Author Page for Rossen I. Valkanov

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 1,465 (11,943)

Citation 1

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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 1,304 (14,370)

Citation 13

Abstract:

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 1,200 (16,346)

Citation 3

Abstract:

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, Swiss Finance Institute and University of California, San Diego (UCSD) - Rady School of Management

Downloads 1,092 (18,852)

Citation 23

Abstract:

5.

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

Downloads 1,086 (19,007)

Citation 4

Abstract:

6.

There is a Risk-Return Tradeoff after All

Downloads 923 ( 24,173)

Citation 60

2

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 820 (28,117)

Abstract:

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 103 (261,739)

Citation 4

Abstract:

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 826 (28,281)

Citation 3

Abstract:

8.

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

Downloads 756 ( 31,942)

Citation 125

2

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 676 (36,642)

Abstract:

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 80 (306,236)

Citation 2

Abstract:

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 644 (39,671)

Citation 2

Abstract:

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 600 (43,592)

Citation 1

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

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

Downloads 577 (45,880)

Citation 8

Abstract:

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 North Carolina (UNC) at Chapel Hill - Finance Area, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management

Downloads 542 (49,652)

Citation 4

Abstract:

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 (52,865)

Citation 17

Abstract:

14.

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 492 (56,137)

Citation 17

Abstract:

15.

Forecasting Stock Returns Under Economic Constraints

Downloads 475 ( 58,730)

Citation 42

2

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 473 (58,377)

Citation 1

Abstract:

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 2 (666,280)

Citation 1

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Abstract:

16.

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

Downloads 410 ( 70,219)

Citation 115

3

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 341 (86,375)

Citation 1

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 69 (333,855)

Citation 10

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:

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 378 (77,153)

Citation 15

Abstract:

18.

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

Downloads 332 ( 89,663)

Citation 8

2

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 328 (90,240)

Abstract:

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 4 (646,231)

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Abstract:

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 North Carolina (UNC) at Chapel Hill - Finance Area and University of California, San Diego (UCSD) - Rady School of Management

Downloads 331 (90,275)

Citation 1

Abstract:

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 (93,668)

Citation 6

Abstract:

21.

A MIDAS Approach to Modeling First and Second Moment Dynamics

Downloads 252 (120,492)

Citation 7

2

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 252 (119,960)

Citation 2

Abstract:

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 0

Citation 1

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Abstract:

22.

Corporate Bond Portfolios and Asset-Specific Information

Number of pages: 65 Posted: 19 Dec 2016 Last Revised: 25 Jun 2019

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 247 (122,930)

Abstract:

23.

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 171 (173,897)

Citation 4

Abstract:

24.

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 122 (230,302)

Abstract:

25.

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 (496,069)

Citation 5

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Abstract:

26.

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 (524,858)

Citation 1

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27.

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

Rossen I. Valkanov

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

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Scholarly Papers (27)

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Forecasting Stock Returns Under Economic Constraints

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

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A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics

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The Presidential Puzzle: Political Cycles and the Stock Market

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Valuation in US Commercial Real Estate

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