Simon Graduate School of Business
University of Rochester
305 Schlegel Hall
Rochester, NY 14627
NBER Program Affiliations:
NBER Affiliation: Research Associate
Institutional Affiliation: University of Rochester
NBER Working Papers and Publications
|July 2015||Backtesting Strategies Based on Multiple Signals|
|February 2015||Fundamentally, Momentum is Fundamental Momentum|
|How Can a Q-Theoretic Model Price Momentum?|
|December 2014||A Taxonomy of Anomalies and their Trading Costs|
with : w20721
Published: Robert Novy-Marx & Mihail Velikov, 2016. "A Taxonomy of Anomalies and Their Trading Costs," Review of Financial Studies, vol 29(1), pages 104-147.
|October 2014||Understanding Defensive Equity|
|Financial Valuation of PBGC Insurance with Market-Implied Default Probabilities|
in Tax Policy and the Economy, Volume 28, Jeffrey R. Brown, editor
|August 2013||Funding Soft Liabilities|
in State and Local Health Plans for Active and Retired Public Employees, Robert Clark and Joseph Newhouse, organizers
|October 2012||The Revenue Demands of Public Employee Pension Promises|
with : w18489
Published: Novy-Marx, Robert, and Joshua Rauh. 2014. "The Revenue Demands of Public Employee Pension Promises." American Economic Journal: Economic Policy, 6(1): 193-229. DOI: 10.1257/pol.6.1.193
|Linking Benefits to Investment Performance in US Public Pension Systems|
with : w18491
Published: Robert Novy-Marx & Joshua D. Rauh, 2014. "Linking benefits to investment performance in US public pension systems," Journal of Public Economics, vol 116, pages 47-61.
|August 2012||Linking Benefits to Investment Performance in US Public Pension Systems|
in Retirement Benefits for State and Local Employees: Designing Pension Plans for the Twenty-First Century, Robert Clark, Joshua Rauh, and Mark Duggan, editors
|May 2012||Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars|
Published: Novy-Marx, Robert, “Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars,” Journal of Financial Economics, Volume 112, Issue 2, May 2014, Pages 137–146
|November 2011||Logical Implications of GASB's Methodology for Valuing Pension Liabilities|
Published: Novy-Marx, Robert, “Logical Implications of GASB’s Methodology for Valuing Pension Liabilities,” Financial Analysts Journal, 69(1), 2013, 26-32.
|October 2010||Policy Options for State Pension Systems and Their Impact on Plan Liabilities|
with : w16453
Published: Novy-Marx, Robert and Joshua D. Rauh. "Policy Options for State Pension Systems and Their Impact on Plan Liabilities." Journal of Pension Economics and Finance 10, 2 (2011): 173-194.
|June 2010||Fiscal Imbalances and Borrowing Costs: Evidence from State Investment Losses|
in Trans-Atlantic Public Economics Seminar (TAPES), Fiscal Policy, Roger Gordon and Roberto Perotti, organizers
|April 2010||The Other Side of Value: Good Growth and the Gross Profitability Premium|
Published: Novy - Marx, Robert, “The Other Side of Value: The Gross Profitability Premium , ” Journal of Financial Economics, 108(1) , 1 - 28, 2013.
|September 2008||The Intergenerational Transfer of Public Pension Promises|
with : w14343