Is Price Momentum a Brother From Another Mother?
Fundamentally, Momentum is Fundamental Momentum Robert Novy-Marx A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
About 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.Value Investing: Accruals, Cash Flows, and Operating Profitability
Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns Ball, Gerakos, Linnainmaa and Nikolaev A version of the paper can be [...]
Does Science Advance One Funeral at a Time?
A really interesting paper hit the NBER wires recently. The central argument of the paper is that "rock star" thought leaders dominate a field, but [...]
Interest Rates, Tax-Selling, and Stock Return Seasonality
Stock prices under pressure: How tax and interest rates drive seasonal variation in expected returns Kang, Pekkala, and et al. A version of the paper [...]
Daily Academic Alpha: Value and Momentum in Vietnam
An interesting out of sample test on return drivers in the Vietnamese market from 2006 to 2014. Not surprisingly, value and momentum show some mojo [...]
A Win for Socially Responsible Investing: Rethinking “Sin Stocks”
I have a love-hate relationship with sin stocks. On one hand, my first big winning stock pick was Swisher Sweet Cigars, which nearly doubled a [...]
‘Tis the Season for strange effects in the stock market.
The efficient market hypothesis suggests that stock prices are always “right” in the sense that stock prices reflect all available information. Of course, during tax [...]
Great Academic Research is Bursting at the Seams
Having been a full-time academic financial economist in a former life (still dabble, when able), I became accustomed to my annual pilgrimage to the annual American Finance [...]
Our Top 5 Geeky Finance Posts for 2015
Friends/Readers: We are calling it quits for the holidays. Most of us have kids and Santa is coming to town! We'll talk research and educate investors [...]
Avoid Firms with CFOs that Golf All the Time
Chipping Away at Financial Reporting Quality Biggerstaff, Cicero, Goldie, and Reid. A version of the paper can be found here. Want a summary of academic [...]
Are Stock Pricing Anomalies Driven by Risk or Mispricing?
Anomalies and News Engelberg, McLean and Pontiff A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Value Investing Requires Patience…a LOT of Patience–Ask Cliff Asness
Value investing was a lot easier in 2012 and 2013 when our value approach beat the market by a substantial margin and we had a reasonable [...]
Expanding the Efficient Frontier with Value and Momentum Strategies
Awww...modern portfolio theory...that feel-good construct I teach to all of my graduate-level finance students each year. Simply input 1) a vector of expected returns and [...]
Signed Books (at a Discount) for Christmas Presents!
If you want a signed copy of our books for Christmas/Hannukah presents, the time is NOW. Below is the link to Quantitative Value. Make sure [...]
Busy launching a new strategy–no content today :-)
Thanks for your patience. We'll be back on it tomorrow!
Momentum Investing: Why Does Seasonality Matter for Momentum?
Causes and Seasonality of Momentum Profits Richard Sias A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
International Evidence for our favorite Value metric: Enterprise Multiples
The Enterprise Multiple Investment Strategy: International Evidence Walkshäusl and Lobe A version of the paper can be found here. Want a summary of academic papers with [...]
Frog in the Pan: Identifying the Highest Quality Momentum Stocks
Frog in the Pan: Continuous Information and Momentum Da, Gurun and Warachka A version of the paper can be found here. Want a summary of academic [...]
Beware of the Value Investing Return Gap
Jason Hsu of Research Affiliates has some easily accessible research on the so-called investor return gap (we refer to this as the Behavioral Investor Gap and have [...]
Trend Following and Momentum Strategies for Global REITs
Trend Following and Momentum Strategies for Global REITs Moss, Clare, Thomas and Seaton A version of the paper can be found here. Want a summary of [...]