Dividends can pay–without paying!
The Dividend Month Premium Sam Hartzmark and David Solomon A recent version of the paper can be found here. Abstract: We document that companies have [...]
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.R&D to your portfolio’s rescue!
The Stock Market Valuation of Research and Development Expenditures Louis Chan, Josef Lakonishok, and Theodore Sougiannis A recent version of the paper can be found [...]
Why Growth Stocks are Awesome
Sometimes its nice to reflect on some of the more esoteric articles being published in academic finance journals--good way to assess exactly how disconnected from [...]
Who is Swimming Naked? Typically the Stock-Pickers…
Now that the tide is leaving the shore, it's a great time to reflect on manager performance and the most elaborate casino on earth--the stock [...]
Market Chaos Review
Meb has some great analytics and perspective on the recent turmoil in the markets: http://www.mebanefaber.com/2011/08/04/gaining-some-perspective/ Meb's post inspired me to churn out some quick research. [...]
Corporate Governance Brain Drain
I'd like to welcome a new contributor to the Alpha Architect blog -- Jack Vogel. Jack is currently a PhD student in finance at Drexel [...]
A Better Buyback Strategy
Repurchases, Reputation, and Returns Alice Bonaime A recent version of the paper can be found here. Abstract: This paper examines whether a firm’s reputation is [...]
How to use the Fama French Model
The CAPM is prolific, but doesn't appear to work! In this blog, we discuss our views on how to use the Fama French model. (Note: [...]
Stop Using the Altman-Z Score.
Ed Altman is simply a legend. Everyone in finance is familiar with the Altman Z-Score and many analysts use it religiously--despite the fact there has [...]
Juicing up the Accrual Anomaly
Percent Accruals Nader Hafzalla, Russell Lundholm, and Matt Van Winkle A version of the paper can be found here. Abstract: We document how the effectiveness [...]
Magic Formula and Small Caps–The Missing Link?
A reader recently commented in response to our study on the Magic Formula, which questions the 31% CAGR performance of the strategy over the 1988--2004 [...]
Taxes are more important than alpha.
Paying taxes is my least favorite topic. Figuring out how to not pay taxes is my favorite topic. Before I continue, if you want to read [...]
Mission Impossible: beating the market over long periods of time
I've been thinking about "extreme" returns recently. After all, who wouldn't mind earning a few extra bucks in the stock market? We all hear about [...]
Textual Analysis and Trading Strategies
When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks. Tim Loughran and Bill McDonald A published version of the paper can be [...]
More Magic Formula Analysis
As a professor by day, I spend a lot of time doing research and studying financial data. Recently, my research assistant and I have been [...]
Follow the Short-Sell Demand
Supply and Demand Shifts in the Shorting Market Lauren Cohen, Karl B. Diether and Chirstopher J. Malloy A version of the paper can be found [...]
How “Magic” is Magic Formula Investing?
The underlying concept of magic formula investing is a genius marketing platform, but it is unclear how "magic" the formula actually is--examine 'cheapness,' examine 'quality,' combine [...]
Institutional Investor on Twitter Trading
Institutional Investor has an article related to trading on Tweets. Here is our take on the trading strategy We are quoted in the article: "Not everyone [...]
The Ultimate Short Book.
Identifying Overvalued Equity Messod Beneish and Craig Nichols A version of the paper can be found here. Live implementation data can be found at Empirical Finance [...]
Quantitative versus Fundamental Value–Let’s get ready to RUMMMBLE!
I like to laugh, and I hope you to do. We put together a short video highlighting the intellectual battle between quantitative investors and fundamental [...]