Mihail Velikov


Mihail Velikov

Assistant Professor of Finance

Penn State University

Email: velikov@psu.edu



PSU Page

SSRN Author Page

Google Scholar


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

Working Papers:

Zeroing in on the Expected Returns of Anomalies (with Andrew Chen), 2020

  • R&R, Journal of Financial and Quantitative Analysis
  • 2019 Eastern Finance Association Outstanding Paper in Investments (Trading Strategies)

Betting Against Betting Against Beta (with Robert Novy-Marx), 2019

Model Selection with Transaction Costs (with Andrew Detzel and Robert Novy-Marx), 2019

Oil Price Exposure, Earnings Announcements, and Stock Return Predictability (with Jordan Moore), 2018

FOMC Announcements and Predictable Returns, 2017


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