Wesley R. Gray

Alpha Architect

Team Leader

19 East Eagle Road

Havertown, PA 19083

United States

http://https://alphaarchitect.com/

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 4,034

SSRN RANKINGS

Top 4,034

in Total Papers Downloads

17,723

SSRN CITATIONS
Rank 40,656

SSRN RANKINGS

Top 40,656

in Total Papers Citations

13

CROSSREF CITATIONS

10

Scholarly Papers (13)

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 5,382 (3,048)
Citation 1

Abstract:

Loading...

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 3,302 (6,951)
Citation 3

Abstract:

Loading...

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
University of Houston, Alpha Architect, Creighton University and University of Oklahoma
Downloads 2,440 (11,155)

Abstract:

Loading...

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 2,218 (13,046)
Citation 7

Abstract:

Loading...

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 Alpha Architect
Downloads 1,891 (16,718)
Citation 1

Abstract:

Loading...

AAII, value investing, anomalies

6.

Are You Trying Too Hard?

Number of pages: 24 Posted: 18 Aug 2014
Wesley R. Gray
Alpha Architect
Downloads 856 (53,526)
Citation 1

Abstract:

Loading...

Behavioral finance, psychology, cognitive bias

7.

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 826 (56,223)
Citation 1

Abstract:

Loading...

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

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
University of Houston, Alpha Architect, Creighton University and University of Oklahoma
Downloads 571 (90,356)
Citation 3

Abstract:

Loading...

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 237 (239,837)

Abstract:

Loading...

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

10.

Enhancing the Investment Performance of Yield-Based Strategies

Posted: 21 May 2019
Wesley R. Gray and Jack Vogel
Alpha Architect and Alpha Architect

Abstract:

Loading...

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:

Loading...

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:

Loading...

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:

Loading...

Networks, Hedge Funds, Market Efficiency