Wesley R. Gray

Alpha Architect

Team Leader

213 Foxcroft Road

Broomall, PA 19008

United States

http://www.alphaarchitect.com

Drexel University - LeBow College of Business

Clinical Professor of Finance

3141 Chestnut St

Philadelphia, PA 19104

United States

http://www.lebow.drexel.edu/corporate-services/corporate-and-executive-education/executive-faculty

  • Alpha Architect

  • Drexel University - LeBow College of Business

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 2,300

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Top 2,300

in Total Papers Downloads

15,161

SSRN CITATIONS
Rank 32,513

SSRN RANKINGS

Top 32,513

in Total Papers Citations

3

CROSSREF CITATIONS

17

Scholarly Papers (13)

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1.

On the Performance of Cyclically Adjusted Valuation Measures

Number of pages: 18 Posted: 24 Sep 2013 Last Revised: 22 Oct 2013
Wesley R. Gray and Jack Vogel
Alpha Architect and Alpha Architect
Downloads 4,725 (1,739)

Abstract:

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CAPE, Shiller P/E, long-term valuation metrics, value investing, market efficiency, abnormal returns

2.

Do Fund Managers Identify and Share Profitable Ideas?

Number of pages: 43 Posted: 04 Nov 2009 Last Revised: 09 May 2012
Wesley R. Gray, Steve Crawford and Andrew E. Kern
Alpha Architect, University of Houston and University of Missouri - Trulaske College of Business
Downloads 2,621 (4,841)
Citation 13

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Value investing, abnormal returns, networks, hedge funds, market efficiency, Valueinvestorsclub.com, internet message boards

3.

The Investment Value of Contrarian Buy-Side Recommendations

Number of pages: 49 Posted: 14 Dec 2011 Last Revised: 27 Oct 2013
Steve Crawford, Wesley R. Gray, Bryan Johnson and Richard A. Price
University of Houston, Alpha Architect, Creighton University and University of Oklahoma
Downloads 2,273 (6,123)

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Hedge funds, buy-side analysts, sell-side analysts, stock recommendations

4.

Using Maximum Drawdowns to Capture Tail Risk

Number of pages: 22 Posted: 01 Mar 2013 Last Revised: 04 Mar 2013
Wesley R. Gray and Jack Vogel
Alpha Architect and Alpha Architect
Downloads 1,867 (8,555)
Citation 5

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empirical asset pricing, max drawdown, tail-risk, anomalies

5.

Does Complexity Imply Value? AAII Value Strategies from 1963 to 2013

Number of pages: 26 Posted: 18 Oct 2014
Wesley R. Gray, Jack Vogel and Yang Xu
Alpha Architect, Alpha Architect and affiliation not provided to SSRN
Downloads 1,674 (10,233)
Citation 1

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AAII, value investing, anomalies

6.

Facebook for Finance: Why do Investors Share Ideas via Their Social Networks?

Number of pages: 35 Posted: 23 Nov 2008 Last Revised: 02 Mar 2011
Wesley R. Gray
Alpha Architect
Downloads 687 (38,246)
Citation 1

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arbitrage, hedge funds, market efficiency, information exchange, social networks, loss aversion, crowded trades, Facebook

7.

Are You Trying Too Hard?

Number of pages: 24 Posted: 18 Aug 2014
Wesley R. Gray
Alpha Architect
Downloads 663 (40,113)
Citation 1

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Behavioral finance, psychology, cognitive bias

8.

Do Buy-Side Recommendations Have Investment Value?

AFA 2013 San Diego Meetings Paper
Number of pages: 66 Posted: 18 Mar 2012 Last Revised: 18 Sep 2012
Steve Crawford, Wesley R. Gray, Bryan Johnson and Richard A. Price
University of Houston, Alpha Architect, Creighton University and University of Oklahoma
Downloads 471 (62,285)
Citation 3

Abstract:

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hedge funds, buy-side analysts, sell-side analysts, stock recommendations

9.

Limited Attention and Asset Price Efficiency: Evidence from NYSE Opening and Closing Ceremonies

Number of pages: 40 Posted: 16 Mar 2013 Last Revised: 02 Nov 2014
Wesley R. Gray, Steve Crawford and Shastri Sandy
Alpha Architect, University of Houston and The Brattle Group
Downloads 180 (173,814)

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limited attention, Opening and Closing Bell, NYSE, behavioral finance, market efficiency

10.

Enhancing the Investment Performance of Yield-Based Strategies

https://doi.org/10.3905/joi.2014.23.2.044
Posted: 21 May 2019
Wesley R. Gray and Jack Vogel
Alpha Architect and Alpha Architect

Abstract:

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Dividends, Share Repurchases, Share buy-backs, net-debt paydown, shareholder yield

11.

Why Do Enterprise Multiples Predict Expected Stock Returns?

The Journal of Portfolio Management November 2019, 46 (1) 123-138; DOI: https://doi.org/10.3905/jpm.2019.1.105
Posted: 05 Oct 2016 Last Revised: 15 Jan 2020
Steve Crawford, Wesley R. Gray and Jack Vogel
University of Houston, Alpha Architect and Alpha Architect

Abstract:

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Value Investing, Value Anomaly, Enterprise Multiples, Abnormal Returns, Market Efficiency

12.

Analyzing Valuation Measures: A Performance Horse-Race Over the Past 40 Years

Journalof Portfolio Management, Forthcoming
Posted: 13 Dec 2011 Last Revised: 01 Oct 2012
Wesley R. Gray and Jack Vogel
Alpha Architect and Alpha Architect

Abstract:

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enterprise multiple, price to earnings, price to book, free cash flow, gross profits, valuation metrics

13.

Talking Your Book: Social Networks and Price Discovery

Posted: 23 Feb 2011 Last Revised: 17 Aug 2014
Wesley R. Gray and Andrew E. Kern
Alpha Architect and University of Missouri - Trulaske College of Business

Abstract:

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Networks, Hedge Funds, Market Efficiency