Mihail Velikov

Pennsylvania State University

University Park

State College, PA 16802

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 11,253

SSRN RANKINGS

Top 11,253

in Total Papers Downloads

6,472

SSRN CITATIONS
Rank 7,052

SSRN RANKINGS

Top 7,052

in Total Papers Citations

100

CROSSREF CITATIONS

85

Scholarly Papers (10)

1.
Downloads 1,400 ( 20,691)
Citation 12

Zeroing in on the Expected Returns of Anomalies

Number of pages: 72 Posted: 21 Nov 2017 Last Revised: 28 Sep 2021
Andrew Y. Chen and Mihail Velikov
Board of Governors of the Federal Reserve System and Pennsylvania State University
Downloads 1,227 (24,733)
Citation 18

Abstract:

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Stock Return Anomalies, Mispricing, Trading Costs

Zeroing in on the Expected Returns of Anomalies

FEDS Working Paper No. 2020-39
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 173 (251,441)

Abstract:

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trading costs, Mispricing, Stock return anomalies, Anomaly zoo

2.

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 1,385 (21,017)
Citation 8

Abstract:

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

3.
Downloads 847 ( 42,559)
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 Dallas and Pennsylvania State University
Downloads 600 (66,234)
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 Dallas and Pennsylvania State University
Downloads 247 (180,977)

Abstract:

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monetary policy, asset pricing, risk factors

4.

Peer Momentum

Number of pages: 55 Posted: 16 Dec 2020 Last Revised: 26 Sep 2022
Efdal Misirli, Daniela Scida and Mihail Velikov
Federal Reserve Banks - Quantitative Supervision & Research, Quantitative Supervision and Research - Federal Reserve Bank of Richmond and Pennsylvania State University
Downloads 528 (78,720)

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

5.

FOMC Announcements and Predictable Returns

Number of pages: 42 Posted: 16 Dec 2014 Last Revised: 11 Sep 2017
Mihail Velikov
Pennsylvania State University
Downloads 510 (81,968)
Citation 2

Abstract:

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Asset Pricing, Macroeconomics, Anomalies, Monetary Policy, Predictability

6.

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 503 (84,403)

Abstract:

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Factor Models, Trading Costs, Mispricing

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 2022
Robert Novy-Marx and Mihail Velikov
Simon Business School, University of Rochester and Pennsylvania State University
Downloads 494 (85,458)
Citation 53

Abstract:

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8.

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 392 (111,750)
Citation 5

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Investments, Trading Costs, Performance Evaluation, Market Efficiency

9.

Oil price exposure and the cross section of stock returns

Number of pages: 54 Posted: 17 Apr 2018 Last Revised: 31 Oct 2022
Jordan Moore and Mihail Velikov
Rowan University - Accounting & Finance and Pennsylvania State University
Downloads 269 (166,979)

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

10.

Disclosure, Materiality Thresholds, and the Cost of Capital: Evidence from FOMC Announcements

Number of pages: 58 Posted: 27 Feb 2021 Last Revised: 09 Jun 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 144 (292,245)

Abstract:

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Disclosure, Materiality, Cost of Capital, Monetary Policy