Help on an Academic Research Project…again…
Readers, I need more of your input for a research project. http://smeal.qualtrics.com/SE/?SID=SV_0JKTpsCsXIXnJ9H As many of you are aware, my primary passion is serving as the team leader [...]
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.Daily Academic Alpha: Board Room Games
Breaking the Glass Ceiling In late 2003, Norway passed a law mandating 40 percent of each gender on the board of publicly limited liability companies. [...]
Market Valuation Metrics: Where Do We Stand?
We recently examined a handful of metrics related to S&P 500 valuations. P/E P/B TEV/EBITDA TEV/FCF TEV/GP Details on these metrics can be found here. [...]
Daily Academic Alpha: Estimation Investigations
Separating the Wheat from the Chaff: Identifying the Signal and Predictable Error Components of Target Price Forecasts A target price forecast scaled by current price [...]
Daily Academic Alpha: Bond Beta and Alpha
Is the Cross-Section of Expected Bond Returns Influenced by Equity Return Predictors? We study whether commonly analyzed equity return predictors also predict corporate bond returns. [...]
Shedding light on Payment for Order Flow: Insights from Emmet Peppers
High frequent traders are armed with powerful weapons: mobs of PhD quants, super-computers, and sophisticated algorithms. HFT has provided wonderful liquidity benefits to the marketplace. Yet, [...]
Daily Academic Alpha: Sham Strategy or Accounting Alpha?
What Is behind the Asset Growth and Investment Growth Anomalies? Existing studies show that firm asset and investment growth predict cross-sectional stock returns. Firms that [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: Manager Selection (Scott Stewart) Measuring the Size Effect with Capitalization-based ETFs (CXO Advisory) Asymmetric Reporting (Armstrong, Taylor and Verrecchia) The [...]
Daily Academic Alpha: Factors Abroad
Interaction of Size and Momentum Effects in Jordan Firms: 2005-2014 This study sought to disentangle the effects of size and whether there are size and [...]
Daily Academic Alpha: Public Actors
Public Actors in Private Markets: Toward a Developmental Finance State The nation's recent financial crisis brought into sharp relief fundamental questions concerning the social function [...]
Distribution Economics: Understanding Wall Street’s Conflict of Interest Problem
The simple matter is that most clients know how to buy groceries, but few know how to purchase financial products. In the murky world of financial services, clients may be buying products for the first time. More importantly, this purchase is the driver of their long-term financial security. Years of hard work, thrift, and responsible life choices, are baked into each and every retirement portfolio that a banker must now serve. In short, the stakes are too high and the cards are stacked too favorably towards one party. Fiduciary responsibility matters in financial services more than in any other product category outside of urgent medical care. Shouldn't this fiduciary have your best interests at heart? Just as you don't want your doctor to receive kickbacks from Pfizer for overdosing you on Oxycodone, why would you want your financial advisor--or their institution--to receive kickbacks for overdosing you on inefficient, overpriced, investment product that probably won't help you achieve your investment goals? Moral of the story: Ask your banker, or bank-affiliated advisor these questions. If you get answers that sound like the ones above, it might be time to buy a car or an airline ticket, because traveling via railroad is a thing of the past.
Interactive Brokers Value-Investing Webinar: Starts at 12pm EST
Topic: Why Value Investing is Simple, but Not Easy Registration Link: https://interactivebrokers.webex.com/interactivebrokers/onstage/g.php? t=a&d=711901301&SourceId=aa Date and time: Wednesday, March 11th, 2015 12:00pm Eastern Daylight Time (New [...]
Daily Academic Alpha: Momentum Investing
Fundamentally, Momentum is Fundamental Momentum Momentum in firm fundamentals, i.e., earnings momentum, explains the performance of strategies based on price momentum. Earnings surprise measures subsume [...]
Adam Nash: “Schwab has Become Merrill Lynch”
Adam Nash, the CEO of WealthFront.com, recently made a simple observation: Schwab has thrown their clients under the bus. The irony is that Schwab has 4 transcendent values: No [...]
Daily Academic Alpha: Limits of Arbitrage
SHO Time for Limits-to-Arbitrage and Asset Pricing Anomalies We examine the causal effect of limits-to-arbitrage on ten well-known asset pricing anomalies using Regulation SHO as [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: Understanding Options-Based Sentiment in the Stock Market (Traderfeed) What Do Accruals Tell Us About Future Cash Flows? (Barth, Clinch and [...]
Which Value Investing Metrics Should You Trust?
Barry has a nice piece in the Washington Post asking a simple question: What is the best valuation metric to assess if a stock is cheap or [...]
6 High-Net-Worth Tax-Trades with Targets on Their Back
Our good friends at the government have compiled their newest list of tax-tricks that anger them the most. Or in their words, how tax pros [...]
Why The Low-Volatility Anomaly Exists
Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly Baker, Bradley and Wurgler A version of the paper can be found here. Want a summary of [...]
Why Value Investing is Simple, But Not Easy: IB Webinar
I'll be hosting a webinar in conjuction with Interactive Brokers LLC on March 11, 2015. Mark your calendars! Topic: Why Value Investing is Simple, but [...]