Posts by Wesley R. Gray, Ph.D.

The Ultimate Short Book.

May 17, 2011

Identifying Overvalued Equity Messod Beneish and Craig Nichols A version of the paper  can be found here. Live implementation data

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Backtesting Ben Graham

April 17, 2011

Charles Mizrahi, over at, suggested we backtest a simple Ben Graham strategy mentioned in a 1976 article he dug up

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Goodwill Gone Bad

April 9, 2011

Have Goodwill Accounting Gone Bad? Kevin Li and Richard Sloan A version of the paper  can be found here. Live

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Disasters and Investing

March 18, 2011

Sentiment and Stock Prices: The Case of Aviation Disasters Guy Kaplanski and Kaim Levy A version of the paper can

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Talking Your Book–Make it Part of Your Investment Program

March 11, 2011

"We study how professional investors use social networks to impound price-relevant information into asset prices. Exploiting novel data from an online social network that facilitates information sharing among fund managers, we find that long (short) recommendations released into the private network generate cumulative abnormal returns of 3.61% (-4.90%) over a twenty-day window. These results suggest that social networks play a direct role in facilitating the price discovery process."

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Kenyan Sex Markets and Behavioral Finance

March 6, 2011

"Though formal and informal sex work has long been identified as crucial for the spread of HIV/AIDS, the nature of the sex-for-money market remains poorly understood. Using a unique panel dataset constructed from 192 self-reported diaries, we find that women who engage in transactional sex substantially increase their supply of risky, better compensated sex to cope with unexpected health shocks, particularly the illness of another household member. These behavioral responses entail significant health risks for these women and their partners, and suggest that these women are unable to cope with risk through other consumption smoothing mechanisms."

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Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers

February 22, 2011

Discussion: In the academic literature, the highest book-to-market portfolio (value portfolio) has created controversy. On one hand, efficient market theorists believe the "value portfolio" outperforms the market because the portfolio is fundamentally riskier than the broader market. A pile of academic evidence suggests that this "market efficiency" hypothesis is correct.

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