News and its Impact on Risk and Returns Around the World
How news and its context drive risk and returns around the world Charles Calomiris and Harry MamayskyJournal of Financial Economics, August 2019A version of this [...]
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.ETFs and Mutual Funds Should Pay More Attention to Their Investor Base
Investor-Stock Decoupling in Mutual Funds Miguel A. Ferreira, Massimo Massa, Pedro MatosManagement Science, forthcomingA version of this paper can be found here.Want to read our summaries [...]
Can the Best Stock Pickers Still Beat the Market? An Out of Sample Test
Can mutual fund stars still pick stocks?: A replication and extension of Kosowski, Timmermann, Wermers, and White (2006) Timothy Riley and Sam WaltonCritical Review of [...]
Predicting Bond Returns? Focus on GDP Growth and Inflation Indicators
Predicting Bond Returns: 70 Years of International Evidence Guido Baltussen, Martin Martens, Olaf PenningaWorking PaperA version of this paper can be found hereWant to read our [...]
How A Great Team, and 2 Quant Geeks with no Clue, Survived The Leadville 100 Trail Run.
Editor's Note: this post has nothing to do with finance. Skipping this post costs you nothing. We encourage you to not read this post if [...]
Fascinating Research Alert: Earning Calls, Clichès, and Negative Abnormal Returns
When More or Less is Less: Managers' Clichès J. Klevak, J. Livnat, and K. SuslavaJournal of Financial Data Science, Summer 2019A version of this paper [...]
CEOs Formative Years and the Gender Gap
The Origins and Real Effects of the Gender Gap: Evidence from CEOs’ Formative Years Ran Duchin, Mikhail Simutin and Denis SosyuraReview of Financial Studies, 2020A [...]
What is Impact Investing?
Impact Investing 2.0: Not Just for Do-Gooders Anymore Diana LiebermanThe Journal of Investing, Winter 2020A version of this paper can be found hereWant to read our [...]
March for the Fallen 2020: Sign-Up for The Virtual Version!
We are going to help make March for the Fallen a virtual event this year (September 26, 2020 at 8am). COVID is bad news, but [...]
Board Diversity: When Will We Break Through the Glass Ceiling?
Board leadership positions elude diverse directors Laura Casares Field, Matthew Souther, and Adam YoreJournal of Financial Economics, 2020A version of this paper can be found [...]
Value Factor Diversification: Is Quality Better Than Momentum?
What if your portfolio was only based on one idea? Something like “stocks always go up” or “value always beats growth.” You may be learning [...]
ETF-prenuers: An Introduction to ETF White Label Services
Interested in starting an ETF? Interested in converting a managed account, hedge fund, or mutual fund into an ETF? Simply want to learn more about [...]
Can Statistics Actually Determine if Managers Have No Skill?
Campbell Harvey and Yan LiuJournal of Finance, 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]
Monster Factor Correlation Chart
We recently added a monster correlation matrix to our factor library data sheet that maps out the correlation of all the factors against every other [...]
5 Surprising Things We Learned from a Factor Investing Expert
Lu Zhang and his colleagues made some waves with their new paper, “Replicating Anomalies.” (now published in the RFS -- congrats!). We have a summary [...]
Counterpoint: ETF Activity May Make the Stock Market MORE Efficient
Lawrence Glosten, Suresh Nallareddy, and Yuan ZouManagement Science, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
Excess Returns Podcast: Systematic Value Investing (Wes)
Recently I was invited to talk with Justin and Jack on the Excess Returns Podcast. I thank them for the opportunity and enjoyed the conversation! [...]
Smart(er) Investing – The Easy Way
Most of the time we make you "earn your education" by reading our posts to build up your knowledge of the latest and greatest academic [...]
Free Tool Announcement: Visualizing Unemployment Claims
Our friend Jonathan Regenstein, over at http://www.reproduciblefinance.com/, convinced me that using R would be a great way to build web applications that would help us [...]
Tactically Adjusting Everything in a Financial Crisis? Bad Idea.
Flight to Quality and Asset Allocation in a Financial Crisis Terri Marsh and Paul PfleidererFinancial Analyst Journal, 2013A version of this paper can be found here [...]