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

SCHOLARLY PAPERS

26

DOWNLOADS
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Top 2,056

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12,796

CITATIONS
Rank 1,079

SSRN RANKINGS

Top 1,079

in Total Papers Citations

504

Scholarly Papers (26)

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 (10,049)
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 (11,586)
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 (16,366)
Citation 2

Abstract:

Mergers, Value Creation, Announcement Returns, Corporate Governance

4.
Downloads 883 ( 19,596)
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 798 (22,341)
Citation 142

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 85 (237,856)
Citation 142

Abstract:

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, USI-Lugano and University of California, San Diego (UCSD) - Rady School of Management
Downloads 820 (21,812)
Citation 5

Abstract:

return asymmetry, international equity markets, portfolio allocation, skewness

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 (23,467)
Citation 19

Abstract:

Cap rate, real estate, return predictability

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 638 (30,605)
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 71 (265,291)
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 (36,236)
Citation 66

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 (23,437)
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 (42,835)
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 (40,964)
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 (43,945)
Citation 42

Abstract:

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

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 371 (61,231)

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 (540,606)

Abstract:

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

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 297 (79,239)
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
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 56 (301,162)
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

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 311 (75,201)
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 2 (540,606)
Citation 4

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 (78,467)
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 (79,387)
Citation 3

Abstract:

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

18.

Complexity in Structured Finance

Number of pages: 46 Posted: 15 Sep 2013 Last Revised: 28 Jan 2016
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 (59,679)

Abstract:

Complexity, Security Design, MBS Performance

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 199 (84,485)

Abstract:

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

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 181 (131,922)

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

Abstract:

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

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 (120,846)
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 (151,319)
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 (410,767)
Citation 66

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 (436,175)
Citation 6

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 (256,394)

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 (123,133)

Abstract:

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