Mihail Velikov

Pennsylvania State University - Smeal College of Business

University Park, PA 16802

United States

Pennsylvania State University

University Park

State College, PA 16802

United States

  • Pennsylvania State University - Smeal College of Business

  • Pennsylvania State University

SCHOLARLY PAPERS

15

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21,299

TOTAL CITATIONS
Rank 3,281

SSRN RANKINGS

Top 3,281

in Total Papers Citations

239

Scholarly Papers (15)

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1.

AI-Powered (Finance) Scholarship

Downloads 5,310 ( 3,711)
Citation 1

AI-Powered (Finance) Scholarship

Number of pages: 41 Posted: 03 Jan 2025 Last Revised: 08 Jan 2025
Robert Novy-Marx and Mihail Velikov
Simon Business School, University of Rochester and Pennsylvania State University - Smeal College of Business
Downloads 5,310 (3,672)
Citation 1

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2.

The Expected Returns on Machine-Learning Strategies

Number of pages: 71 Posted: 07 Feb 2024 Last Revised: 27 Jan 2025
Vitor Azevedo, Christopher Hoegner and Mihail Velikov
Department of Financial Management - RPTU Kaiserslautern-Landau, Technische Universität München (TUM), Department of Financial Management and Capital Markets, Students and Pennsylvania State University - Smeal College of Business
Downloads 2,111 (16,234)

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Stock market anomalies, machine learning models, return prediction, transaction costs, asset pricing models.

3.

Assaying Anomalies

Number of pages: 40 Posted: 26 Jan 2023 Last Revised: 13 Feb 2024
Robert Novy-Marx and Mihail Velikov
Simon Business School, University of Rochester and Pennsylvania State University - Smeal College of Business
Downloads 2,081 (16,637)
Citation 1

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Anomalies, Performance Evaluation, Trading Costs, Factor Models

4.

Zeroing in on the Expected Returns of Anomalies

Downloads 2,034 (17,244)
Citation 47

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 - Smeal College of Business
Downloads 1,761 (21,238)
Citation 18

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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 - Smeal College of Business
Downloads 273 (240,086)
Citation 29

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trading costs, Mispricing, Stock return anomalies, Anomaly zoo

5.

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 - Smeal College of Business
Downloads 1,985 (17,923)
Citation 62

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

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 - Smeal College of Business
Downloads 1,648 (23,908)

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Factor Models, Trading Costs, Mispricing

7.

Show Me the Money: The Monetary Policy Risk Premium

Downloads 1,074 (45,061)
Citation 57

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 - Smeal College of Business
Downloads 773 (69,667)
Citation 57

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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 - Smeal College of Business
Downloads 301 (216,577)

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monetary policy, asset pricing, risk factors

8.

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 - Smeal College of Business
Downloads 996 (50,054)
Citation 53

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9.

Peer Momentum

Number of pages: 63 Posted: 16 Dec 2020 Last Revised: 26 Mar 2025
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 - Smeal College of Business
Downloads 940 (54,299)

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

10.

The Aggregated Equity Risk Premium

Number of pages: 40 Posted: 10 Feb 2025 Last Revised: 07 May 2025
Vitor Azevedo, Christoph Riedersberger and Mihail Velikov
Department of Financial Management - RPTU Kaiserslautern-Landau, Department of Financial Management - RPTU Kaiserslautern-Landau and Pennsylvania State University - Smeal College of Business
Downloads 727 (77,204)

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Equity risk premium, stock market anomalies, machine learning models, return prediction

11.

FOMC Announcements and Predictable Returns

Number of pages: 42 Posted: 16 Dec 2014 Last Revised: 11 Sep 2017
Mihail Velikov
Pennsylvania State University - Smeal College of Business
Downloads 673 (84,549)
Citation 2

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Asset Pricing, Macroeconomics, Anomalies, Monetary Policy, Predictability

12.

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 - Smeal College of Business
Downloads 633 (91,499)
Citation 13

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Investments, Trading Costs, Performance Evaluation, Market Efficiency

13.

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 - Smeal College of Business
Downloads 529 (114,812)
Citation 3

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

14.

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

Management Science, 0 [10.1287/mnsc.2021.01896]
Number of pages: 56 Posted: 27 Feb 2021 Last Revised: 06 Jun 2024
Michael Dambra, Mihail Velikov and Joseph Weber
University at Buffalo (SUNY) - School of Management, Pennsylvania State University - Smeal College of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 353 (183,750)

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Disclosure, Materiality, Cost of Capital, Monetary Policy

15.

Show Me the Receipts: B2B Payment Timeliness and Expected Returns

Number of pages: 64 Posted: 22 Jun 2023 Last Revised: 02 Nov 2024
Paul Lieberman, Atanas Mihov, Andy Naranjo and Mihail Velikov
SPY Capital Management,, University of Kansas, University of Florida and Pennsylvania State University - Smeal College of Business
Downloads 205 (320,105)

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B2B Payments, Trade Credit, Payment Behavior, Stock Returns