Wesley Gray, Ph.D., assistant professor of finance, recently co-authored a book, Quantitative Value, which addresses intelligent investing and eliminating behavioral errors associated with choosing stocks.
Gray says the intention of the book is to take the best aspects from the disciplines of value investing and quantitative investing and apply them to a completely unique and winning approach to stock selection. “We thought there was a need for someone to synthesize the reams of academic research on investing and marry this with the popular value-investing philosophy. Our goal was to identify the optimal way to implement a systematic value-based investment strategy.”
To demystify their innovative approach, Gray and his co-author, Tobias Carlisle, founder and managing member of Eyquem Investment Management LLC, outline the framework for quantitative value investing, including the four key elements the investment process. Gray says these include: avoiding stocks that cause a permanent loss of capital; finding stocks with the highest quality; identifying deeply undervalued stocks; and identifying the five signals sent by ‘smart money.’
“I had spent the past 10-12 years collecting the research and thinking about this problem. The book is merely the capstone exercise for what has been an extraordinary long research project conducted over many years,” says Gray, who adds that the book came together in only six months.
The book is aimed at professional investors and professors that teach investments or financial management at the undergrad or MBA level, and is currently available on Amazon. It includes access to a companion website that offers a monthly-updated screening tool to find stocks using the model outlined in the book, an updated back-testing tool, and a blog about recent developments in quantitative value investing. In a review published by Amazon, Columbia University accounting professor Gil Sadka writes that the book is a “must read for any investor.”
Gray previously published a memoir titled Embedded, which recounts his eight-month tour as part of a Military Transition Team, working as an advisor to the Iraqi Army on location.