Mihail Velikov

Contact:

Assistant Professor of Finance

Penn State University

Email: velikov <at> psu <dot> edu


Links:

CV

PSU Page

SSRN Author Page

Google Scholar

GitHub


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

Zeroing in on the Expected Returns of Anomalies (with Andrew Chen), Journal of Financial and Quantitative Analysis, 2022, Forthcoming

  • 2019 Eastern Finance Association Outstanding Paper in Investments (Trading Strategies)

Working Papers:

Model Comparison with Transaction Costs (with Andrew Detzel and Robert Novy-Marx), 2021

  • R & R @ Journal of Finance

Disclosure, Materiality Thresholds, and the Cost of Capital: Evidence from FOMC Announcements (with Michael Dambra and Joseph Weber), 2021

  • R & R @ Management Science

Oil Price Exposure and the Cross Section of Stock Returns (with Jordan Moore), 2022

  • R & R @ Review of Asset Pricing Studies

Peer Momentum (with Ulas Misirli and Daniela Scidá), 2021

FOMC Announcements and Predictable Returns, 2017


Personal:

My wife, Delina Agnosteva, is an Assistant Teaching Professor of Finance at Penn State University.