.

Valuation in US Commercial Real Estate

European Financial Management, Vol. 13, No. 3, pp. 472-497, June 2007
Number of pages: 26 Posted: 24 May 2007
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute and University of California, San Diego (UCSD) - Rady School of Management
Downloads 19 (515,520)
Citation 6
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26.

Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation

Swiss Finance Institute Research Paper No. 11-07, https://doi.org/10.3905/jpm.2011.37.5.039
Posted: 21 May 2019
Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
Swiss Finance Institute, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management

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Dynamic portfolio choice, real estate, cap rate