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

24

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25,443

SSRN CITATIONS
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Top 1,153

in Total Papers Citations

390

CROSSREF CITATIONS

661

Scholarly Papers (24)

1.

An Alternative Three-Factor Model

Number of pages: 32 Posted: 19 May 2010 Last Revised: 21 Jan 2014
Long Chen, Long Chen, Robert Novy-Marx and Lu Zhang
Cheung Kong Graduate School of BusinessLuohan Academy, Simon Business School, University of Rochester and Ohio State University - Fisher College of Business
Downloads 12,244 (445)
Citation 148

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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 5,717 (1,699)
Citation 78

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

3.

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 1,193 (22,459)
Citation 23

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

4.
Downloads 962 ( 30,652)
Citation 32

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 962 (30,196)
Citation 32

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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

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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 774 (40,830)

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

The Intergenerational Transfer of Public Pension Promises

Number of pages: 42 Posted: 23 Sep 2008 Last Revised: 11 Sep 2021
Robert Novy-Marx and Joshua D. Rauh
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 42 (532,183)

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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 775 (40,762)

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pensions, state and local government, public finance

The Revenue Demands of Public Employee Pension Promises

Number of pages: 64 Posted: 27 Oct 2012 Last Revised: 10 Jul 2021
Robert Novy-Marx and Joshua D. Rauh
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 27 (619,704)
Citation 6

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7.

The Other Side of Value: Good Growth and the Gross Profitability Premium

Number of pages: 65 Posted: 03 May 2010 Last Revised: 23 Jul 2021
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 719 (45,717)
Citation 129

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8.

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 549 (64,734)
Citation 14

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

9.

A Taxonomy of Anomalies and Their Trading Costs

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 332 (116,914)
Citation 53

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10.

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 291 (134,536)

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

11.

Fundamentally, Momentum is Fundamental Momentum

Number of pages: 44 Posted: 02 Mar 2015 Last Revised: 03 Nov 2021
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 290 (135,037)
Citation 26

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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
Downloads 289 (135,535)
Citation 5

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Investments, Trading Costs, Performance Evaluation, Market Efficiency

13.

Backtesting Strategies Based on Multiple Signals

Number of pages: 43 Posted: 13 Jul 2015 Last Revised: 06 Nov 2021
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 230 (170,229)
Citation 1

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14.

Financial Valuation of PBGC Insurance with Market‐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 224 (174,582)

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pensions, pension benefit guaranty corporation, insurance valuation

15.

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 167 (227,136)
Citation 2

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16.

Understanding Defensive Equity

Number of pages: 40 Posted: 22 Oct 2014 Last Revised: 07 Oct 2021
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 153 (244,426)

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17.

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 136 (268,789)
Citation 1

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pensions, insurance

18.

Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars

Number of pages: 37 Posted: 12 May 2012 Last Revised: 10 Nov 2021
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 90 (357,496)
Citation 10

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19.

How Can a Q-Theoretic Model Price Momentum?

Number of pages: 23 Posted: 02 Mar 2015
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 69 (416,860)

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20.

Model Selection with Transaction Costs

Number of pages: 60 Posted: 17 Mar 2021 Last Revised: 26 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 59 (451,299)

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Factor Models, Trading Costs, Mispricing

21.

Policy Options for State Pension Systems and Their Impact on Plan Liabilities

Number of pages: 31 Posted: 18 Oct 2010 Last Revised: 17 Jun 2021
Joshua D. Rauh and Robert Novy-Marx
Stanford Graduate School of Business and Simon Business School, University of Rochester
Downloads 59 (451,299)
Citation 1

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22.

Linking Benefits to Investment Performance in Us Public Pension Systems

Number of pages: 45 Posted: 27 Oct 2012 Last Revised: 02 Nov 2012
Robert Novy-Marx and Joshua D. Rauh
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 25 (615,919)
Citation 4

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23.

Logical Implications of Gasb&Apos;S Methodology for Valuing Pension Liabilities

Number of pages: 14 Posted: 24 Nov 2011 Last Revised: 18 Aug 2021
Robert Novy-Marx
Simon Business School, University of Rochester
Downloads 24 (622,763)
Citation 2

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24.

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 3 (781,486)
Citation 13
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