Mihail Velikov


Mihail Velikov

Assistant Professor of Finance

Penn State University

Email: velikov@psu.edu



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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, Forthcoming

Show Me the Money: The Monetary Policy Risk Premium (with Ali Ozdagli), Journal of Financial Economics, Forthcoming

Working Papers:

Accounting for the Anomaly Zoo: A Trading Cost Perspective (with Andrew Chen), 2019

  • 2019 Eastern Finance Association Best Paper in Investments - Trading Strategies

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

Betting Against Betting Against Beta (with Robert Novy-Marx), 2018

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.