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

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, 2023, 58 (3): 968-1004

Model Comparison with Transaction Costs (with Andrew Detzel and Robert Novy-Marx), Journal of Finance, 2023, 78 (3): 1743-1775

Disclosure, Materiality Thresholds, and the Cost of Capital: Evidence from FOMC Announcements (with Michael Dambra and Joseph Weber), Management Science, 2023, Accepted

Oil Price Exposure and the Cross Section of Stock Returns (with Jordan Moore), Review of Asset Pricing Studies, 2023, Accepted

Working Papers:

Assaying Anomalies (with Robert Novy-Marx), 2023

Show Me the Receipts: B2B Payment Timeliness and Expected Returns (with Paul Lieberman, Atanas Mihov and Andy Naranjo), 2023

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 Assistant Teaching Professor of Finance at Penn State University.