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Recommended Reading

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.



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