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

31

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566

Scholarly Papers (31)

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1.

The Mortgage-Cash Premium Puzzle

Journal of Finance (forthcoming)
Number of pages: 137 Posted: 19 Feb 2021 Last Revised: 06 Nov 2023
Michael Reher and Rossen I. Valkanov
University of California, San Diego (UCSD) - Rady School of Management and University of California, San Diego (UCSD) - Rady School of Management
Downloads 4,595 (4,417)
Citation 5

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House Prices, Cash Buyers, Asset Pricing Puzzles, Affordability

2.

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, Universita' della Svizzera italiana, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,767 (20,395)
Citation 7

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real estate, predictability, market efficiency, REIT

3.

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 Universita' della Svizzera italiana
Downloads 1,668 (22,303)
Citation 1

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Real Estate, MIDAS, Cap rate, Predictive regression

4.

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 1,443 (27,710)
Citation 99

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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, Universita' della Svizzera italiana and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,370 (29,958)
Citation 49

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return asymmetry, international equity markets, portfolio allocation, skewness

6.

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, University of California, Los Angeles (UCLA) - Anderson School of Management and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,235 (34,810)
Citation 6

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Mergers, Value Creation, Announcement Returns, Corporate Governance

7.

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, Universita' della Svizzera italiana and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,217 (35,502)
Citation 24

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

8.

There is a Risk-Return Tradeoff after All

Downloads 1,127 (39,760)
Citation 20

There is a Risk-Return Tradeoff after All

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, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 931 (51,236)
Citation 12

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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: 29 Oct 2022
Pedro Santa-Clara, Eric Ghysels and Rossen I. Valkanov
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 196 (313,663)
Citation 8

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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 1,093 (41,591)
Citation 24

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

10.

Do Credit Markets Respond to Macroeconomic Shocks? The Case for Reverse Causality

Journal of Finance, Forthcoming
Number of pages: 113 Posted: 08 Oct 2020 Last Revised: 16 Jul 2023
Martijn Boons, Giorgio Ottonello and Rossen I. Valkanov
Nova School of Business and Economics, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,089 (41,833)
Citation 6

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Credit Spreads, Time-Varying Risk Premia, Macroeconomic Risk, Shocks, Return Predictability

11.

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 Universita' della Svizzera italiana
Downloads 1,082 (42,214)
Citation 15

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Cap rate, real estate, return predictability

12.

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

Downloads 1,067 (43,126)
Citation 115

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

Number of pages: 49 Posted: 23 Jun 2005
Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov
Duke University - Fuqua School of Business, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 920 (52,195)
Citation 1

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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 2022
Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov
Duke University - Fuqua School of Business, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 147 (404,529)
Citation 114

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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, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management

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G11, G12

13.

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

Downloads 1,055 (43,769)
Citation 25

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 598 (91,958)
Citation 25

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

Direct Versus Iterated Multi-Period Volatility Forecasts

Swiss Finance Institute Research Paper No. 19-02, Kenan Institute of Private Enterprise Research Paper No. 19-7, Published, Annual Review of Financial Economics, 2019, Vol. 11, 173-195
Number of pages: 37 Posted: 31 Jan 2019 Last Revised: 05 Mar 2021
Eric Ghysels, Alberto Plazzi, Rossen I. Valkanov, Antonio Rubia Serrano and Asad Dossani
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, 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 457 (128,045)

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

14.

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

Downloads 1,028 (45,372)
Citation 28

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, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 830 (60,031)
Citation 3

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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: 29 Oct 2022
Eric Ghysels, Pedro Santa-Clara and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 198 (310,672)
Citation 25

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15.

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
Centre for Economic Policy Research (CEPR) and University of California, San Diego (UCSD) - Rady School of Management
Downloads 760 (68,484)
Citation 14

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

16.

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
Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 748 (69,959)
Citation 1

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17.

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 Utah - David Eccles School of Business, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 715 (74,364)
Citation 20

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Complexity, Security Design, MBS Performance

18.

Implementable Corporate Bond Portfolios: Investing Across Mandates

Number of pages: 88 Posted: 19 Dec 2016 Last Revised: 05 Jun 2024
Maximilian Bredendiek, Giorgio Ottonello and Rossen I. Valkanov
Vienna Graduate School of Finance (VGSF), Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 696 (76,816)
Citation 2

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JEL-Classification: G11, G12, C13, C58 Keywords: corporate bonds, empirical portfolio choice, characteristics

19.

Forecasting Stock Returns Under Economic Constraints

Downloads 640 (85,404)
Citation 48

Forecasting Stock Returns Under Economic Constraints

Number of pages: 57 Posted: 09 Dec 2012
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 629 (86,204)
Citation 2

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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 - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 11 (1,205,783)
Citation 46
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Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability

20.

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

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 611 (90,643)
Citation 19

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21.

Commercial Real Estate as an Asset Class

Annual Review of Financial Economics, Forthcoming
Number of pages: 37 Posted: 11 Oct 2019
Andra C. Ghent, Walter Torous and Rossen I. Valkanov
University of Utah - David Eccles School of Business, affiliation not provided to SSRN and University of California, San Diego (UCSD) - Rady School of Management
Downloads 461 (128,560)
Citation 3

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Commercial Real Estate, Corporate Real Estate, Property Returns, REITs, Portfolio Diversification

22.

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

Number of pages: 46 Posted: 05 Aug 2005 Last Revised: 08 Jan 2022
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 452 (131,331)
Citation 7

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Return Predictability, Early Exercise Premium, Dividend Growth

23.

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 Utah - David Eccles School of Business and University of California, San Diego (UCSD) - Rady School of Management
Downloads 431 (138,964)
Citation 9

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

24.

What Drives the Volatility of Professional Stock Return Forecasts? Causal Evidence from Macro Shocks

FEB-RN Research Paper No. 12/2024
Number of pages: 89 Posted: 14 Aug 2023 Last Revised: 11 Oct 2024
Martijn Boons, Giorgio Ottonello and Rossen I. Valkanov
Nova School of Business and Economics, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 411 (146,857)

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Macroeconomic Shocks, Stock Return Forecasts, Time-Varying Discount Rates, Real Uncertainty, Excess Volatility JEL Classification: E44, G12

25.

Backcasting, Nowcasting, and Forecasting Residential Repeat-Sales Returns: Forecast Combination meets Mixed Frequency

Swiss Finance Institute Research Paper No. 21-21
Number of pages: 53 Posted: 08 Mar 2021 Last Revised: 03 Dec 2021
Matteo Garzoli, Alberto Plazzi and Rossen I. Valkanov
Universita della Svizzera italiana (USI Lugano), Universita' della Svizzera italiana and University of California, San Diego (UCSD) - Rady School of Management
Downloads 389 (156,176)
Citation 1

Abstract:

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Real estate, Case-Shiller, MIDAS, Forecasting, Big Data

26.

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
Universita' della Svizzera italiana, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 389 (156,176)

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Commercial real estate, cross-sectional volatility, total risk

27.

A MIDAS Approach to Modeling First and Second Moment Dynamics

Downloads 364 (168,239)
Citation 11

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 - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 361 (168,323)
Citation 4

Abstract:

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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 - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 3 (1,301,572)
Citation 7
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Bayesian estimation, GDP growth, MIDAS regressions, out-of-sample forecasts, stochastic volatility

28.

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 216 (287,388)
Citation 7

Abstract:

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

29.

Direct versus Iterated Multiperiod Volatility Forecasts

Annual Review of Financial Economics, Vol. 11, pp. 173-195, 2019
Posted: 12 Jan 2020
Eric Ghysels, Alberto Plazzi, Rossen I. Valkanov, Antonio Rubia Serrano and Asad Dossani
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, 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

Abstract:

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30.

Commercial Real Estate as an Asset Class

Annual Review of Financial Economics, Vol. 11, pp. 153-171, 2019
Posted: 12 Jan 2020
Andra C. Ghent, Rossen I. Valkanov and Walter N. Torous
University of Utah - David Eccles School of Business, University of California, San Diego (UCSD) - Rady School of Management and Massachusetts Institute of Technology

Abstract:

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31.

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
Universita' della Svizzera italiana, 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