Mihail Velikov
Mihail Velikov
Contact:
Associate Professor of Finance
Penn State University
Email: velikov <at> psu <dot> edu
Links:
Publications:
A Taxonomy of Anomalies and their Trading Costs (with Robert Novy-Marx), Review of Financial Studies, 2016, 29 (1): 104-147
Comparing Cost-Mitigation Techniques (with Robert Novy-Marx), Financial Analysts Journal, 2019, 75 (1): 85-102
2019 Graham and Dodd Scroll Award
Liquidity Risk and Asset Pricing (with Hongtao Li and Robert Novy-Marx), Critical Finance Review, 2019, 8 (1-2): 223-255
Show Me the Money: The Monetary Policy Risk Premium (with Ali Ozdagli), Journal of Financial Economics, 2020, 135 (2): 320-339
Betting Against Betting Against Beta (with Robert Novy-Marx), Journal of Financial Economics, 2022, 143 (1): 80-106
2019 Q Group Roger F. Murray Prize, 2nd Place
Zeroing in on the Expected Returns of Anomalies (with Andrew Chen), Journal of Financial and Quantitative Analysis, 2023, 58 (3): 968-1004
2023 William F. Sharpe Award
2019 Eastern Finance Association Outstanding Paper in Investments (Trading Strategies)
Model Comparison with Transaction Costs (with Andrew Detzel and Robert Novy-Marx), Journal of Finance, 2023, 78 (3): 1743-1775
Oil Price Exposure and the Cross Section of Stock Returns (with Jordan Moore), Review of Asset Pricing Studies, 2024, 14 (2): 274-309
Disclosure, Materiality Thresholds, and the Cost of Capital: Evidence from FOMC Announcements (with Michael Dambra and Joseph Weber), Management Science, 2024, 70 (12), 8217-9119
Show Me the Receipts: B2B Payment Timeliness and Expected Returns (with Paul Lieberman, Atanas Mihov and Andy Naranjo), Journal of Financial Economics, 2024, Accepted
Working Papers:
AI-Powered (Finance) Scholarship (with Robert Novy-Marx), 2025
R&R @ Journal of Economic Literature
2025 INQUIRE Europe Research Grant
Github repo with automatically-generated papers
AI-generated podcast on paper about AI-generated papers
Assaying Anomalies (with Robert Novy-Marx), 2024
R&R @ Review of Financial Studies
2024 INQUIRE UK Autumn Conference Best Paper Presentation Prize
2023 CQA Academic Competition Award, 2nd Place
Geneva Institute for Wealth Management Research Grant
Smeal Small Research Grant
Free-to-use implementation of anomaly protocol
The Aggregated Equity Risk Premium (with Vitor Azevedo and Christoph Riedersberger), 2025
R&R @ Management Science
The Expected Returns on Machine-Learning Strategies (with Vitor Azevedo and Christopher Hoegner), 2024
Peer Momentum (with Ulas Misirli and Daniela Scidá), 2023
FOMC Announcements and Predictable Returns, 2017
Personal:
My wife, Delina Agnosteva, is an Associate Teaching Professor of Finance at Penn State University.