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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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    • Tel: 858-534-0898
SCHOLARLY PAPERS

26

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13,503

CITATIONS
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506

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 USI-Lugano
Downloads 1,275 (10,380)
Citation 6

Abstract:

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 1,214 (12,263)
Citation 16

Abstract:

3.

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 Colorado at Boulder - Leeds School of Business and University of California, San Diego (UCSD) - Rady School of Management
Downloads 921 (16,636)
Citation 1

Abstract:

Mergers, Value Creation, Announcement Returns, Corporate Governance

4.

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, USI-Lugano and University of California, San Diego (UCSD) - Rady School of Management
Downloads 920 (19,718)
Citation 5

Abstract:

return asymmetry, international equity markets, portfolio allocation, skewness

5.

There is a Risk-Return Tradeoff After All

Downloads 889 ( 20,743)
Citation 141

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 801 (23,783)
Citation 139

Abstract:

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
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 88 (246,238)
Citation 141

Abstract:

6.

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 USI-Lugano
Downloads 750 (24,471)
Citation 20

Abstract:

Cap rate, real estate, return predictability

7.

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

Downloads 724 ( 27,907)
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 650 (31,836)
Citation 70

Abstract:

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
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 74 (274,081)
Citation 70

Abstract:

8.

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 527 (37,732)
Citation 67

Abstract:

9.

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, USI-Lugano, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 522 (20,259)
Citation 5

Abstract:

real estate, predictability, market efficiency, REIT

10.

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 South Carolina - Darla Moore School of Business and University of California, San Diego (UCSD) - Rady School of Management
Downloads 480 (44,556)
Citation 8

Abstract:

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
Universidad Nova de Lisboa - Faculdade de Economia and University of California, San Diego (UCSD) - Rady School of Management
Downloads 479 (42,018)
Citation 6

Abstract:

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

12.

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 402 (43,041)
Citation 42

Abstract:

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

13.

Forecasting Stock Returns Under Economic Constraints

Downloads 393 ( 61,361)

Forecasting Stock Returns Under Economic Constraints

Number of pages: 57 Posted: 09 Dec 2012
Davide Pettenuzzo, Allan G. Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 391 (61,146)

Abstract:

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 G. Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 2 (568,434)
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Abstract:

Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability

14.

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

Downloads 374 ( 65,056)
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 313 (79,289)
Citation 27

Abstract:

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 61 (304,928)
Citation 27

Abstract:

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

Abstract:

G11, G12

15.

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

Downloads 317 ( 78,654)
Citation 4

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
USI-Lugano, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 314 (78,991)
Citation 4

Abstract:

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
USI-Lugano, affiliation not provided to SSRN and University of California, San Diego (UCSD) - Rady School of Management
Downloads 3 (560,249)
Citation 4
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Abstract:

16.

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 286 (80,355)
Citation 3

Abstract:

Return Predictability, Early Exercise Premium, Dividend Growth

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 253 (78,148)
Citation 3

Abstract:

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

18.

Complexity in Structured Finance

Number of pages: 68 Posted: 15 Sep 2013 Last Revised: 27 Aug 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 204 (56,390)
Citation 1

Abstract:

Complexity, Security Design, MBS Performance

19.

A MIDAS Approach to Modeling First and Second Moment Dynamics

Downloads 199 (128,081)

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 G. Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 199 (127,841)

Abstract:

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 G. Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0
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Abstract:

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

20.

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 199 (86,662)

Abstract:

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

21.

Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation

Swiss Finance Institute Research Paper No. 11-07
Number of pages: 21 Posted: 01 Feb 2011 Last Revised: 10 Mar 2011
Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
USI-Lugano, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 170 (121,692)
Citation 3

Abstract:

Dynamic portfolio choice, real estate, cap rate

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 145 (156,758)
Citation 5

Abstract:

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

23.

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 23 (428,675)
Citation 67
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Abstract:

24.

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, USI-Lugano and University of California, San Diego (UCSD) - Rady School of Management
Downloads 17 (454,699)
Citation 6
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Abstract:

25.

Corporate Bond Portfolios and Macroeoconomic Conditions

Number of pages: 57 Posted: 19 Dec 2016 Last Revised: 04 Feb 2017
Maximilian Bredendiek, Giorgio Ottonello and Rossen I. Valkanov
Vienna Graduate School of Finance (VGSF), Vienna Graduate School of Finance (VGSF) and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0 (185,024)

Abstract:

Corporate Bonds; Empirical Portfolio Choice

26.

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, USI-Lugano and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0 (87,707)

Abstract:

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

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