Mihail Velikov

Color portrait of Mihail Velikov

Assistant Professor of Finance

Department Finance
Office Address 366 Business Building
Phone Number 814-865-0616
Email Address mjv5465@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 Financial Economics, Review of Financial 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.

Expertise

Stock Market Anomalies, Transaction costs, Monetary Policy

Education

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

MSBA, Applied Economics, University of Rochester, 2013

BS, Finance, Ramapo College, 2010

BS, Mathematics, Ramapo College, 2010

Courses Taught

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

Chen A., Velikov M., "Zeroing in on the Expected Returns of Anomalies." Journal of Financial and Quantitative Analysis, Forthcoming, 2021, pp. 55
Novy-Marx R., Velikov M., "Betting Against Betting Against Beta." Journal of Financial Economics, Forthcoming, 2020, pp. 60
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

"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/