Robert Novy-Marx

Lori and Alan S. Zekelman Distinguished Professor of Finance

Simon Business School

University of Rochester
Box 270100
Rochester, NY 14627-0100

Email: robert.novy-marx<at>


Curriculum Vitae


Google Scholar Page


Select Media Coverage

Consulting Relationships


Data Library


Recent Working Papers


Reversals and the returns to liquidity provision (with Wei Dai, Mamdouh Medhat, and Savina Rizova)

Assaying Anomalies (with Mihail Velikov)

Journal Publications


Model comparison with transaction costs (with Andrew Detzel and Mihail Velikov), Journal of Finance, 2022, Forthcoming

Betting Against Betting Against Beta (with Mihail Velikov), Journal of Financial Economics 143 (1), 2022, 80-106

  • 2019 Roger F. Murray Prize (Second place) awarded to individuals who present outstanding research at the Q Groupís semi-annual seminar. [link]

Comparing Cost-Mitigation Techniques (with Mihail Velikov), Financial Analysts Journal 75 (1), 2019, 85-102.

  • 2019 Graham and Dodd Scroll Award for excellence in research and financial writing in the FAJ. [link]

Liquidity risk and asset pricing (with Hongtao Li and  Mihail Velikov), Critical Review of Finance 8 (2), 2019.


A Taxonomy of Anomalies and their Trading Costs (with Mihail Velikov), Review of Financial Studies 29 (1), 2016, 104-147.


Predicting Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars, Journal of Financial Economics 112 (2), 2014, 137-146.


Linking Benefits to Investment Performance in US Public Pension Systems (with Joshua D. Rauh), Journal of Public Economics, 116, 2014, 47-61.


The Revenue Demands of Public Employee Pension Promises (with Joshua D. Rauh), 2013, American Economic Journal: Economic Policy 6 (1), 2014, 193-229.

The Other Side of Value: The Gross Profitability Premium, Journal of Financial Economics 108 (1), 2013, 1-28.

  • 2014 Whitebox Advisors Selected Research Prize for outstanding contribution (published the year prior) to the art and science of investing.
  • 2013 Fama-DFA Prize for the best capital markets/asset pricing paper in the JFE. [link]
  • 2012 AQR Insight Award Distinguished Paper Prize. [link]

Logical Implications of GASBís Methodology for Valuing Pension Liabilities, Financial Analysts Journal 69 (1), 2013, 26-32.


Fiscal Imbalances and Borrowing Costs: Evidence from State Investment Losses (with Joshua D. Rauh), American Economic Journal: Economic Policy 4(2), 2012, 182-213.


Is Momentum Really Momentum?, Journal of Financial Economics 103 (3), 2012, 429-453.

  • 2012 Fama-DFA Prize for the best capital markets/asset pricing paper in the JFE. [link]
  • 2012 Whitebox Advisors Selected Research Prize for outstanding contribution (published the year prior) to the art and science of investing (second place).

Public Pension Promises: How Big Are They and What Are They Worth? (with Joshua D. Rauh), Journal of Finance 66 (4), 2011, 1211-1249.

  • 2011 Smith-Breeden Prize for the best capital markets paper in the Journal of Finance.

Operating leverage, Review of Finance 15 (1), 2011, 103-134.

  • 2011 Spšngler IQAM Prize for the best paper in the Review of Finance.

Policy Options for State Pension Systems and Their Impact on Plan Liabilities (with Joshua D. Rauh), Journal of Pension Economics and Finance 10(2), 2010, 173-194.


Hot and cold markets, Real Estate Economics 37(1), 2009, 1-22.

  • 2009 Mills Prize for the best paper in Real Estate Economics.

The Liabilities and Risks of State-Sponsored Pension Plans (with Joshua D. Rauh), Journal of Economic Perspectives 23 (4), 2009, 191-210.


An equilibrium model of investment under uncertainty, Review of Financial Studies 20 (5), 2007, 1461-1502.



Older Working Papers

Backtesting strategies based on multiple signals


Fundamentally, momentum is fundamental momentum


How can a q-theoretic model price momentum?


Understanding Defensive Equity


Quality Investing, December 2012 (significantly revised May 2014).


An Alternative Three Factor Model (with Long Chen and Lu Zhang), May 2010.


Preempting Preemptive Investment, November 2009.


Real Estate and the Economy: Aggregate Implications of Irreversible Investment, November 2009.


Competition, Productivity, Organization and the Cross Section of Expected Returns, June 2009.



Other Publications


Financial Valuation of PBGC Insurance with Market Implied Default Probabilities (with Joshua D. Rauh and Jules van Binsbergen), 2014, forthcoming in Tax Policy and the Economy.


The Crisis in Local Government Pensions in the United States (with Joshua D. Rauh), 2011, Growing Old: Paying for Retirement and Institutional Money Management after the Financial Crisis, Robert Litan and Richard Herring, eds., Brookings Institution, Washington, DC.

Contains city and county breakdown of $0.6 trillion unfunded liabilities at the local level.





Pension Security Bonds: A New Plan to Address the Pension Crisis (with Joshua D. Rauh), The Economists' Voice 7(3), 2010.

Cited in the Financial Times. [link]


Can the Illinois Pension Catastrophe Be Stopped? (with Joshua D. Rauh), Chicago Tribune, 13 Aug 2010.



Other Papers  


The Intergenerational Transfer of Public Pension Promises (with Joshua D. Rauh).