Momentum Factor Investing: What’s the Right Risk-Adjustment?
Momentum? What Momentum? Erik Theissen and Can YilanciA version of this paper can be found hereWant to read our summaries of academic finance papers? 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.Does Crowdsourced Investing Work?
Extrapolative Beliefs in the Cross Section: What Can We Learn from the Crowds? Zhi Da, Xing Huang, Lawrence J. JinJournal of Financial Economics, 2020A version [...]
RealVision: Tony/Wes Discuss Investment Philosophy & ETF Operations
Tony Greer, the founder of TG Macro, is joined by Wes Gray, CEO of Alpha Architect, a research-intensive asset management firm with a focus on [...]
Meb Faber Podcast: Doug Discusses 1042 QRP and ESOP Transactions
Doug Pugliese, the head of our 1042 QRP business, was recently invited on the Meb Faber Podcast to discuss the ESOP landscape and the costs [...]
ESG Factors and Traditional Factors
Toward ESG Alpha: Analyzing ESG Exposures through a Factor Lens Ananth Madhavan, Aleksander Sobczyk and Andrew AngFinancial Analyst Journal, 2021A version of this paper can be found hereWant to [...]
Do ETFs Adversely Affect Market Quality? Nope.
Intraday Arbitrage Between ETFs and their Underlying Portfolios Box, Davis, Evans, and LynchWorking paperA version of this paper can be found here Editor's note: Seeing how [...]
Global Factor Performance: February 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
Hot Topic: Does “Gamma” Hedging Actually Affect Stock Prices?
Hedging Demand and Market Intraday Momentum Guido Baltussen, Zhi Da, Sten Lammers and Martin MartensJournal of Financial Economics, ForthcomingA version of this paper can be [...]
Battle of the Sexes, Who’s Better at Fudging the Numbers?
CFO Gender and Financial Statement Irregularities V.K.Gupta, S. Mortal, B. Chakrabarty, X. Guo, D. B. TurbanAcademy of Management Journal, 2019A version of this paper can [...]
Global Factor Performance: January 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
The Definitive Study on Long-Term Factor Investing Returns
Global Factor Premiums Baltussen, Swinkels, VlietJournal of Financial Economics, forthcomingA version of this paper can be found hereHere are the slides tied to the paper.Want to [...]
How Powerful is the Wealth Effect?
Stock Market Returns and Consumption Marco Di Maggio, Amir Kermani and Kaveh MajlesiJournal of Finance, 2020A version of this paper can be found hereWant to read [...]
The 2021 Annual Finance Research Geek Fest: Top 5 Most Interesting Papers
The American Finance Association Annual Meetings are here.[ref]here is information on the broader conference[/ref] The conference is virtual this year but that doesn't mean the organization hasn't [...]
Investing Based on Who you Follow on Social Media? A Real Thing?
Do Individual Investors Trade on Investment-related Internet Postings? Manuel Ammannt and Nic SchaubManagement Science, 2020A version of this paper can be found hereWant to read our [...]
Global Factor Performance: December 2020
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
Early Female Investors, More Independent than Previously Thought?
Independent Women: Investing in British Railways, 1870-1922 Graeme G. Acheson; Gareth Campbell; Áine Gallagher and John D. TurnerEconomic History Review, 2020A version of this paper [...]
A Short Research Library Outlining Why Traditional Stock Picking is Challenging
There are no "right" answers when it comes to financial markets. There are generally trade-offs to all decisions. For example, stocking picking can be incredible [...]
What Matters to Individual Investors? Evidence from the Horse’s Mouth
What Matters to Individual Investors? Evidence from the Horse's Mouth James Choi and Adriana RobertsonJournal of Finance, 2020A version of this paper can be found hereWant [...]
How Do You Think the Global Market Portfolio Has Performed from 1960-2017?
Historical Returns of the Market Portfolio Ronald Doeswijk, Trevin Lam and Laurens SwinkelsThe Review of Asset Pricing Studies, 2019A version of this paper can be [...]
Can A Computer Read Employee Emails and Detect Fraud?
Zero-Revelation RegTech: Detecting Risk through Linguistic Analysis of Corporate Emails and News S.R. Das, S. Kim, B. KothariJournal of Financial Data Science, Spring 2019A version [...]