Resources
Reading List
Starter Kit
These publications are recommended for individuals who are new to the field of Quant management or students interested in the field
- Active Portfolio Management: A Quantitative Approach for Providing Superior Returns and Controlling Risk by Richard C. Grinold and Ronald N. Kahn
- Equity Management: Quantitative Analysis for Stock Selection by 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 by 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 by Louis K.C. Chan, Narasimhan Jegadeesh, and Josef Lakonishok Financial Analysts Journal, vol. 55, no. 6 (November/December 1999).
- Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency Narasimhan Jegadeesh, Sheridan Titman; JOF; Vol 48, #1, Mar 1993
- Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behaviour Mark Grinblatt, Sheridan Titman, Russ Wermers; The American Economic Review; Vol 85, #5, Dec 1995
- Understanding the Nature or Risks and the Source or Rewards to Momentum Investing Bruce Grundy and J. Spencer Martin; May 1998
Trading Cost
- The Implementation Shortfall: Paper Versus Reality Perold, Andre F. The Journal of Portfolio Management (Spring 1988), pp. 4- 9.
- “Defining and Measuring Trading Costs,” Execution Techniques, True Trading Costs, and the Microstructure of Markets.” Wagner, Wayne H. Association for Investment Management Research, 1993, pp 15- 23.
The following articles and publications are recommended for anyone interested in the field of quantitative investing
- The Great Divide over Market Efficiency-Asness & 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
