Mihail Velikov
Contact:
Assistant Professor of Finance
Penn State University
Email: velikov <at> psu <dot> edu
Links:
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, 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
2023 William F. Sharpe Award
2019 Eastern Finance Association Outstanding Paper in Investments (Trading Strategies)
Model Comparison with Transaction Costs (with Andrew Detzel and Robert Novy-Marx), Journal of Finance, 2023, 78 (3): 1743-1775
Oil Price Exposure and the Cross Section of Stock Returns (with Jordan Moore), Review of Asset Pricing Studies, 2024, 14 (2): 274-309
Disclosure, Materiality Thresholds, and the Cost of Capital: Evidence from FOMC Announcements (with Michael Dambra and Joseph Weber), Management Science, 2024, Accepted
Working Papers:
Assaying Anomalies (with Robert Novy-Marx), 2023
CQA Academic Competition Award, 2nd Place
Geneva Institute for Wealth Management Research Grant
Smeal Small Research Grant
Free-to-use implementation of anomaly protocol
Show Me the Receipts: B2B Payment Timeliness and Expected Returns (with Paul Lieberman, Atanas Mihov and Andy Naranjo), 2023
R & R @ Journal of Financial Economics
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.