These publications and articles are recommended for individuals who are new to the field of Quant management, students interested in the field, or anyone looking to deepen their knowledge of quantitative investing.

Starter Kit

Active Portfolio Management: A Quantitative Approach for Providing Superior Returns and Controlling Risk
Richard C. Grinold and Ronald N. Kahn

Equity Management: Quantitative Analysis for Stock Selection
Bruce I. Jacobs and Kenneth N. Levy, with Foreword by Harry M. Markowitz

Equity Management: The Art and Science of Modern Quantitative Investing — 2nd Edition
Bruce Jacobs and Kenneth N. Levy

AIMR Conference Proceedings — Developments in Quantitative Investment Models (April 17, 2001)

Valuation

Accounting Valuation, Market Expectation and Cross-Sectional Stock Returns
Richard Frankel and Charles M. C. Lee
The Journal of Accounting and Economics, Volume 25 (1998), 283-319

Value Investing: The Use of Historical Financial Information to Separate Winners from Losers
Joseph D. Piotroski
The Journal of Accounting Research, Volume 38 (Supplement), (2000), 1-41

Earnings

Do Stock Prices Fully Reflect Information in Cash Flows and Accruals About Future Earnings?
Richard G. Sloan
The Accounting Review, Volume 71, Issue 3 (July 1996), 289-315

Information in Accruals About Earnings Persistence and Future Stock Returns
Scott A. Richardson, Richard G. Sloan, Mark T. Soliman, and Irem Tuna
Working Paper (December 2002)

Changes in Consensus Earnings Estimates and Their Impact on Stock Returns
Langdon Wheeler
The Handbook of Corporate Earnings Analysis, Probus Pub Co., Chicago 1994, Chap. 7, pp. 63–83

Price Momentum

The Profitability of Momentum Strategies
Louis K.C. Chan, Narasimhan Jegadeesh, and Josef Lakonishok
Financial Analysts Journal, vol. 55, no. 6 (Nov/Dec 1999)

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
Narasimhan Jegadeesh and Sheridan Titman
Journal of Finance, Vol. 48, No. 1 (Mar 1993)

Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behaviour
Mark Grinblatt, Sheridan Titman, and Russ Wermers
The American Economic Review, Vol. 85, No. 5 (Dec 1995)

Understanding the Nature of Risks and the Source of Rewards to Momentum Investing
Bruce Grundy and J. Spencer Martin
May 1998

Trading Cost

The Implementation Shortfall: Paper Versus Reality
Andre F. Perold
The Journal of Portfolio Management (Spring 1988), pp. 4–9

Defining and Measuring Trading Costs
Wayne H. Wagner
“Execution Techniques, True Trading Costs, and the Microstructure of Markets,” Association for Investment Management Research (1993), pp. 15–23

Additional Articles and Publications

The Great Divide over Market Efficiency
Cliff Asness & John Liew
Institutional Investor, March 2014

Uses of Quantitative Investment Strategies in Asia
Commissioned by BlackRock

Quantitative Investment and Risk Management: Where Does it Go from Here?
Panel Discussion Highlights from the 2013 Applied Finance Conference

Quantitative Investing: A Perspective of the Last 40 Years
Mellon Capital Investment Perspective, December 2013

Quantitative Investing — Will Quants Strike Back?
Towers Watson

Equity Management: The Art and Science of Modern Quantitative Investing, Second Edition
Jacobs Levy Equity Management