Mihail Velikov

Pennsylvania State University

University Park

State College, PA 16802

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 13,188

SSRN RANKINGS

Top 13,188

in Total Papers Downloads

4,706

SSRN CITATIONS
Rank 6,837

SSRN RANKINGS

Top 6,837

in Total Papers Citations

100

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 1,167 (22,746)
Citation 23

Abstract:

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

2.
Downloads 1,045 ( 26,704)
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 922 (31,503)
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 123 (286,607)

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3.
Downloads 777 ( 40,478)
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 553 (62,355)
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 224 (171,400)

Abstract:

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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 446 (82,064)
Citation 2

Abstract:

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Asset Pricing, Macroeconomics, Anomalies, Monetary Policy, Predictability

5.

Peer Momentum

Number of pages: 53 Posted: 16 Dec 2020 Last Revised: 30 Jun 2021
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 358 (105,729)

Abstract:

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

6.

A Taxonomy of Anomalies and Their Trading Costs

NBER Working Paper No. w20721
Number of pages: 61 Posted: 08 Dec 2014 Last Revised: 15 Aug 2021
Robert Novy-Marx and Mihail Velikov
Simon Business School, University of Rochester and Pennsylvania State University
Downloads 317 (120,944)
Citation 53

Abstract:

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7.

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 282 (136,778)
Citation 5

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Investments, Trading Costs, Performance Evaluation, Market Efficiency

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 220 (174,771)

Abstract:

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

9.

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 94 (342,584)

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Disclosure, Materiality, Cost of Capital, Monetary Policy

10.

Model Selection with Transaction Costs

Posted: 17 Mar 2021 Last Revised: 19 Oct 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 0 (810,065)

Abstract:

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Factor Models, Trading Costs, Mispricing