Wesley R. Gray, Ph.D.

//Wesley R. Gray, Ph.D.

About Wesley R. Gray, Ph.D.

After serving as a Captain in the United States Marine Corps, Dr. Gray earned a PhD, 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 that delivers affordable active exposures for tax-sensitive investors. Dr. Gray has published four books and a number of academic articles. Wes is a regular contributor to multiple industry outlets, to include the following: Wall Street Journal, Forbes, ETF.com, and the CFA Institute. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.

How Does Analyst Optimism Affect Momentum Strategies?

By | 2017-08-18T17:03:40+00:00 January 27th, 2016|Research Insights|

Analyst Optimism and Stock Price Momentum Li, Lockwood and et al. A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: We [...]

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Following “Opportunistic insiders” Earns over 1% Monthly Alpha…

By | 2017-08-18T17:04:52+00:00 January 25th, 2016|Research Insights|

Opportunism as a Managerial Trait: Predicting Insider Trading Profits and Misconduct Ali and Hirshleifer A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap [...]

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Is Price Momentum a Brother From Another Mother?

By | 2017-08-18T17:01:40+00:00 January 21st, 2016|Research Insights, Momentum Investing Research, $mtum|

Fundamentally, Momentum is Fundamental Momentum Robert Novy-Marx A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: Momentum in firm fundamentals, i.e., [...]

Value Investing: Accruals, Cash Flows, and Operating Profitability

By | 2017-08-18T16:53:47+00:00 January 14th, 2016|Research Insights, Value Investing Research|

Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns Ball, Gerakos, Linnainmaa and Nikolaev A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]

Does Science Advance One Funeral at a Time?

By | 2017-08-18T17:06:08+00:00 January 13th, 2016|Behavioral Finance, Uncategorized|

A really interesting paper hit the NBER wires recently. The central argument of the paper is that "rock star" thought leaders dominate a field, but when they die, new thought leaders are able to emerge. [...]

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Daily Academic Alpha: Value and Momentum in Vietnam

By | 2017-08-18T17:07:23+00:00 January 5th, 2016|Uncategorized|

An interesting out of sample test on return drivers in the Vietnamese market from 2006 to 2014. Not surprisingly, value and momentum show some mojo -- Liquidity as well...size, not so much. But size only matters [...]

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‘Tis the Season for strange effects in the stock market.

By | 2017-08-18T17:12:00+00:00 December 29th, 2015|Momentum Investing Research, Tactical Asset Allocation Research|

The efficient market hypothesis suggests that stock prices are always “right” in the sense that stock prices reflect all available information. Of course, during tax season, fundamentals go out the window: I’m selling my losers, [...]

Our Top 5 Geeky Finance Posts for 2015

By | 2017-08-18T16:59:35+00:00 December 22nd, 2015|Research Insights|

Friends/Readers: We are calling it quits for the holidays. Most of us have kids and Santa is coming to town! We'll talk research and educate investors in the coming year... Here are the Top 5 content [...]

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Avoid Firms with CFOs that Golf All the Time

By | 2017-08-18T17:09:52+00:00 December 17th, 2015|Research Insights|

Chipping Away at Financial Reporting Quality Biggerstaff, Cicero, Goldie, and Reid. A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: [...]

Are Stock Pricing Anomalies Driven by Risk or Mispricing?

By | 2017-08-18T17:10:07+00:00 December 15th, 2015|Research Insights, Behavioral Finance|

Anomalies and News Engelberg, McLean and Pontiff A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: Using a sample of 97 [...]

Value Investing Requires Patience…a LOT of Patience–Ask Cliff Asness

By | 2017-08-18T16:53:51+00:00 December 10th, 2015|Value Investing Research|

Value investing was a lot easier in 2012 and 2013 when our  value approach beat the market by a substantial margin and we had a reasonable edge on other active value players. But now that we [...]

Expanding the Efficient Frontier with Value and Momentum Strategies

By | 2017-08-18T17:05:19+00:00 December 9th, 2015|Research Insights, Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research, $SPY|

Awww...modern portfolio theory...that feel-good construct I teach to all of my graduate-level finance students each year. Simply input 1) a vector of expected returns and 2) a covariance matrix into your computer, and voilà, you [...]

Signed Books (at a Discount) for Christmas Presents!

By | 2017-08-18T16:56:55+00:00 December 4th, 2015|Book Reviews, Business Updates|

If you want a signed copy of our books for Christmas/Hannukah presents, the time is NOW. Below is the link to Quantitative Value. Make sure you buy it directly from us (Seller = Wesley R. [...]

Momentum Investing: Why Does Seasonality Matter for Momentum?

By | 2017-08-18T17:00:13+00:00 November 30th, 2015|Research Insights, Momentum Investing Research|

Causes and Seasonality of Momentum Profits Richard Sias A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: With Januaries (a month [...]

International Evidence for our favorite Value metric: Enterprise Multiples

By | 2017-08-18T17:02:53+00:00 November 24th, 2015|Research Insights, Value Investing Research|

The Enterprise Multiple Investment Strategy: International Evidence Walkshäusl and Lobe A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: The enterprise [...]

Frog in the Pan: Identifying the Highest Quality Momentum Stocks

By | 2017-08-18T17:04:46+00:00 November 23rd, 2015|Research Insights, Momentum Investing Research|

Frog in the Pan: Continuous Information and Momentum Da, Gurun and Warachka A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: [...]