Robert Novy-Marx

Simon Graduate School of Business
University of Rochester
305 Schlegel Hall
Rochester, NY 14627
Tel: 773/834-7123

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
NBER Program Affiliations: AP
NBER Affiliation: Research Associate
Institutional Affiliation: University of Rochester

NBER Working Papers and Publications

July 2015Backtesting Strategies Based on Multiple Signals
February 2015Fundamentally, Momentum is Fundamental Momentum
How Can a Q-Theoretic Model Price Momentum?
December 2014A Taxonomy of Anomalies and their Trading Costs
with Mihail Velikov: 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 2014Understanding Defensive Equity
Financial Valuation of PBGC Insurance with Market-Implied Default Probabilities
with Jules H. van Binsbergen, Joshua Rauh
in Tax Policy and the Economy, Volume 28, Jeffrey R. Brown, editor
August 2013Funding Soft Liabilities
with Joshua D. Rauh
in State and Local Health Plans for Active and Retired Public Employees, Robert Clark and Joseph Newhouse, organizers
October 2012The Revenue Demands of Public Employee Pension Promises
with Joshua D. Rauh: 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 Joshua D. Rauh: 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 2012Linking Benefits to Investment Performance in US Public Pension Systems
with Joshua D. Rauh
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 2012Pseudo-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 2011Logical 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 2010Policy Options for State Pension Systems and Their Impact on Plan Liabilities
with Joshua Rauh: 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 2010Fiscal Imbalances and Borrowing Costs: Evidence from State Investment Losses
with Joshua D. Rauh
in Trans-Atlantic Public Economics Seminar (TAPES), Fiscal Policy, Roger Gordon and Roberto Perotti, organizers
April 2010The 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 2008The Intergenerational Transfer of Public Pension Promises
with Joshua D. Rauh: w14343

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