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

SCHOLARLY PAPERS

21

DOWNLOADS
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19,074

CITATIONS
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Top 3,248

in Total Papers Citations

169

Scholarly Papers (21)

1.

An Alternative Three-Factor Model

Number of pages: 32 Posted: 19 May 2010 Last Revised: 21 Jan 2014
Long Chen, Robert Novy-Marx and Lu Zhang
Cheung Kong Graduate School of Business, Simon Business School, University of Rochester and Ohio State University - Fisher College of Business
Downloads 9,646 (325)
Citation 75

Abstract:

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 4,730 (1,030)
Citation 23

Abstract:

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

3.
Downloads 900 ( 19,860)
Citation 27

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 900 (19,488)
Citation 27

Abstract:

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

Abstract:

G12, E22, R14

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 731 (26,382)
Citation 8

Abstract:

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
Robert Novy-Marx and Joshua D. Rauh
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 31 (398,539)
Citation 8

Abstract:

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 736 (26,137)
Citation 2

Abstract:

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
Robert Novy-Marx and Joshua D. Rauh
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 21 (450,572)
Citation 2

Abstract:

6.

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 475 (44,797)
Citation 2

Abstract:

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

7.

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 257 (91,720)

Abstract:

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

8.

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
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 252 (66,303)
Citation 9

Abstract:

9.

Financial Valuation of PBGC Insurance with Marketā€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 141 (130,795)

Abstract:

pensions, pension benefit guaranty corporation, insurance valuation

10.

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 102 (175,889)

Abstract:

11.

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
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 67 (226,291)

Abstract:

pensions, insurance

12.

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
Joshua D. Rauh and Robert Novy-Marx
Stanford Graduate School of Business and Simon Business School, University of Rochester
Downloads 50 (318,905)
Citation 2

Abstract:

13.

Fundamentally, Momentum is Fundamental Momentum

NBER Working Paper No. w20984
Number of pages: 44 Posted: 02 Mar 2015
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 48 (295,216)

Abstract:

14.

A Taxonomy of Anomalies and Their Trading Costs

NBER Working Paper No. w20721
Number of pages: 61 Posted: 08 Dec 2014
Robert Novy-Marx and Mihail Velikov
Simon Business School, University of Rochester and Federal Reserve Bank of Richmond
Downloads 26 (380,829)
Citation 1

Abstract:

15.

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
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 25 (345,947)
Citation 4

Abstract:

16.

Backtesting Strategies Based on Multiple Signals

NBER Working Paper No. w21329
Number of pages: 43 Posted: 13 Jul 2015
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 20 (420,602)

Abstract:

17.

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 15 (456,802)

Abstract:

18.

Logical Implications of Gasb's Methodology for Valuing Pension Liabilities

NBER Working Paper No. w17613
Number of pages: 14 Posted: 24 Nov 2011
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 12 (461,859)
Citation 1

Abstract:

19.

Linking Benefits to Investment Performance in Us Public Pension Systems

NBER Working Paper No. w18491
Number of pages: 45 Posted: 27 Oct 2012
Robert Novy-Marx and Joshua D. Rauh
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 7 (487,632)

Abstract:

20.

Understanding Defensive Equity

NBER Working Paper No. w20591
Number of pages: 40 Posted: 22 Oct 2014
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 6 (497,558)

Abstract:

21.

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 2 (531,181)
Citation 16

Abstract: