Simon Business School
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Faculty Profile

Robert E Novy-Marx
Lori and Alan S. Zekelman Distinguished Professor of Finance
Professor
Phone: 585.275.3914
Office: CS-3-160F Carol Simon Hall

Bio

Novy-Marx earned the Fama/DFA Prize for the best capital markets/asset pricing paper in the Journal of Financial Economics (2012 and 2013), the Smith-Breeden Prize for the best capital markets paper in the Journal of Finance (2011), the Spängler IQAM Prize for the best paper in the Review of Finance (2011), and the Mill's Prize for the best paper in Real Estate Economics. Novy-Marx is also a former professional triathlete, a member of the National Bureau of Economic Research and taught at the Booth School of Business before coming to the Simon School.

Research Interests

Professor Novy-Marx’s research focuses primarily on asset pricing, both theoretical and empirical, though he also works in industrial organization, public finance and real estate.

Professional History

Lori and Alan S. Zekelman Distinguished Professor of Finance
University of Rochester Simon Business School, Rochester NY
2014 -
Professor
University of Rochester Simon Business School, Rochester NY
2014 -
Associate Professor
University of Rochester Simon Business School, Rochester NY
2013 - 2014
Assistant Professor of Finance
University of Chicago Booth School of Business, Chicago IL
2003 - 2010

Education

University of California - 2003
Ph D
Finance
Swarthmore College - 1991
BA
Physics

Publications

A Taxonomy of Anomalies and their Trading Costs
Journal/Publisher/Proceedings Publisher: National Bureau of Economic Research
Backtesting Strategies Based on Multiple Signals
Journal/Publisher/Proceedings Publisher: National Bureau of Economic Research
Fundamentally, Momentum is Fundamental Momentum
Journal/Publisher/Proceedings Publisher: National Bureau of Economic Research
How Can a Q-Theoretic Model Price Momentum?
Journal/Publisher/Proceedings Publisher: National Bureau of Economic Research
Linking Benefits to Investment Performance in US Public Pension Systems
Journal/Publisher/Proceedings Publisher: National Bureau of Economic Research
The Revenue Demands of Public Employee Pension Promises
Journal/Publisher/Proceedings Publisher: National Bureau of Economic Research
Understanding Defensive Equity
Journal/Publisher/Proceedings Publisher: National Bureau of Economic Research
2016
A Taxonomy of Anomalies and Their Trading Costs
Contribution Type: Journal Article, Academic Journal
Journal/Publisher/Proceedings Publisher: Review of Financial Studies
Volume: 29
Issue: 1
2015
Economic and financial approaches to valuing pension liabilities
Contribution Type: Journal Article, Academic Journal
Journal/Publisher/Proceedings Publisher: Journal of Pension Economics and Finance
Volume: 14
Issue: 02
2014
Pension Security Bonds
Contribution Type: Book, Chapter in Scholarly Book-New
Journal/Publisher/Proceedings Publisher: Columbia University Press
2014
Linking benefits to investment performance in US public pension systems
Contribution Type: Journal Article, Academic Journal
Journal/Publisher/Proceedings Publisher: Journal of Public Economics
Volume: 116
2014
Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars
Contribution Type: Journal Article, Academic Journal
Journal/Publisher/Proceedings Publisher: Journal of Financial Economics
Volume: 112
Issue: 2
2014
The Revenue Demands of Public Employee Pension Promises
Contribution Type: Journal Article, Academic Journal
Journal/Publisher/Proceedings Publisher: American Economic Journal: Economic Policy
Volume: 6
Issue: 1
2014
Financial Valuation of PBGC Insurance with Market-Implied Default Probabilities
Contribution Type: Journal Article, Academic Journal
Journal/Publisher/Proceedings Publisher: Tax Policy and the Economy
Volume: 28
Issue: 1
2013
The other side of value: The gross profitability premium
Contribution Type: Journal Article, Academic Journal
Journal/Publisher/Proceedings Publisher: Journal of Financial Economics
Volume: 108
Issue: 1
2013
Logical Implications of the GASB’s Methodology for Valuing Pension Liabilities
Contribution Type: Journal Article, Academic Journal
Journal/Publisher/Proceedings Publisher: Financial Analysts Journal
Volume: 69
Issue: 1
2011
Operating Leverage
Journal/Publisher/Proceedings Publisher: Review of Finance
Volume: 15(1)
Issue: 2011
2011
The Crisis in Local Government Pensions in the United States
Journal/Publisher/Proceedings Publisher: Growing Old: Paying for Retirement and Institutional Money Management after the Financial Crisis / Brookings Institution Press with the Nomura Institute of Capital Markets Research
Issue: Yasuyuki Fuchita, Richard Herring and Robert Litan (eds.)
2009
Hot and Cold Markets
Journal/Publisher/Proceedings Publisher: Real Estate Economics
Volume: 37(1)
Issue: 2009
2009
The Liabilities and Risks of State-Sponsored Pension Plans
Contribution Type: Journal Article, Academic Journal
Journal/Publisher/Proceedings Publisher: Journal of Economics Perspectives
Volume: 23(4)
Issue: 2009
2007
An Equilibrium Model of Investment Under Uncertainty
Journal/Publisher/Proceedings Publisher: Review of Financial Studies
Volume: 20(5)
Issue: 2007

Current Research Programs

Liquidity risk and asset pricing
Conditionally accepted at Critical Review of Finance
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