By |Published On: December 31st, 2020|Categories: Research Insights, Conferences|

The American Finance Association Annual Meetings are here.(1) The conference is virtual this year but that doesn’t mean the organization hasn’t done a good job collecting the brightest minds in academia to discuss hundreds of new finance research papers — a gold mine for new and exciting ideas!(2)

There is so much research available it is a bit difficult to read it all — and many of the papers have still not been made available. Nonethless, I tried to highlight some of the work that was interesting to me. We encourage everyone to explore the research library on their own since you might enjoy different topics.

Here are the top 5 papers that were interesting(3) to me:

Also, I went through the PhD poster session, which is work conducted by a current PhD student (i.e., new researchers).

  • Decomposing Factor Momentum: There has been a lot of new research discussing the ability to tactically allocate across factors based on momentum.(4) This research goes deeper with a decomposition of the returns and finds that factor momentum probably works because it holds the factors that earn the highest premiums over the sample.

Enjoy all this academic finance research!

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About the Author: Wesley Gray, PhD

Wesley Gray, PhD
After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. Next, Wes took an academic job in his wife’s hometown of Philadelphia and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management firm dedicated to an impact mission of empowering investors through education. He is a contributor to multiple industry publications and regularly speaks to professional investor groups across the country. Wes has published multiple academic papers and four books, including Embedded (Naval Institute Press, 2009), Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016). Dr. Gray currently resides in Palmas Del Mar Puerto Rico with his wife and three children. He recently finished the Leadville 100 ultramarathon race and promises to make better life decisions in the future.

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