Mihail Velikov

Color portrait of Mihail Velikov

Assistant Professor of Finance

Department Finance
Office Address 345 Business Building
Phone Number 814-865-0616
Email Address velikov@psu.edu

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Mihail Velikov is an assistant professor of finance at the Smeal College of Business at Penn State University. His research is in empirical asset pricing, with a focus on stock market anomalies, transaction costs, and monetary policy. His work has been accepted for publication in the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Management Science, Journal of Financial and Quantitative Analysis, Review of Asset Pricing Studies, Financial Analysts Journal, and the Critical Finance Review.

Prior to Penn State, Mihail spent four years at the Quantitative Supervision and Research group of the Federal Reserve Bank of Richmond, where in his last year he co-led the Federal Reserve System’s DFAST supervisory modeling team responsible for stress testing AFS/HTM securities and HFS/FVO loans. He holds bachelor’s degrees in mathematics and finance from Ramapo College, and an MSBA in applied economics and a doctorate in finance from the Simon Business School at the University of Rochester.


Stock Market Anomalies, Transaction costs, Monetary Policy


Ph D, Finance (Macroeconomics), The University of Rochester, 2015

MSBA, Applied Economics, The University of Rochester, 2013

BS, Finance, Ramapo College of New Jersey, 2010

BS, Mathematics, Ramapo College of New Jersey, 2010

Courses Taught

FIN 601 – Ph D Dis Full-Time

FIN 426 – Interest Rates and Debt Mrkts (3)
The course starts off with a review of the time value of money concepts and the pricing of standard cash flows such as annuities, perpetuities. Next, an overview of the Treasury markets is provided with emphasis on both the primary and the secondary markets. In particular, the economics of the Treasury auctions, on-the-run/off-the-run liquidity issues, the presence of the zero lower bound, the economics of inflation-protected bonds, and other topics will be discussed at length. Students will also learn how to interpret the shapes of the nominal and the real yield curves, how to forecast short/long term future directions of rates as well as how to forecast future inflations based on nominal-real rate differentials. The course then moves on to non-Treasury segments of the fixed income markets: forward contracts, repurchasing agreements, floating rate notes, swaps, single stock futures, corporate bonds. For each topic, standard pricing techniques and relevant practical issues will be discussed. For example, how can a fixed income investor price a bond newly issued by a corporation based on their past equity market performance, using techniques typically employed by Moody's KMV? How does an investor gauge the potential illiquidity of a bond when transaction data are sparse? Or how one can extract a measure of the London Inter-bank Offered Rate (LIBOR) from the single stock futures markets? Or how a Chief Financial Officer (CFO) could hedge interest rate risks using standard duration and convexity hedging techniques even in a quick moving environment when assumptions underlying these techniques are likely, to varying degrees, violated. The final third of the course deals with relatively more advanced topics. Students are introduced to the use of risk-neutral probability measures in pricing fixedincome derivative products (callable bonds, treasury futures, swaptions) in the context of a binomial tree. For example, students learn how to use calibrated binomial trees of interest rates to accommodate bonds¿ callable features, how to compute/interpret the options-adjusted spreads, how to account for various institutional features of the Treasury bonds futures markets and why futures and forward prices may differ when bonds are the underlying assets. The class finishes with a topic on Collateralized Debt Obligations (CDOs) and the economics of their mispricing prior to the Great Recession.

FIN 597 – Special Topics (1.5)
Formal courses given on a topical or special interest subject which may be offered infrequently; several different topics may be taught in one year or term.

FIN 497 – Special Topics (3)
Formal courses given infrequently to explore, in depth, a comparatively narrow subject which may be topical or of special interest.

Selected Publications

Moore J., Velikov M., "Oil Price Exposure, Earnings Announcements, and Stock Return Predictability." Review of Asset Pricing Studies, Forthcoming, 2023, pp. 47
Velikov M., Dambra M., Weber J., "Disclosure, Materiality Thresholds, and the Cost of Capital: Evidence from FOMC Announcements." Management Science, Forthcoming, 2023, pp. 57
Detzel A., Novy-Marx R., Velikov M., "Model Comparison with Transaction Costs." Journal of Finance, vol. 78, no. 3, 2023, pp. 1743-1775
Chen A., Velikov M., "Zeroing in on the Expected Returns of Anomalies." Journal of Financial and Quantitative Analysis, vol. 58, no. 3, 2022, pp. 968-1004
Novy-Marx R., Velikov M., "Betting Against Betting Against Beta." Journal of Financial Economics, vol. 143, no. 1, 2022, pp. 80-106
Ozdagli A., Velikov M., "Show Me the Money: The Monetary Policy Risk Premium." Journal of Financial Economics, vol. 135, no. 2, 2020, pp. 320-339
Novy-Marx R., Velikov M., "Comparing Cost-Mitigation Techniques." Financial Analysts Journal, vol. 75, no. 1, 2019, pp. 85-102
Li H., Novy-Marx R., Velikov M., "Liquidity Risk and Asset Pricing." Critical Finance Review, vol. 8, 2019, pp. 223-255
Novy-Marx R., Velikov M., "A Taxonomy of Anomalies and Their Trading Costs." Review of Financial Studies, vol. 29, no. 1, 2016, pp. 104-147

Research Impact and Media Mentions

"Systematically Evaluating Systematic Managers", Dimensional Fund Advisors, Internet, www.dimensional.com/us-en/insights/systematically-evaluating-systematic-managers
"Impacts of Frictions on Factor Models of Stock Returns", CXO Advisory Group, Internet, www.cxoadvisory.com/subscription-options/?wlfrom=%2Fequity-premium%2Fimpacts-of-frictions-on-factor-models-of-stock-returns%2F
"Is there a replication crisis?", evidenceinvestor.com, Internet, www.evidenceinvestor.com/is-there-a-replication-crisis/
"Smart Beta May Be Smoke and Mirrors, New Research Finds", forbes.com, Internet, www.forbes.com/sites/simonmoore/2021/09/28/smart-beta-may-be-smoke-and-mirrors-new-research-finds/?sh=2042ac136937
"How AQR Places Bets Against Beta", Investopedia, Internet, www.investopedia.com/articles/investing/082515/how-aqr-places-bets-against-beta.asp
"Show Me the Money: The Monetary Policy Risk Premium (Summary)", CFA Institute Journal Review, Journal or Magazine, www.cfainstitute.org/en/research/cfa-digest/2020/07/dig-v50-n7-2
"10 large scale factor anomaly studies with definitions", Two Centuries Investments blog, Internet, www.twocenturies.com/blog/2019/4/24/a-list-of-comprehensive-multi-factor-academic-papers
"Behind the Markets on Wharton Business Radio", Radio, soundcloud.com/user-20931378/podcastbehindthemarketstvs
"Betting Against Beta (BAB) Construction", Alpha Architect, Internet, alphaarchitect.com/2019/08/06/betting-against-beta-bab-construction/
"How Investment Anomalies Work", WisdomTree Investment Blog, Internet, www.wisdomtree.com/blog/2019-10-03/how-investment-anomalies-work
"Do Factors And Smart-Beta Investing Work Over The Long-Term?", ValueWalk, Internet, www.valuewalk.com/2018/02/factors-smart-beta-investing/
"Does a liquidity factor premium exist in the stock market?", Robeco asset management investor newsletter, Internet, www.robeco.com/media/7/f/1/7f10e94fc78d0d787d3e167df77aa389_does-a-liquidity-factor-premium-exist-in-the-stock-market_tcm20-11446.pdf
"How The S&P 500 Lost Its Fed Bump", forbes.com, Internet, www.forbes.com/sites/simonmoore/2018/06/12/how-the-sp-500-lost-its-fed-bump/#23551c1d3038
"Oil-Price Shocks Have Delayed Reaction On Stock Prices, Researchers Say", Financial Advisor, Internet, www.fa-mag.com/news/oil-price-shocks-have-delayed-reaction-on-stock-prices--researchers-say-40353.html
"Emptying the equity factor zoo", CXO Advisory, Internet, www.cxoadvisory.com/big-ideas/emptying-the-equity-factor-zoo/
"Equity factor-based investing: A practitioner’s guide", Vanguard Research, Internet, advisors.vanguard.com/iwe/pdf/ISGFAC.pdf
"Factor Investing and Trading Costs", Alpha Architect, Internet, alphaarchitect.com/2017/11/28/factor-investing-and-trading-costs/
"The Fed Factor", Institutional Money, Journal or Magazine, www.institutional-money.com/magazin/theorie-praxis/artikel/der-fed-faktor-58983/
"Why trading costs matter", Investors Chronicle, Internet, www.investorschronicle.co.uk/comment/2017/12/28/why-trading-costs-matter/