NBER

Wayne E. Ferson

Department of Finance
and Business Economics
University of Southern California
3670 Trousdale Parkway Suite 308
Los Angeles, CA 90089-0804
Tel: 213/740-5615
Fax: 213/740-6650

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
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NBER Program Affiliations: AP
NBER Affiliation: Research Associate
Institutional Affiliation: University of Southern California

NBER Working Papers and Publications

August 2013Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity
with Jerchern Lin: w19349

Published: WAYNE FERSON & JERCHERN LIN, 2014. "Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity," The Journal of Finance, vol 69(4), pages 1565-1596.

February 2012The "Out of Sample" Performance of Long-run Risk Models
with Suresh K. Nallareddy, Biqin Xie: w17848

Published: "The 'out of sample' Performance of Long-run Risk Models," with Biqin Xie and Suresh Nallareddy, 2013, Journal of Financial Economics 107 (3) 537-556.

September 2009Measuring the Timing Ability and Performance of Bond Mutual Funds
with Yong Chen, Helen Peters: w15318

Published: "Measuring the Timing Ability and Performance of Bond Mutual Funds," with Yong Chen and Helen Peters, 2010, Journal of Financial Economics 98(1), 72-89.

October 2006Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression
with Sergei Sarkissian, Timothy Simin: w12658

Published: Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(02), pages 331-353, June. citation courtesy of

March 2006Testing Portfolio Efficiency with Conditioning Information
with Andrew F. Siegel: w12098

"Testing Portfolio Efficiency with Conditioning Information," with Andrew F. Siegel, 2009, Review of Financial Studies (forthcoming).

January 2005Mimicking Portfolios with Conditioning Information
with Andrew F. Siegel, Pisun (Tracy) Xu: w11020

Published: Ferson, Wayne, Andrew F. Siegel and Pisun Xu. "Mimicking Portfolios With Conditional Information," Journal of Financial and Quantitative Analysis, 2006, v41(3,Sep), 607-635.

Weak and Semi-Strong Form Stock Return Predictability Revisited
with Andrea Heuson, Tie Su: w11021

Published: Ferson, Wayne, Andrea Heuson and Tie Su. "Weak and Semi-strong Form Stock Return Predictability Revisited." Management Science 51 (2005): 1582-1592.

August 2004Weak and Semi-Strong Form Stock Return Predictability, Revisited
with Andrea Heuson, Tie Su: w10689

Published: Ferson, Wayne E., Andrea Heuson and Tie Su. "Weak and Semi-strong Form Stock Return Predictability Revisited." Management Science 51 (2005): 1582-1592.

January 2003Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance
w9441

Published: Constantinides, G.M., M. Harris, and R.M. Stulz. Handbook of the Economics of Finance: Financial Markets and Asset Pricing Volume 1B. North Holland, 2003.

September 2002Spurious Regressions in Financial Economics?
with Sergei Sarkissian, Timothy Simin: w9143

Published: Ferson, Wayne, Timothy Simin, and Sergei Sarkissian. "Spurious regressions in Financial Economics?" Journal of Finance 58 (August 2003): 1393-1414. citation courtesy of

February 2002Stochastic Discount Factor Bounds with Conditioning Information
with Andrew Siegel: w8789

Published: Ferson, Wayne E. and Andrew F. Siegel. "Stochastic Discount Factor Bounds With Conditioning Information," Review of Financial Studies, 2003, v16(2,Summer), 567-595. citation courtesy of

Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds
with Kenneth Khang: w8790

Published: Ferson, Wayne and Kenneth Khang. "Conditional Performance Measurement Using Portfolio Weights: Evidence For Pension Funds," Journal of Financial Economics, 2002, v65(2,Aug), 249-282.

Performance Evaluation with Stochastic Discount Factors
with Heber Farnsworth, David Jackson, Steven Todd: w8791

Published: Farnsworth, Heber, Wayne Ferson, David Jackson and Steven Todd. "Performance Evaluation With Stochastic Discount Factors," Journal of Business, 2002, v75(3,Jul), 473-503.

March 1999Conditioning Variables and the Cross-Section of Stock Returns
with Campbell R. Harvey: w7009

Published: Journal of Finance, Vol. 54 (1999): 1325-1360. citation courtesy of

February 1999Economic, Financial, and Fundamental Global Risk In and Out of the EMU
with Campbell R. Harvey: w6967

Published: Swedish Economic Policy Review, Vol. 6 (1999): 123-184.

February 1998Conditional Market Timing with Benchmark Investors
with Connie Becker, David Myers, Michael Schill: w6434

Published: Journal of Financial Economics, Vol. 52, no. 1 (April 1999): 119-148.

December 1996Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing
with Campbell R. Harvey: w5860

Published: Journal of Banking and Finance, Vol. 21 (1997): 1625-1665. citation courtesy of

November 1996Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance
with Jon A. Christopherson, Debra A. Glassman: w5830

Published: Review of Financial Studies, 1998, Volume 11, Number 1 Pp. 111-142 citation courtesy of

January 1994Sources of Risk and Expected Returns in Global Equity Markets
with Campbell R. Harvey: w4622

Published: Journal of Banking and Finance, 1994, pp. 775-803 citation courtesy of

An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns
with Campbell R. Harvey
in The Internationalization of Equity Markets , Jeffrey A. Frankel, editor
December 1993An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns
with Campbell R. Harvey: w4595

Published: The Internationalization of Equity Markets, Jeffrey A. Frankel, ed., pp. 59-138, (Chicago: University of Chicago Press: 1994).

June 1992Time Nonseparability in Aggregate Consumption: International Evidence
with Phillip A. Braun, George M. Constantinides: w4104

Published: European Economic Review, Vol. 37, no. 5 (1993): 897-920. citation courtesy of

February 1991Habit Persistence and Durability in Aggregate Consumption: Empirical Tests
with George M. Constantinides: w3631

Published: Journal of Financial Economics, Vol. 29, No. 2, pp. 199-240, (October 1991) citation courtesy of

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