Robert Novy-Marx

Simon Business School, University of Rochester

Rochester, NY 14627

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • Simon Business School, University of Rochester

  • National Bureau of Economic Research (NBER)

SCHOLARLY PAPERS

24

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390

CROSSREF CITATIONS

650

Scholarly Papers (24)

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1.

An Alternative Three-Factor Model

Number of pages: 32 Posted: 19 May 2010 Last Revised: 21 Jan 2014
Long Chen, Long Chen, Robert Novy-Marx and Lu Zhang
Cheung Kong Graduate School of BusinessLuohan Academy, Simon Business School, University of Rochester and Ohio State University - Fisher College of Business
Downloads 12,589 (476)
Citation 148

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Anomalies, Alphas, Factor Regressions, Asset Pricing Tests

2.

Public Pension Promises: How Big are They and What are They Worth?

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 05 Mar 2009 Last Revised: 13 Oct 2010
Robert Novy-Marx and Joshua D. Rauh
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 5,745 (1,894)
Citation 78

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public pensions, financial risk, state and local governments, portfolio choice, municipal bonds

3.

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 1,317 (21,319)
Citation 8

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

4.

An Equilibrium Model of Investment Under Uncertainty

Downloads 969 ( 33,233)
Citation 32

An Equilibrium Model of Investment Under Uncertainty

Haas School of Business Working Paper, 2002
Number of pages: 57 Posted: 21 Jan 2003
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 969 (32,749)
Citation 32

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Real Options, General Equilibrium, Asset Pricing, Real Estate, Development

An Equilibrium Model of Investment under Uncertainty

The Review of Financial Studies, Vol. 20, Issue 5, pp. 1461-1502, 2007
Posted: 25 Jun 2008
Robert Novy-Marx
Simon Business School, University of Rochester

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G12, E22, R14

5.

The Intergenerational Transfer of Public Pension Promises

Downloads 823 ( 41,742)

The Intergenerational Transfer of Public Pension Promises

Chicago GSB Research Paper No. 08-13
Number of pages: 43 Posted: 07 Jul 2008 Last Revised: 16 Nov 2008
Robert Novy-Marx and Joshua D. Rauh
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 779 (44,282)

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public pensions, financial risk, state and local governments, portfolio choice

The Intergenerational Transfer of Public Pension Promises

NBER Working Paper No. w14343
Number of pages: 42 Posted: 23 Sep 2008 Last Revised: 12 Mar 2022
Robert Novy-Marx and Joshua D. Rauh
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 44 (557,969)

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6.

The Revenue Demands of Public Employee Pension Promises

Downloads 810 ( 42,667)
Citation 19

The Revenue Demands of Public Employee Pension Promises

Number of pages: 63 Posted: 16 Dec 2011 Last Revised: 16 Oct 2012
Robert Novy-Marx and Joshua D. Rauh
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 783 (43,971)

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pensions, state and local government, public finance

The Revenue Demands of Public Employee Pension Promises

NBER Working Paper No. w18489
Number of pages: 64 Posted: 27 Oct 2012 Last Revised: 08 Jan 2022
Robert Novy-Marx and Joshua D. Rauh
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 27 (660,955)
Citation 6

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7.

The Other Side of Value: Good Growth and the Gross Profitability Premium

NBER Working Paper No. w15940
Number of pages: 65 Posted: 03 May 2010 Last Revised: 21 Jan 2022
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 789 (44,228)
Citation 129

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8.

Fiscal Imbalances and Borrowing Costs: Evidence from State Investment Losses

Number of pages: 55 Posted: 18 Nov 2009 Last Revised: 30 Mar 2011
Robert Novy-Marx and Joshua D. Rauh
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 552 (70,139)
Citation 14

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fiscal imbalances, deficits, public debt, interest rates, borrowing costs, public employee pensions, public pension funds

9.

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 2022
Robert Novy-Marx and Mihail Velikov
Simon Business School, University of Rochester and Pennsylvania State University
Downloads 401 (102,699)
Citation 53

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10.

Fundamentally, Momentum is Fundamental Momentum

NBER Working Paper No. w20984
Number of pages: 44 Posted: 02 Mar 2015 Last Revised: 04 May 2022
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 346 (121,244)
Citation 26

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11.

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 340 (123,751)
Citation 5

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Investments, Trading Costs, Performance Evaluation, Market Efficiency

12.

Real Estate and the Economy: Aggregate Implications of Irreversible Investment

9th Annual Texas Finance Festival Paper
Number of pages: 66 Posted: 02 Apr 2007
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 291 (145,642)

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Investment, Irreversibility, Real Estate, Tobin's Q, Real Options, General Equilibrium, Multiple Goods, Interest Rates, Asset Pricing

13.

Model Comparison with Transaction Costs

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 74 Posted: 17 Mar 2021 Last Revised: 19 May 2022
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 276 (153,647)

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Factor Models, Trading Costs, Mispricing

14.

Backtesting Strategies Based on Multiple Signals

NBER Working Paper No. w21329
Number of pages: 43 Posted: 13 Jul 2015 Last Revised: 13 Apr 2022
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 259 (163,851)
Citation 1

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15.

Financial Valuation of PBGC Insurance with Market‐Implied Default Probabilities

Simon School Working Paper No. FR 13-27
Number of pages: 25 Posted: 06 Oct 2013 Last Revised: 31 Jan 2014
Jules H. van Binsbergen, Robert Novy-Marx and Joshua D. Rauh
University of Pennsylvania - The Wharton School, Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 227 (185,986)

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pensions, pension benefit guaranty corporation, insurance valuation

16.

Understanding Defensive Equity

NBER Working Paper No. w20591
Number of pages: 40 Posted: 22 Oct 2014 Last Revised: 07 Apr 2022
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 196 (214,158)

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17.

Economic and Financial Approaches to Valuing Pension Liabilities

Simon School Working Paper No. FR 13-28, Pension Research Council Working Paper, PRC WP2013-09
Number of pages: 25 Posted: 08 Oct 2013
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 167 (244,679)
Citation 2

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18.

Technical Review Panel for the Pension Insurance Modeling System (PIMS)

Michigan Retirement Research Center Research Paper No. 2013-290, Simon School Working Paper No. FR 13-32
Number of pages: 265 Posted: 11 Jan 2014
Olivia S. Mitchell, Christopher Geczy, Robert Novy-Marx, Raimond Maurer, Donald E. Fuerst, Christopher Bone, Donald Segal, Martin G. Clarke, Frank J. Fabozzi, Deborah Lucas and David F. Babbel
University of Pennsylvania - The Wharton School, University of Pennsylvania - The Wharton School, Finance Department, Simon Business School, University of Rochester, Goethe University Frankfurt - Finance Department, Mercer Human Resource Consulting, Independent, Independent, Independent, EDHEC Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Downloads 139 (283,939)
Citation 1

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pensions, insurance

19.

Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars

NBER Working Paper No. w18063
Number of pages: 37 Posted: 12 May 2012 Last Revised: 11 May 2022
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 93 (375,837)
Citation 10

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20.

How Can a Q-Theoretic Model Price Momentum?

NBER Working Paper No. w20985
Number of pages: 23 Posted: 02 Mar 2015
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 73 (432,994)

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21.

Policy Options for State Pension Systems and Their Impact on Plan Liabilities

NBER Working Paper No. w16453
Number of pages: 31 Posted: 18 Oct 2010 Last Revised: 17 Jun 2022
Joshua D. Rauh and Robert Novy-Marx
Stanford Graduate School of Business and Simon Business School, University of Rochester
Downloads 60 (478,713)
Citation 1

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22.

Linking Benefits to Investment Performance in Us Public Pension Systems

NBER Working Paper No. w18491
Number of pages: 45 Posted: 27 Oct 2012 Last Revised: 02 Nov 2012
Robert Novy-Marx and Joshua D. Rauh
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 25 (656,651)
Citation 4

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23.

Logical Implications of Gasb's Methodology for Valuing Pension Liabilities

NBER Working Paper No. w17613
Number of pages: 14 Posted: 24 Nov 2011 Last Revised: 16 Feb 2022
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 24 (663,904)
Citation 2

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24.

Hot and Cold Markets

Real Estate Economics, Vol. 37, No. 1, pp. 1-22, Spring 2009
Number of pages: 22 Posted: 27 Apr 2009
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 8 (798,216)
Citation 13

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