Meb’s new book out!
$5 on Amazon--won't set you back too much! http://mebfaber.com/2014/03/18/new-book-is-out/ Global Value: How to Spot Bubbles, Avoid Market Crashes, and Earn Big Returns in the Stock [...]
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.Some Math Profs aren’t Fond of Moving Average Rules
The mathematicians aren't fond of moving-average trading rules: For every day in the sample, we can compute one average price of that stock using the previous [...]
Does Google Trends Predict Market Returns? A Second Look…
Do Google Trend Data Contain More Predictability than Price Returns? Damien Challet and Ahmed Bel Hadj Ayed A version of the paper can be found here. [...]
Dissertation Dumpster Diving: Cross Section of Stock Returns
Reading PhD dissertations can be frustrating (lots of typos, jargon, etc.), but they can also be fascinating because they haven't been "diluted" via the publishing [...]
Art, Stamps, and Violins in Your Portfolio?
The Investment Performance of Art and Other Collectibles Elroy Dimson, Christophe Spaenjers A version of the paper can be found here. Want a summary of academic [...]
Top 10 Rules for Forecasting
h.t. M Kline
Low Volatility Anomaly Lacks Robustness?
Question: How many ETF companies are hawking "Smart" beta products that offer low volatility or low beta portfolios (we could probably throw minimum volatility in [...]
A “Captivating” Tax Minimization Structure
http://www.journalofaccountancy.com/Issues/2013/Mar/20126102.htm This is dedicated to all our tax-minimization fans out there. In recent years, smaller, closely held businesses have also learned that the captive insurance entities [...]
Think You’re Smarter than a Monkey?
BBC has an article discussing the same research we highlighted almost a year ago: Her conclusion is that these biases are so deep rooted in [...]
Buffett’s Berkshire Beatdown
Fortune has an interesting article on Warren Buffett's performance over the past 5 years (12/31/2008 through 12/31/2013) Furthermore, though Buffett doesn't specifically talk about this [...]
Leverage local economics for higher stock returns
Geographic Diffusion of Information and Stock Returns Jawad M. Addoum, Alok Kumar, Kelvin Law A version of the paper can be found here. Want a summary [...]
SEC Employees Make Great Stock Pickers
Stock Picking Skills of SEC Employees Shivaram Rajgopal and Roger White A version of the paper can be found here. Want a summary of academic papers [...]
An After-Hours Arbitrage Opportunity: $50k to $760k in 12 years?
Slow Price Adjustment to Public News in After-Hours Trading Jiasun Li A version of the paper can be found here. Want a summary of academic papers [...]
Professors Gone Wild: $420k illicit gains on a $30k investment
A couple of University of Florida professors got busted by the SEC in a fairly fascinating trading scheme. In total, the profs earned $420,000 in [...]
A Better Way to Buy the Russell 2000
Long-Term Impact of Russell 2000 Index Rebalancing Jie Cai and Todd Houge, CFA A version of the paper can be found here. Want a summary of [...]
CFA Institute Magazine Quote: Algos Dreaming
The latest edition of the CFA Institute Magazine has an interesting article on "Do Algorithms Dream of Electronic Clients?" They even managed to quote me as [...]
Bias Algorithms? How Ironic!
Human bias in algorithmic trading John Broussard, Andrei Nikiforov A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Woefully Neglected Evidence on Systematic Decision Making
50 Years of Successful Predictive Modeling Should Be Enough: Lessons for Philosophy of Science Our aim in this paper is to bring the woefully neglected literature on [...]
Is Hiring Bad for Stock Returns?
Labor Hiring, Investment, and Stock Return Predictability in the Cross Section Frederico Belo, Xiaoji Lin, Santigo Bazdresch A version of the paper can be found here. [...]
Imagine the World in 2035: No “poor” countries
Bill and Melinda Gates think it is possible: By 2035, there will be almost no poor countries left in the world. Check out the Gates [...]