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

25

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799

CROSSREF CITATIONS

625

Scholarly Papers (25)

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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 13,378 (592)
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 5,812 (2,427)
Citation 109

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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 1,588 (20,255)
Citation 42

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

4.

Model Comparison with Transaction Costs

Journal of Finance, Forthcoming, Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 77 Posted: 17 Mar 2021 Last Revised: 07 Nov 2022
Andrew L. Detzel, Robert Novy-Marx and Mihail Velikov
Baylor University - Hankamer School of Business, Simon Business School, University of Rochester and Pennsylvania State University
Downloads 1,136 (33,268)

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Factor Models, Trading Costs, Mispricing

5.

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: 23 Jul 2023
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 1,021 (38,711)
Citation 129

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6.

An Equilibrium Model of Investment Under Uncertainty

Downloads 1,005 (39,588)
Citation 31

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 1,005 (39,005)
Citation 31

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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

7.

Assaying Anomalies

Number of pages: 36 Posted: 26 Jan 2023
Robert Novy-Marx and Mihail Velikov
Simon Business School, University of Rochester and Pennsylvania State University
Downloads 913 (45,269)

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Anomalies, Performance Evaluation, Trading Costs, Factor Models

8.

The Intergenerational Transfer of Public Pension Promises

Downloads 886 (47,158)

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 804 (53,098)

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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: 11 Sep 2022
Robert Novy-Marx and Joshua D. Rauh
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 82 (518,153)

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9.

The Revenue Demands of Public Employee Pension Promises

Downloads 864 (48,778)
Citation 30

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 817 (52,009)

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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 2023
Robert Novy-Marx and Joshua D. Rauh
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 47 (693,783)
Citation 18

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10.

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 777 (56,602)
Citation 53

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11.

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 580 (82,028)
Citation 38

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

12.

Fundamentally, Momentum is Fundamental Momentum

NBER Working Paper No. w20984
Number of pages: 44 Posted: 02 Mar 2015 Last Revised: 04 May 2023
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 570 (83,874)
Citation 26

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13.

Reversals and the Returns to Liquidity Provision

Downloads 529 (92,113)
Citation 3

Reversals and the Returns to Liquidity Provision

Number of pages: 64 Posted: 27 Jan 2023
Wei Dai, Mamdouh Medhat, Robert Novy-Marx and Savina Rizova
Dimensional Fund Advisors, Dimensional Fund Advisors, Simon Business School, University of Rochester and Dimensional Fund Advisors
Downloads 521 (92,867)

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Liquidity, reversals, momentum, volatility, turnover

Reversals and the Returns to Liquidity Provision

NBER Working Paper No. w30917
Number of pages: 65 Posted: 06 Feb 2023 Last Revised: 24 Jun 2023
Wei Dai, Mamdouh Medhat, Robert Novy-Marx and Savina Rizova
Dimensional Fund Advisors, Dimensional Fund Advisors, Simon Business School, University of Rochester and Dimensional Fund Advisors
Downloads 8 (1,037,421)
Citation 2
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14.

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 501 (98,392)
Citation 10

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Investments, Trading Costs, Performance Evaluation, Market Efficiency

15.

Backtesting Strategies Based on Multiple Signals

NBER Working Paper No. w21329
Number of pages: 43 Posted: 13 Jul 2015 Last Revised: 13 Apr 2023
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 455 (110,474)
Citation 2

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16.

Understanding Defensive Equity

NBER Working Paper No. w20591
Number of pages: 40 Posted: 22 Oct 2014 Last Revised: 07 Apr 2023
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 311 (168,893)

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17.

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 308 (170,608)

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

18.

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 263 (200,639)
Citation 1

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pensions, pension benefit guaranty corporation, insurance valuation

19.

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 181 (284,707)
Citation 2

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20.

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, Johns Hopkins University, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Downloads 164 (310,043)
Citation 1

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pensions, insurance

21.

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 2023
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 131 (371,552)
Citation 10

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22.

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 90 (484,337)

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23.

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 2023
Joshua D. Rauh and Robert Novy-Marx
Stanford Graduate School of Business and Simon Business School, University of Rochester
Downloads 85 (501,837)
Citation 5

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24.

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: 12 Jul 2023
Robert Novy-Marx and Joshua D. Rauh
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 44 (697,260)
Citation 4

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25.

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 2023
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 37 (744,639)
Citation 4

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