Mihail Velikov


Contact:

Mihail Velikov

Assistant Professor of Finance

Penn State University

Email: velikov@psu.edu


Links:

CV

PSU Page

SSRN Author Page

Google Scholar


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


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


Personal:

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