Mihail Velikov

Pennsylvania State University

University Park

State College, PA 16802

United States

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 7,203

SSRN RANKINGS

Top 7,203

in Total Papers Downloads

11,424

SSRN CITATIONS
Rank 3,606

SSRN RANKINGS

Top 3,606

in Total Papers Citations

399

CROSSREF CITATIONS

100

Scholarly Papers (13)

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 1,680 (19,790)
Citation 52

Abstract:

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

2.
Downloads 1,673 (19,931)
Citation 45

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 1,451 (24,331)
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 222 (250,983)
Citation 27

Abstract:

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trading costs, Mispricing, Stock return anomalies, Anomaly zoo

3.

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 1,291 (29,529)

Abstract:

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Factor Models, Trading Costs, Mispricing

4.

The Expected Returns on Machine-Learning Strategies

Number of pages: 26 Posted: 07 Feb 2024 Last Revised: 21 Mar 2024
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
Downloads 1,228 (31,710)

Abstract:

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

5.

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
Downloads 1,073 (38,411)
Citation 1

Abstract:

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Anomalies, Performance Evaluation, Trading Costs, Factor Models

6.
Downloads 980 (43,696)
Citation 43

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 699 (67,934)
Citation 45

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 281 (198,750)

Abstract:

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monetary policy, asset pricing, risk factors

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 831 (54,879)
Citation 53

Abstract:

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8.

Peer Momentum

Number of pages: 59 Posted: 16 Dec 2020 Last Revised: 22 Jan 2023
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 749 (63,088)

Abstract:

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

9.

FOMC Announcements and Predictable Returns

Number of pages: 42 Posted: 16 Dec 2014 Last Revised: 11 Sep 2017
Mihail Velikov
Pennsylvania State University
Downloads 570 (89,290)
Citation 2

Abstract:

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Asset Pricing, Macroeconomics, Anomalies, Monetary Policy, Predictability

10.

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 528 (98,450)
Citation 12

Abstract:

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Investments, Trading Costs, Performance Evaluation, Market Efficiency

11.

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 365 (151,802)

Abstract:

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

12.

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

Number of pages: 56 Posted: 27 Feb 2021 Last Revised: 30 May 2023
Michael Dambra, Mihail Velikov and Joseph Weber
University at Buffalo (SUNY) - School of Management, Pennsylvania State University and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 277 (202,825)

Abstract:

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Disclosure, Materiality, Cost of Capital, Monetary Policy

13.

Show Me the Receipts: B2B Payment Timeliness and Expected Returns

Number of pages: 69 Posted: 22 Jun 2023 Last Revised: 03 Apr 2024
SPY Capital Management,, University of Kansas, University of Florida and Pennsylvania State University
Downloads 179 (306,498)

Abstract:

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B2B Payments, Trade Credit, Payment Behavior, Stock Returns