Mihail Velikov

Pennsylvania State University

University Park

State College, PA 16802

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 12,215

SSRN RANKINGS

Top 12,215

in Total Papers Downloads

5,564

SSRN CITATIONS
Rank 7,046

SSRN RANKINGS

Top 7,046

in Total Papers Citations

99

CROSSREF CITATIONS

86

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 1,289 (21,613)
Citation 8

Abstract:

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

2.
Downloads 1,274 ( 22,012)
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 1,125 (26,001)
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 149 (266,278)

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3.
Downloads 813 ( 41,775)
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 579 (64,293)
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 234 (178,038)

Abstract:

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monetary policy, asset pricing, risk factors

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 474 (83,315)
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 433 (92,694)

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: 13 Feb 2022
Robert Novy-Marx and Mihail Velikov
Simon Business School, University of Rochester and Pennsylvania State University
Downloads 380 (107,765)
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 319 (130,444)
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 251 (166,826)

Abstract:

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

9.

Model Comparison with Transaction Costs

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 74 Posted: 17 Mar 2021 Last Revised: 19 May 2022
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 222 (187,516)

Abstract:

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Factor Models, Trading Costs, Mispricing

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 109 (334,807)

Abstract:

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Disclosure, Materiality, Cost of Capital, Monetary Policy