Rossen Valkanov

Zable Endowed Chair

Professor of Finance

Co-Director, Master of Finance Program

Curriculum Vitae

Contact Info

Rady School of Management
Otterson Hall Hall, Room 4S139
9500 Gilman Drive #0553
La Jolla, CA 92093-0553
Phone: (858) 534­0898
Fax: (858) 5340745


Berkeley MFE

Research Areas

Empirical asset pricing
Financial econometrics
Portfolio choice
Monetary policy
Real estate

Industry Areas

Asset allocation
Monetary policy
Real estate

Rossen Valkanov is the Zable Endowed Chair in Management and Professor of Finance at the Rady School of Management, and inaugural Co-Director of the new Master’s in Finance program. He received his Ph.D. in economics from Princeton University (1999) and graduated summa cum laude from the University of California, Irvine with a BA in economics (1995). His main research interests are in the areas of empirical finance, financial econometrics, financial forecasting, risk management, portfolio allocation, and real estate. Professor Valkanov has authored numerous articles and book chapters. His research has been published in some of the most prestigious peer-reviewed journals such as the Journal of Finance, Journal of Financial Economics, and Review of Financial Studies. Empirical methods and big data applications based on his research—such as Mixed Data Sampling Regressions (MIDAS), parametric portfolio approaches, and forecasting procedures--have received significant interest from the finance industry practitioners. He is currently Editor of the Journal of Empirical Finance.

Professor Valkanov has taught at UCLA, UC Berkeley, Princeton, and various other institutions in the US and abroad. He is an award winning educator and teaches regularly in the Masters of Finance, Full-Time MBA, Flex MBA, Evening MBA, and Executive MBA programs at UCSD. He is a member of many professional organizations, including the American Finance Association, the American Economic Association, the Econometric Society, and the American Real Estate and Urban Economics Association.

Published and Forthcoming Papers

Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry (with E. Ghysels and A. Plazzi), The Journal of Finance 71(5), 2145-2192, 2016.

A MIDAS Approach to Modeling First and Second Moment Dynamics (with Davide Pettenuzzo and Allan Timmermann), Journal of Econometrics 193, 315-334, 2016.

Comparing Securitized and Balance Sheet Loans: Size Mattes (with A. Ghent) Management Science 62(10), 2784-2803, 2016.

Forecasting Stock Returns Under Economic Constraints (with Davide Pettenuzzo and Allan Timmermann) Journal of Financial Economics 2014, 114(3), 517-553.

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.
    [Note] [Data and Code]

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

Corporate Bond Portfolios and Macroeconomic Conditions (with Maximilian Bredendiek and Giorgio Ottonello)
     Internet Appendix

Complexity in Structured Finance (with Andra Ghent and Walter Torous)
     Selected Media Coverage: Bloomberg News.

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

The Fed’s Effect on Excess Returns and Inflation is Bigger Than You Think. (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)