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Ferson, Wayne E.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
7,883 |
Total
Citations
1,183 |
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1.
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Spurious Regressions in Financial Economics?
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Ferson, Wayne E.
University of Southern California Sarkissian, Sergei
McGill University Simin, Timothy T.
Pennsylvania State University
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Posted:
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17 Oct 00
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Last Revised:
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28 Oct 10
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1,006
(9,304)
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154
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Ferson, Wayne E.
University of Southern California Sarkissian, Sergei
McGill University Simin, Timothy T.
Pennsylvania State University
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57
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154
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Ferson, Wayne E.
University of Southern California Sarkissian, Sergei
McGill University Simin, Timothy T.
Pennsylvania State University
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949
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154
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2.
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Conditioning Variables and the Cross-Section of Stock Returns
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Ferson, Wayne E.
University of Southern California Harvey, Campbell R.
Duke University - Fuqua School of Business
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Posted:
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20 Apr 99
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Last Revised:
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12 Oct 10
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942
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221
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Ferson, Wayne E.
University of Southern California Harvey, Campbell R.
Duke University - Fuqua School of Business
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34
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221
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Ferson, Wayne E.
University of Southern California Harvey, Campbell R.
Duke University - Fuqua School of Business
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908
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221
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3.
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Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds
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Ferson, Wayne E.
University of Southern California Khang, Kenneth
affiliation not provided to SSRN
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Posted:
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29 Oct 00
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Last Revised:
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26 Oct 10
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873
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69
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Ferson, Wayne E.
University of Southern California Khang, Kenneth
affiliation not provided to SSRN
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47
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68
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Ferson, Wayne E.
University of Southern California Khang, Kenneth
affiliation not provided to SSRN
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0
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Performance Evaluation, Pension Funds, Conditioning, Portfolio Weights
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Ferson, Wayne E.
University of Southern California Khang, Kenneth
affiliation not provided to SSRN
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826
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68
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4.
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Ferson, Wayne E.
University of Southern California Sarkissian, Sergei
McGill University Simin, Timothy T.
Pennsylvania State University
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616
(19,438)
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48
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Asset pricing, Factor models, Cross-sectional regressions, Arbitrage portfolios, Anomalies
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5.
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Ferson, Wayne E.
University of Southern California Kisgen, Darren J.
Boston College - Carroll School of Management Henry, Tyler R.
Miami University
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475
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6
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6.
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Performance Evaluation with Stochastic Discount Factors
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Farnsworth, Heber
Pennsylvania State University - Department of Finance Ferson, Wayne E.
University of Southern California Jackson, David
Carleton University - Eric Sprott School of Business Todd, Steven K.
Loyola University of Chicago
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Posted:
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14 Feb 02
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Last Revised:
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26 Oct 10
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402
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45
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Farnsworth, Heber
Pennsylvania State University - Department of Finance Ferson, Wayne E.
University of Southern California Jackson, David
Carleton University - Eric Sprott School of Business Todd, Steven K.
Loyola University of Chicago
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0
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Farnsworth, Heber
Pennsylvania State University - Department of Finance Ferson, Wayne E.
University of Southern California Jackson, David
Carleton University - Eric Sprott School of Business Todd, Steven K.
Loyola University of Chicago
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32
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45
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Farnsworth, Heber
Pennsylvania State University - Department of Finance Ferson, Wayne E.
University of Southern California Jackson, David
Carleton University - Eric Sprott School of Business Todd, Steven K.
Loyola University of Chicago
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370
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45
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Performance evaluation, stochastic discount factors, mutual funds, conditional asset pricing
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7.
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Economic, Financial and Fundamental Global Risk in and Out of the Emu
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Ferson, Wayne E.
University of Southern California Harvey, Campbell R.
Duke University - Fuqua School of Business
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Posted:
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09 Mar 99
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Last Revised:
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12 Oct 10
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352
(40,287)
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6
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Ferson, Wayne E.
University of Southern California Harvey, Campbell R.
Duke University - Fuqua School of Business
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327
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6
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Ferson, Wayne E.
University of Southern California Harvey, Campbell R.
Duke University - Fuqua School of Business
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25
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6
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8.
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Measuring the Timing Ability and Performance of Bond Mutual Funds
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Chen, Yong
Texas A&M University (TAMU) - Department of Finance Ferson, Wayne E.
University of Southern California Peters, Helen
Boston College - Department of Finance
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Posted:
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08 Sep 09
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Last Revised:
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07 Feb 10
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342
(41,714)
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14
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Chen, Yong
Texas A&M University (TAMU) - Department of Finance Ferson, Wayne E.
University of Southern California Peters, Helen
Boston College - Department of Finance
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327
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14
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Mutual funds, Market timing, Bond funds, Investment performance evaluation
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Chen, Yong
Texas A&M University (TAMU) - Department of Finance Ferson, Wayne E.
University of Southern California Peters, Helen
Boston College - Department of Finance
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15
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14
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9.
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Ferson, Wayne E.
University of Southern California
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342
(41,714)
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2
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Fixed income, mutual funds
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10.
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Evaluating Government Bond Fund Performance with Stochastic Discount Factors
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Ferson, Wayne E.
University of Southern California Henry, Tyler R.
Miami University Kisgen, Darren J.
Boston College - Carroll School of Management
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Posted:
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20 Jan 04
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Last Revised:
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29 Jul 10
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336
(42,632)
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24
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Ferson, Wayne E.
University of Southern California Henry, r R.
affiliation not provided to SSRN Kisgen, n J.
affiliation not provided to SSRN
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0
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Ferson, Wayne E.
University of Southern California Henry, Tyler R.
Miami University Kisgen, Darren J.
Boston College - Carroll School of Management
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336
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24
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11.
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Ferson, Wayne E.
University of Southern California Harvey, Campbell R.
Duke University - Fuqua School of Business
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271
(54,736)
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29
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International asset pricing, fundamental ratios, country risk, time-varying risk, valuation
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12.
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Mimicking Portfolios with Conditioning Information
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Ferson, Wayne E.
University of Southern California Siegel, Andrew F.
University of Washington - Department of Finance and Business Economics Xu, Tracy
University of Denver
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Posted:
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22 Jul 04
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Last Revised:
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13 Aug 10
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262
(56,846)
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14
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Ferson, Wayne E.
University of Southern California Siegel, Andrew F.
University of Washington - Department of Finance and Business Economics Xu, Tracy
University of Denver
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45
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14
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Ferson, Wayne E.
University of Southern California Siegel, Andrew F.
University of Washington - Department of Finance and Business Economics Xu, Tracy
University of Denver
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217
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14
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13.
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Testing Portfolio Efficiency with Conditioning Information
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Ferson, Wayne E.
University of Southern California Siegel, Andrew F.
University of Washington - Department of Finance and Business Economics
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Posted:
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30 Sep 02
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Last Revised:
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29 Jul 10
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244
(61,400)
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19
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Ferson, Wayne E.
University of Southern California Siegel, Andrew F.
University of Washington - Department of Finance and Business Economics
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0
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G11, G12, G23
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Ferson, Wayne E.
University of Southern California Siegel, Andrew F.
University of Washington - Department of Finance and Business Economics
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18
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19
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Ferson, Wayne E.
University of Southern California Siegel, Andrew F.
University of Washington - Department of Finance and Business Economics
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226
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19
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14.
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Ferson, Wayne E.
University of Southern California Lin, Jerchern
State University of New York (SUNY) - Financial & Managerial Economics
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233
(64,554)
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7
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alpha, performance measurement, investor heterogeneity, mutual funds, fund flows
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15.
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Stochastic Discount Factor Bounds with Conditioning Information
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Ferson, Wayne E.
University of Southern California Siegel, Andrew F.
University of Washington - Department of Finance and Business Economics
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Posted:
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08 Feb 02
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Last Revised:
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26 Oct 10
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193
(78,237)
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26
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Ferson, Wayne E.
University of Southern California Siegel, Andrew F.
University of Washington - Department of Finance and Business Economics
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28
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26
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Ferson, Wayne E.
University of Southern California Siegel, Andrew F.
University of Washington - Department of Finance and Business Economics
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165
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26
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volatility bounds, stochastic discount factors, finite sample bias, asset pricing, return
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16.
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The 'Out-of-Sample' Performance of Long-Run Risk Models
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Ferson, Wayne E.
University of Southern California Nallareddy, Suresh
University of Southern California - Marshall School of Business Xie, Biqin
University of Southern California - Marshall School of Business
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Posted:
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26 Sep 09
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Last Revised:
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15 Mar 11
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173
(86,889)
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5
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Ferson, Wayne E.
University of Southern California Nallareddy, Suresh
University of Southern California - Marshall School of Business Xie, Biqin
University of Southern California - Marshall School of Business
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54
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5
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Long-run risk models, Out-of-sample performance
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Ferson, Wayne E.
University of Southern California Nallareddy, Suresh
University of Southern California - Marshall School of Business Xie, Biqin
University of Southern California - Marshall School of Business
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| Posted: |
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26 Sep 09
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Last Revised:
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19 May 10
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119
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5
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Long-run risk models, Out-of-sample, Equity premium puzzle, Size effect, Book to market effect, Momentum, Reversals, Term premium, Default premium
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17.
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Ferson, Wayne E.
University of Southern California
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157
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1
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18.
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Ferson, Wayne E.
University of Southern California
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136
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22
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19.
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Weak and Semi-Strong Form Stock Return Predictability, Revisited
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Ferson, Wayne E.
University of Southern California Heuson, Andrea J.
University of Miami - Department of Finance Su, Tie
University of Miami - Department of Finance
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Posted:
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08 Sep 04
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Last Revised:
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17 Sep 10
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95
(141,342)
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3
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Ferson, Wayne E.
University of Southern California Heuson, Andrea J.
University of Miami - Department of Finance Su, Tie
University of Miami - Department of Finance
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55
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3
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Ferson, Wayne E.
University of Southern California Heuson, Andrea J.
University of Miami - Department of Finance Su, Tie
University of Miami - Department of Finance
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40
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3
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20.
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Ferson, Wayne E.
University of Southern California Korajczyk, Robert A.
Northwestern University - Kellogg School of Management
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| Posted: |
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10 Oct 98
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Last Revised:
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11 Apr 10
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90
(146,580)
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65
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21.
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Ferson, Wayne E.
University of Southern California Harvey, Campbell R.
Duke University - Fuqua School of Business
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66
(176,571)
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66
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22.
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Becker, Connie L.
affiliation not provided to SSRN Ferson, Wayne E.
University of Southern California Myers, David Hobson
Lehigh University Schill, Michael J.
University of Virginia - Darden Graduate School of Business Administration
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55
(193,778)
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67
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23.
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Constantinides, George M.
University of Chicago - Booth School of Business Ferson, Wayne E.
University of Southern California
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53
(197,129)
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94
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24.
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Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance
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Christopherson, Jon A.
Russell Investments Ferson, Wayne E.
University of Southern California Glassman, Debra A.
University of Washington - Michael G. Foster School of Business
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Posted:
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05 Nov 97
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Last Revised:
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29 Mar 08
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42
(217,881)
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90
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Christopherson, Jon A.
Russell Investments Ferson, Wayne E.
University of Southern California Glassman, Debra A.
University of Washington - Michael G. Foster School of Business
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42
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90
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Christopherson, Jon A.
Russell Investments Ferson, Wayne E.
University of Southern California Glassman, Debra A.
University of Washington - Michael G. Foster School of Business
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0
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25.
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Ferson, Wayne E.
University of Southern California Sarkissian, Sergei
McGill University Simin, Timothy T.
Pennsylvania State University
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37
(228,488)
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12
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26.
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Ferson, Wayne E.
University of Southern California Harvey, Campbell R.
Duke University - Fuqua School of Business
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31
(242,938)
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20
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27.
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Ferson, Wayne E.
University of Southern California Harvey, Campbell R.
Duke University - Fuqua School of Business
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23
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29
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28.
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Braun, Phillip A.
Chulalongkorn University - Faculty of Commerce and Accountancy Constantinides, George M.
University of Chicago - Booth School of Business Ferson, Wayne E.
University of Southern California
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13
(302,819)
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7
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29.
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Ferson, Wayne E.
University of Southern California Nallareddy, Suresh
Columbia Business School Xie, Biqin
University of Southern California - Marshall School of Business
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12
(306,423)
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5
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30.
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Aragon, George O.
Arizona State University (ASU) - Finance Department Ferson, Wayne E.
University of Southern California
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11
(309,860)
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11
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Portfolio performance, mutual fund performance, hedge funds, managed portfolios
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31.
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Ferson, Wayne E.
University of Southern California
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0
(352,731)
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mutual funds, hedge funds, bond funds, stochastic discount factors, portfolio holdings, bootstrap, market efficiency, portfolio management
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32.
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Ferson, Wayne E.
University of Southern California
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33.
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Ferson, Wayne E.
University of Southern California Sarkissian, Sergei
McGill University Simin, Timothy T.
Pennsylvania State University
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31 Mar 04
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Last Revised:
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27 Apr 12
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Dividend yield, valuation ratios, time series, yield spreads, predicting stock returns, asset allocation, market timing, active portfolio management
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34.
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Ferson, Wayne E.
University of Southern California Schadt, Rudi
INVESCO
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