Mihail Velikov

Pennsylvania State University

University Park

State College, PA 16802

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 13,482

SSRN RANKINGS

Top 13,482

in Total Papers Downloads

4,311

SSRN CITATIONS
Rank 7,021

SSRN RANKINGS

Top 7,021

in Total Papers Citations

87

CROSSREF CITATIONS

96

Scholarly Papers (10)

1.

Betting Against Betting Against Beta

Number of pages: 46 Posted: 02 Jan 2019
Robert Novy-Marx and Mihail Velikov
Simon Business School, University of Rochester and Pennsylvania State University
Downloads 1,052 (24,709)
Citation 16

Abstract:

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Factor models, beta-arbitrage, defensive equity, non-standard methods, asset pricing

2.
Downloads 889 ( 31,505)
Citation 13

Zeroing in on the Expected Returns of Anomalies

Finance Down Under, 2019, Building on the Best from the Cellars of Finance
Number of pages: 59 Posted: 21 Nov 2017 Last Revised: 18 Mar 2020
Andrew Y. Chen and Mihail Velikov
Board of Governors of the Federal Reserve System and Pennsylvania State University
Downloads 781 (37,083)
Citation 17

Abstract:

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Stock Return Anomalies, Mispricing, Trading Costs

Zeroing in on the Expected Returns of Anomalies

FEDS Working Paper No. 2020-039
Number of pages: 72 Posted: 12 Jun 2020
Andrew Y. Chen and Mihail Velikov
Board of Governors of the Federal Reserve System and Pennsylvania State University
Downloads 108 (298,629)

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3.
Downloads 755 ( 39,632)
Citation 8

Show Me the Money: The Monetary Policy Risk Premium

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 91 Posted: 27 Mar 2016 Last Revised: 07 Oct 2018
Ali K. Ozdagli and Mihail Velikov
Federal Reserve Banks - Federal Reserve Bank of Boston and Pennsylvania State University
Downloads 537 (60,873)
Citation 9

Abstract:

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Monetary Policy, Asset Pricing, Risk Factors

Show Me the Money: The Monetary Policy Risk Premium

FRB of Boston Working Paper No. 16-27
Number of pages: 67 Posted: 16 Mar 2017
Ali K. Ozdagli and Mihail Velikov
Federal Reserve Banks - Federal Reserve Bank of Boston and Pennsylvania State University
Downloads 218 (168,509)

Abstract:

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monetary policy, asset pricing, risk factors

4.

FOMC Announcements and Predictable Returns

Number of pages: 42 Posted: 16 Dec 2014 Last Revised: 11 Sep 2017
Mihail Velikov
Pennsylvania State University
Downloads 439 (78,681)

Abstract:

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Asset Pricing, Macroeconomics, Anomalies, Monetary Policy, Predictability

5.

Peer Momentum

Number of pages: 53 Posted: 16 Dec 2020
Efdal Misirli, Daniela Scida and Mihail Velikov
Federal Reserve Bank of Richmond - Quantitative Supervision & Research, Federal Reserve Bank of Richmond - Quantitative Supervision & Research and Pennsylvania State University
Downloads 302 (120,228)

Abstract:

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Asset Pricing, Anomalies, Network, Attention, Behavioral Finance, Connectedness

6.

Comparing Cost-Mitigation Techniques

Financial Analysts Journal, vol. 75, no. 1: 85–102
Number of pages: 39 Posted: 21 Oct 2018 Last Revised: 22 Dec 2019
Robert Novy-Marx and Mihail Velikov
Simon Business School, University of Rochester and Pennsylvania State University
Downloads 246 (148,998)
Citation 3

Abstract:

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Investments, Trading Costs, Performance Evaluation, Market Efficiency

7.

A Taxonomy of Anomalies and Their Trading Costs

NBER Working Paper No. w20721
Number of pages: 61 Posted: 08 Dec 2014 Last Revised: 13 Feb 2021
Robert Novy-Marx and Mihail Velikov
Simon Business School, University of Rochester and Pennsylvania State University
Downloads 229 (159,061)
Citation 53

Abstract:

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8.

Oil price exposure and the cross section of stock returns

Number of pages: 51 Posted: 17 Apr 2018 Last Revised: 13 Apr 2021
Jordan Moore and Mihail Velikov
Rowan University - Accounting & Finance and Pennsylvania State University
Downloads 206 (175,838)

Abstract:

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Asset Pricing, Anomalies, Oil Prices, Attention, Behavioral Finance, Earnings Announcements

9.

Model Selection with Transaction Costs

Number of pages: 60 Posted: 17 Mar 2021
Andrew L. Detzel, Robert Novy-Marx and Mihail Velikov
University of Denver - Daniels College of Business, Simon Business School, University of Rochester and Pennsylvania State University
Downloads 135 (258,098)

Abstract:

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Factor Models, Trading Costs, Mispricing

10.

Disclosure and the Cost of Capital: Evidence from FOMC Announcements

Number of pages: 57 Posted: 27 Feb 2021 Last Revised: 16 Apr 2021
Michael Dambra, Mihail Velikov and Joseph Weber
SUNY at Buffalo - School of Management, Pennsylvania State University and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 58 (426,141)

Abstract:

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Disclosure, Materiality, Cost of Capital, Monetary Policy