Rossen Valkanov

Professor of Finance

Valkanov is a professor of finance. His main research interests are in 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. He is a member of many professional organizations including the American Finance Association, the American Economic Association, the Econometric Society and the Bachelier Society.

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 to present he teaches empirical finance at the University of California, Berkeley's Haas School of Management, in the master's program in financial engineering. Valkanov received his Ph.D. in economics from Princeton University.

Published and Forthcoming Papers

Forecasting Real Estate Prices (with Ghysels, E., Plazzi, A., and Torous, W.), Prepared for the Handbook of Economic Forecasting: Vol II, G. Elliott and A. Timmermann (Eds.), Elsevier.
    Data and Programs (to replicate Tables 1-4)

Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation (with A. Plazzi and W. Torous), Journal of Portfolio Management, 35(5), 39-50, 2011.

Forecasting Volatility with MIDAS (with Eric Ghysels), forthcoming in Volatility Models and Their Applications, Eds. Bauwens, L., Hafner, C., and Laurent, S, John Wiley and Sons.

Expected Returns and the Expected Growth in Rents of Commercial Real Estate (with Walter Torous and Alberto Plazzi), Review of Financial Studies, 23(9), 3469-3519, 2010.

Brandt, M., Santa-Clara, P., Valkanov, R., Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns, Review of Financial Studies, 22, 3411-3447, 2009.

Plazzi, A., Torous, W. and Valkanov, R. The Cross Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations, Real Estate Economics, 36(3), 403-43, 2008.

Hong, H., Torous, W., and Valkanov, R., Do Industries Lead Stock Markets? Journal of Financial Economics, 83(2) 367-396, 2007.

Ghysels, E., Plazzi, A., Valkanov, R., Valuation in the US Commercial Real Estate, European Financial Management, 13(3), 472-497, 2007.

Predicting Volatility: How to Get Most Out of Returns Data Sampled at Different Frequencies (with P. Santa-Clara and E. Ghysels), Journal of Econometrics, 131, 59-95.

Ghysels, E., Sinko, A. and Valkanov, R., MIDAS Regressions: Further Results and New Directions, Econometric Reviews, 26, 53-90, 2006.

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

Advantages and Disadvantages of Securitization: Evidence from Commercial Mortgages (with A. Ghent)

Forecasting Stock Returns Under Economic Constraints (with Davide Pettenuzzo and Allan Timmermann)

The Risk-Return Relationship and Financial Crises (with Eric Ghysels and Alberto Plazzi)

Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and Its Economic Fundamentals (with E. Ghysels and A. Plazzi)

Which Mergers Destroy Value? Only Mega-Mergers (with Dinara Bayazitova and Matthias Kahl)

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)

Long-Horizon Regressions when the Predictor is Slowly Varying (with Roger Moon and Antonio Rubia)