Rossen Valkanov
Associate Professor of Finance
Rossen Valkanov is an associate professor of finance in the Rady School. Dr. Valkanov received his Ph.D. in economics from Princeton University. In 1999, he became an assistant professor of finance at UCLA's Anderson School of Management where he remained until his appointment at UC San Diego. From 2001-2004 he served as an assistant professor of finance at the University of California, Berkeley's Haas School of Management, teaching summer courses for the master's program in financial engineering. He is a member of many professional organizations including the American Finance Association, the American Economic Association, the Econometric Society and the Bachelier Society. Dr. Valkanov's main research interests are in the areas of financial econometrics, empirical asset pricing, portfolio choice and monetary economics. He teaches finance courses for the FlexMBA and the Full-Time MBA programs at the Rady School.
Public and Forthcoming Papers
Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns (with Pedro Santa-Clara and Michael Brandt). Forthcoming in Review of Financial Studies.
Do Industries Lead Stock Markets? (with Harrison Hong and Walt Torous). Forthcoming in Journal of Financial Economics.
Valuation in the US Commercial Real Estate (with Eric Ghysels and Alberto Plazzi). Forthcoming in European Financial Management.
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies (with Eric Ghysels and Pedro Santa-Clara). Forthcoming in the Journal of Econometrics.
MIDAS Regressions: Further Results and New Directions (with Eric Ghysels, Pedro Santa-Clara, and Arthur Sinko). Forthcoming in Econometric Reviews.
There is a Risk-Return Tradeoff After All (with Pedro Santa-Clara and Eric Ghysels) The Journal of Financial Economics (2005) v76(3), p. 509-548
Functional Central Limit Theorem Approximations and the Distribution of the Dickey-Fuller Test with Strongly Heteroskedastic Data Economics Letters (2005) v86(3), pp 427-433.
On Predicting Stock Returns with Nearly Integrated Explanantory Variables (with Walter Torous and Shu Yan) The Journal of Business (2005) v77(4), pp 937-966.
Political Cycles and the Stock Market (with Pedro Santa-Clara) The Journal of Finance (2003) v58(5), pp 1841-1872. Updated Main Results (January, 2004)
Long-Horizon Regressions: Theoretical Results and Applications The Journal of Financial Economics (2003) v68, 201-232.
Working Papers
Does the Early Exercise Premium Contain Information about Future Underlying Returns? (with Pradeep Yadav and Yuzhao Zhang)
Boundaries of Predictability: Noisy Predictive Regressions (with Walter Torous)
Boundaries of Predictability: Noisy Predictive Regressions (with Shingo Goto)
Fiscal Policy and Asset Returns (with Jose Tavares)
The MIDAS Touch: Mixed Data Sampling Regression Models (with Eric Ghysels and Pedro Santa-Clara)
Expected Returns and the Expected Growth in Rents of Commercial Real Estate (with Walter Torous and Alberto Plazzi)
Long-Horizon Regressions when the Predictor is Slowly Varying (with Roger Moon and Antonio Rubia)
The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations (with Walter Torous and Alberto Plazzi)