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, 2021, Forthcoming


Working Papers:

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

  • R & R @ Journal of Finance

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)

Oil Price Exposure and the Cross Section of Stock Returns (with Jordan Moore), 2021

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

Peer Momentum (with Ulas Misirli and Daniela Scidá), 2020

FOMC Announcements and Predictable Returns, 2017


Personal:

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