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About the Authors of the q-factor Model


Prof. Kewei Hou is the Ric Dillon Endowed Professor in Investments, Professor of Finance, at Fisher College of Business, The Ohio State University. Prof. Hou's primary research interest is in the area of empirical asset pricing with a specialization in the predictability of asset returns. He has published in Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Accounting and Economics, Review of Finance, and Management Science. Prof. Hou is an Editor of  Journal of Empirical Finance, Associate Editor of Journal of Banking and Finance and Asia-Pacific Journal of Financial Studies, Faculty Research Fellow of the Charles A. Dice Center for Research in Financial Economics and the China Academy of Financial Research, and the recipient of research grants from the Institute for Quantitative Research in Finance (Q-Group), INQUIRE-Europe, INQUIRE-UK, BSI GAMMA Foundation, Chicago Quantitative Alliance, and Research Grants Council (RGC) of Hong Kong. Professor Hou joined Ohio State in 2001. He received his B.S. in Electrical Engineering from the University of Science and Technology of China (USTC) and his Ph.D. in Finance from the University of Chicago Booth School of Business. E-mail: hou.28@osu.edu. 

Prof. Chen Xue is Associate Professor of Finance at Lindner College of Business, University of Cincinnati. Prof. Xue's main research interests include empirical asset pricing, asset management, and real estate finance. He has published in Review of Financial Studies, Review of Finance, and Journal of Real Estate Finance and Economics. His work has been featured by the Wall Street Journal, Bloomberg and The Economist and has won the second prize at the Chicago Quantitative Alliance Annual Academic Competition in both 2015 and 2017. In 2019, his paper titled “Which Factors?” won the Spängler IQAM Prize for the best investment paper published at the Review of Finance. In 2018, he received the Lindner Research Excellence Emerging Scholar Award. As of November 2019, Prof. Xue’s research has been cited over 1,500 times on Google Scholar. In 2016, he received the Daniel J. Westerbeck Junior Faculty Graduate Teaching Award. Prof. Xue earned a PhD in Finance from the University of Michigan in 2012. E-mail: xuecx@ucmail.uc.edu.

Prof. Lu Zhang is the John W. Galbreath Chair, Professor of Finance, at Fisher College of Business, The Ohio State University, as well as Research Associate at National Bureau of Economic Research and Associate Editor for Journal of Financial Economics and Journal of Financial and Quantitative Analysis. He is Founding President of Macro Finance Society, which is an international academic society devoted to advancing and disseminating high-quality research at the intersection of financial economics and macroeconomics. Before joining Ohio State in 2010, he taught at Stephen M. Ross School of Business at University of Michigan and William E. Simon Graduate School of Business Administration at University of Rochester. Prof. Zhang’s research focuses on asset pricing, in connection with macroeconomics, corporate finance, labor economics, and capital markets research in accounting. He has published extensively at prestigious academic journals. One chapter of his doctoral thesis "The value premium" won the Smith-Breeden Award for Best Paper for 2005 from American Financial Association and Journal of Finance. His article on "Which factors?" won the Spängler IQAM Prize for the best investment paper published at Review of Finance from European Finance Association. His academic research has been frequently featured in prominent media outlets such as The Wall Street Journal, Bloomberg, Shanghai Financial News, and The Economist. In 2015, Prof. Zhang was voted the Outstanding Working Professional MBA Elective Faculty Award recipient at Fisher College of Business. E-mail: zhanglu@fisher.osu.edu.


Practical Impact on Investment Management

Lu Zhang on the evolution of asset pricing models and his first principles approach to improve them, validea.com, November 22, 2021

Quantitative vs. fundamental analysis: Finance's 60 year schism, Rafael Resendes, The market, August 23, 2021

What happened to price-to-book ratio in value investing? Nir Kaissar, Bloomberg, July 21, 2021

Amazon and other tech giants buck the empire trap, Nir Kaissar, Bloomberg, June 3, 2021

The impact of investor sentiment on equity returns, Larry Swedroe, seekingalpha.com, May 3, 2021

Building a better q-factor asset pricing model, Larry Swedroe, alpha architect blog, April 22, 2021

Scientific virtues, Lu Zhang, theinvestmentcapm.com, April 11, 2021

Is asset pricing scientific? Lu Zhang, theinvestmentcapm.com, April 3, 2021

Rafael Resendes on intrinsic value, economic margin and how some value models have lost their way, Jack Forehand and Justin Carbonneau, blog.validea.com, March 25, 2021

Academic research spotlight: Replicating anomalies by Lu Zhang, Chen Xue, and Kewei Hou (Ep. 73), Jack Forehand and Justin Carbonneau, blog.validea, March 1, 2021

Non-technical summary: An augmented q-factor model with expected growth, Review of Finance, February 25, 2021

Replication failures of asset pricing anomalies, Quantitative investing and machine learning, in Chinese, February 3, 2021

Has the size premium disappeared? by Larry Swedroe, advisorperspectives.com, November 30, 2020

Who buys lottery stocks? You'll be surprised, by Larry Swedroe, advisorperspectives.com, October 20, 2020

There's more big tech in your life than you ever know. Check out your stock portfolios, by Jim Zarroli, npr.org, August 20, 2020

Economic intuitions behind the q-factors, by Larry Swedroe, seekingalpha.com, August 15, 2020

Markets are more efficient than you think, by Larry Swedroe, evidenceinvestor.com, August 14, 2020

Does asset growth predict stock returns? by Larry Swedroe, seekingalpha.com, July 17, 2020

Most "smart betas" are not smart, by Zhijian Wu, in Chinese, FTChinese, July 9, 2020

Opinion: Here are your odds the stock market will be higher on Dec. 31, by Mark Hulbert, MarketWatch.com, June 30, 2020

5 surprising things we learned from a factor investing expert, by Wesley Gray, alpha architect blog, June 11, 2020

New research to identify which stocks will "crash," by Larry Swedroe, Advisor Perspectives, March 16, 2020

The q-factor model for equity returns, by Ralph Sueppel, Systemic Risk and Systematic Value, January 25, 2020

Another take on q-factors and investment CAPM, by Tyler Cowen, Marginal Revolution, December 14, 2019

q-factors and investment CAPM, by Tyler Cowen, Marginal Revolution, December 13, 2019

The investment premium: Another factor of expected returns, by Murray Coleman, Index Fund Advisors, December 3, 2019

The investment factor and expected returns, by Larry Swedroe, alpha architect blog, November 14, 2019

Investment, expected investment, and expected stock returns, by Lu Zhang, alpha architect blog, November 12, 2019

Lu's presentation on “The investment CAPM: Latest developments," Financial Markets and Corporate Decisions Conference 2019, Swedish House of Finance, YouTube video published on August 28, 2019

Does leverage explain the investment premium? by Larry Swedroe, alpha architect blog, June 13, 2019

The mystery of the missing Berkshire Hathaway invite, by Richard Teitelbaum, Institutional Investor, May 7, 2019

Deep dive into the value factor, Larry Swedroe, alpha architect blog, May 2, 2019

3 tips to generate alpha in smaller stocks, Kurtis Hemmerling, Seeking Alpha, April 25, 2019

Five questions: An academic look at factors with Lu Zhang, Validea's Guru Investor Blog, April 21, 2019, ETF trends, Fox Business, April 24, 2019

Understanding the investment factor, ETF.com, by Larry Swedroe, February 6, 2019

Which factors? by Amit Goyal, Review of Finance Managing Editor's Blog, February 5, 2019

Five questions: Multi-factor investing with Liqian Ren, Validea's Guru Investor Blog, January 14, 2019

Voices: An unflattering truth about index funds, by Nir Kaissar, financial-planning.com, December 26, 2018

Professor has some questions about your index funds, Bloomberg, by Nir Kaissar, December 24, 2018

How to best invest in small stocks, Wall Street Journal, by Wesley Gray, December 19, 2018

These tools for picking stocks sometimes even work, Washington Post, by Nir Kaissar and Noah Smith, December 17, 2018


Most reported anomalies fail to hold up, Lu's interview with Robeco Quarterly, September 25, 2018

Value investing vs momentum investing: Watch out for the market's mood swings, MoneyWeek.com, by John Stepek, August 6, 2018


Factor investing insights you won't hear from Fama and French, Lu's interview with Wesley Gray, alpha architect blog, July 25, 2018

Rediscovering size effect, ETF.com, by Larry Swedroe, June 15, 2018

Factor investing customized for you, Barron's, by Jack Hough, April 6, 2018

Stock buybacks are bad? What about the alternative - investment, alpha architect blog, by Jack Vogel, March 20, 2018


'Factor investing' gains popularity, The Economist, February 1, 2018
 
The value effect and macroeconomic risk, alpha architect blog, by Larry Swedroe, January 9, 2018

Intro to fusion trading, by Arun Chopra, SeekingAlpha.com, December 27, 2017
 
Finding the source of value, by Larry Swedroe, ETF.com, November 29, 2017


A reality check on stock-market ‘anomalies’, by Wesley Gray, The Wall Street Journal, November 5, 2017
 
Asset type matters with factors, ETF.com, by Larry Swedroe, October 30, 2017 
 
Want to learn more about factor investing? Read this, ValueWalk.com, by alpha architect blog, October 26, 2017
 
Factor investing conversation with Lu Zhang, Lu's interview with Wesley Gray, alpha architect blog, October 26, 2017
 
Takeaways from a non-phd who powered through a 144-page factor investing paper, alpha architect blog, by Ryan Kirlin, October 25, 2017
 

Retesting investment anomalies with Dr. Lu Zhang, by Jeremy Schwartz, wisdomtree.com, October 17, 2017
 
Replicating anomalies, ValueWalk.com, by alpha architect blog, October 15, 2017
 
Podcast: Behind the Markets on Wharton Business Radio, hosted by Jeremy Schwartz and Wesley Gray, October 13, 2017
 
Replicating anomalies, alpha architect blog, by Wesley Gray, October 13, 2017
 
A 5 factor evaluation, ETF.com, by Larry Swedroe, September 25, 2017

Value investing: Timeless reading, ValueWalk.com, August 7, 2017

 
Issuing securities hurts returns, ETF.com, by Larry Swedroe, July 31, 2017

Replicating anomalies, hedge.lu.com, July 3, 2017
 
Attention aux fake strategies smart beta, Associés en Finance, by
Bertrand Jacquillat, in French, June 30, 2017
 
Replicating anomalies in financial markets with Hou, Xue, and Zhang, The Economics Detective Radio, June 30, 2017
 
Bursting the big data bubble… with theory, RealClearAgriculture.com, June 23, 2017
 
Replicating scientific research: Ugly truth, True Economics, June 16, 2017
 
Hou, Xue, and Zhang: Replication controversies in finance and accounting, The Replication Network, June 14, 2017
 
Financial anomalies are contingent on being unknown, Statistical Modeling, Causal Inference, and Social Science, by Andrew Gelman, June 10, 2017
 
Are markets efficient if you are a particle physicist? Prof. Jayanth R. Varma’s Financial Markets Blog, June 7, 2017


One by one, the anti-EMH arguments collapse, TheMoneyIllusion.com, May 25, 2017
 
"What’d You Miss?" (57:29), Bloomberg, May 24, 2017
 
A practical approach to factor-based investing, The Globe and Mail, by John Reese, May 23, 2017
 
Most stock anomalies fake news? CXO Advisory, May 23, 2017
 
All about microcaps, Daily Speculations, May 23, 2017
 

Problems with the factor zoo, by Larry Swedroe, ETF.com, May 19, 2017
 
P-hacking versus skin in the game: How can understanding incentive structures help us think about market efficiency? Episodeblog.com, Allocationblog.com, May 16, 2017

The indexing fad: Market indexes now outnumber US stocks, complicating matters for would-be passive investors, fisherinvestments.com, by Elisabeth Dellinger, May 15, 2017
 
Weekly top 5 papers, The SSRN Blog, May 15, 2017
 
P-hacking in anomaly research,
himaginary.hatenablog.com, in Japanese, May 15, 2017
 
Most supposed market anomalies don’t exist, or are too small to matter, FamilyWealth news, May 15, 2017
 
Which anomalies are legit? Portfolio123.com, May 14, 2017
 
Kicking the tires of market anomalies, by James Mackintosh, The Wall Street Journal, Business & Finance B1-B2, May 12, 2017 [pdf]
 
When researchers and investors walk into a bar, the investors get hammered, by Jason Zweig, The Wall Street Journal, May 12, 2017
 
Active manager lags despite research, by Larry Swedroe, ETF.com, May 12, 2017
 
WSJ: Most market anomalies academics have identified don’t exist, Bogleheads.org, May 11, 2017
 
An algorithm, an ETF and an academic study walk into a bar, by James Mackintosh, The Wall Street Journal, May 11, 2017
 
Ivory tower wonks help traders make a quick buck, by Noah Smith, Bloomberg, May 11, 2017
 
Cleaning out the factor zoo, by James Picerno, The Capital Spectator, May 11, 2017, Investing.com, May 11, 2017, Seeking Alpha, May 12, 2017
 
Half anomalies are fantasy of the discoverers, IEXProfs, in Dutch, May 11, 2017
 

Do you think behavioral anomalies will persist? Bogleheads.org, May 10, 2017
 
Do trading costs destroy factor investing? ValueWalk.com, by alpha architect blog, May 10, 2017
 
How to make trouble, Anti-Dismal.com, May 9, 2017
 

Anomalies, pitches, and promises, by Matt Levine, Bloomberg, May 9, 2017
 
Research paper says most market anomalies are imaginary, by Eric Weiner, The Globe and Mail, May 9, 2017 
 
Forget factors, paper says most market anomalies are imaginary, by Eric Weiner, Bloomberg, May 9, 2017
 
A new paper just took a huge shot at some of the world’s hottest investments, by Eric Weiner, Bloomberg, May 8, 2017 

Market anomalies fail to replicate, MarginalRevolution.com, May 8, 2017
 

Factor investing is more art, and less science, by Wesley Gray, alpha architect blog, February 3, 2017 
 
A new four-factor investing model, by Larry Swedroe, BAM Intelligence, June 22, 2016 
 
 
Battle of new factor models, by Larry Swedroe, ETF.com, August 7, 2015
 
Is outperforming the market alpha or beta? by Larry Swedroe and Andrew Berkin, The AAII Journal, American Association of Individual Investors, June 2015 

The lighter side of the profitability factor, ETF.com, by Wesley Gray, June 16, 2015
 
Using profitability as a factor? Perhaps you should think twice…, by Wesley Gray, alpha architect blog, June 10, 2015  
 
Passive investing’s foundations, by Larry Swedroe, ETF.com, December 8, 2014 
 
A new benchmark model for estimating expected stock returns, Oxford University Press, by Kewei Hou, Chen Xue, and Lu Zhang, November 12, 2014 
 
Stock anomaly smorgasbord -- Wow! by Wesley Gray, alpha architect blog, November 7, 2014 
 
Improving on Fama-French, by Larry Swedroe, ETF.com, March 21, 2014 
 
Challenge to the Fama French three factor model, Bogleheads.org, October 6, 2012





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