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Comparing Cost-Mitigation Techniques

A Taxonomy of Anomalies and their Trading Costs

Economic and financial approaches to valuing pension liabilities

Linking Benefits to Investment Performance in US Public Pension Systems

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.

AI and Academics

Empirical Methods

Empirical Asset Pricing

Public Finance

AI and Business

The Truth About AI-Generated Research And Its Impact On Education

Detroit the beginning of the end of public-sector pensions?

The NEXT 10 City Pensions That Will Run Out Of Money

Lori and Alan S. Zekelman Distinguished Professor of Finance

University of Rochester Professor Robert Novy-Marx, a Dimensional consultant, discussed stocks he believes have higher expected returns in a recent webcast.

Professor Robert Novy-Marx on the Basis for a Value Premium

State and local governments have enormous unfunded liabilities in the trillions of dollars and pension plans have become the primary vehicles for circumventing their own balanced budget rules according to Simon School Professor Robert Novy-Marx. His recent research on the topic took him to Capitol Hill to testify before Congress. Novy-Marx will share his insight into the government pension crisis at Simon's NYC Conference on May 19 at the Sentry Center.

Government Pensions Getting Worse by the Day

Testing Strategies Based on Multiple Signals

Today’s guest is Professor Robert Novy-Marx, the Lori and Alan Zekelman Distinguished Professor of Business Administration at Simon Business School of the University of Rochester. Professor Novy-Marx is best known for his articulation of the profitability factor and has also done a ton of great work on momentum and low volatility. We kick our conversation off with Professor Novy-Marx’s thoughts on how profitability should inform portfolios. From there we hear why Professor Novy-Marx has a problem with evaluating the performance of a multi-signal strategy the same way that we would a single-signal strategy. He then talks about the trade-off between concentrated versus diversified factor exposure for capturing premiums. Next, we discuss why there is no good empirical evidence that we can time premiums. Professor Novy-Marx makes a great argument for why the regressions people use to say that the value spread works to predict the value premium can't be taken seriously. Our conversation moves to focus on how our guest defines price momentum and what drives it, and the nuances of investing in momentum. We then hear his perspectives on the low volatility anomaly and how profitability helps to explain it. After that, we talk about whether investing in a low-vol fund is a way of accessing value and profitability, and why the five-factor model is a trustworthy factor model for regular investors. In the last part of our conversation, we talk to Professor Novy-Marx about his approach to critiquing other methods before ending off with his definition of success. Tune in for this excellent evergreen conversation.


Links From Today’s Episode:
Professor Robert Novy-Marx — http://rnm.simon.rochester.edu/
‘The Other Side of Value: The Gross Profitability Premium’ — http://rnm.simon.rochester.edu/research/OSoV.pdf
Rational Reminder on iTunes — https://itunes.apple.com/ca/podcast/the-rational-reminder-podcast/id1426530582.

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