Buffett on Institutions: Wit, but no Wisdom?
A student in my class passed along a great quote from one of Buffett's annual letters. Warren Buffett outlines a great story told to him [...]
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.We are in May–Should we Sell and Go Away?
Tian, the newest team member, did a nice study on the "Sell in May and Go Away" phenomenon. It has been an old axiom in [...]
Media Coverage and Stock Returns
Been thinking about availability bias and how it affects stock returns. This isn't a new paper, but it is interesting nonetheless--An "oldie but goodie." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=971202 [...]
Alex Edmans is Democratizing Quant!
Alex Edmans is an old friend and an outstanding research and teacher (he was at Wharton, but now he is at LBS) ...and he's got [...]
The Sell Side is in Cahoots with Hedge Funds? Uh, duh…
Do Hedge Funds Trade on Private Information? Evidence from Upcoming Changes in Analysts’ Stock Recommendations Klein, Saunders and Wong A version of the paper can [...]
CFO Diaries: The Inside Skinny on Earnings Manipulations
The Misrepresentation of Earnings Dichev, Graham, Harvey, and Rajgopal A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
High-Frequency-Theft Lawsuits: Here they come!
http://www.rgrdlaw.com/media/cases/279_complaint.pdf This case arises out of a scheme and wrongful course of business whereby the Exchange Defendants, together with a defendant class of the brokerage firms [...]
Market Crash Stressing You Out? It Should…
Cortisol Shifts Financial Risk Preferences Kandasamy et al. A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
Wharton Quant Finance Conference–April 25th
The Jacobs Levy Equity Management Center is hosting a conference on cutting edge Quantitative Financial Research. The academic director of the center is Chris Geczy, [...]
Research on Ben Graham’s “Mr. Market”
On the Present Value Model in a Cross Section of Stocks R Startz and K Tsang A version of the paper can be found here. Want [...]
Carried Interest Chat on Fox Business News
A few months ago we did a post on avoiding predictions associated with highly confident experts. A quote from my own blog post: Expect the [...]
Risk Parity Across Time? A Simulation Education…
Inter-Temporal Risk Parity: A Constant Volatility Framework for Equities and Other Asset Classes R Perchet, R Carvalho T Heckel and P Moulin A version of [...]
The Trouble with Non-Transparent Active ETFs
Barron's has an interesting article discussing "The Trouble with Actively Managed ETFs." The article should have been titled "The Trouble with Non-Transparent Active ETFs." A [...]
Time to Fire your Hedge Fund Managers?
In Search of Missing Risk Factors: Hedge Fund Return Replication with ETFs J. Duanmu, Y. Li, and A. Malakhov. A version of the paper can [...]
Private Equity Performing Better than We Thought?
Private Equity Performance: What Do We Know? ROBERT S. HARRIS, TIM JENKINSON andSTEVEN N. KAPLAN A version of the paper can be found here. Want a [...]
Why ETFs are more tax-efficient than mutual funds
The ETF structure is often regarded as being "tax-efficient." However, many investors -- even sophisticated professionals -- often blow off the benefits of the ETF [...]
Do Rituals Make you a Better Investor?
Rituals Enhance Consumption Vohs, J., Y. Wang, F. Gino, and M. I. Norton. A version of the paper can be found here. Want a summary of [...]
Gold’s 3,000 Year Backtest–A New World Record!
Gold: The Best Performing Asset of the Last 3,000 Years? Claude Erb A version of the paper can be found here. Want a summary of academic [...]
Women Write Better Annual Reports
Are Female CFOs Better at Improving Readability of the Annual Reports? Andy Kim and Sung Gon Chung A version of the paper can be found here. [...]
Bernie Madoff’s Contribution to “The Cost of Investing”
Ken French has a wonderful paper called the Cost of Active Investing. He presented the paper at the 2008 AFA Presidential Address. I compare the fees, [...]