Wayne E. Ferson

University of Southern California

Professor of Finance

2250 Alcazar Street

Los Angeles, CA 90089

United States

http://www-rcf.usc.edu/~ferson/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • University of Southern California

SCHOLARLY PAPERS

38

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CITATIONS
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918

Scholarly Papers (38)

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1.

Spurious Regressions in Financial Economics?

Downloads 1,079 ( 19,211)
Citation 143

Spurious Regressions in Financial Economics?

AFA 2001 New Orleans Meetings
Number of pages: 31 Posted: 17 Oct 2000
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 984 (21,590)
Citation 2

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Spurious Regressions in Financial Economics?

NBER Working Paper No. w9143
Number of pages: 36 Posted: 06 Sep 2002 Last Revised: 28 Oct 2010
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 95 (274,601)
Citation 4

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2.

Conditioning Variables and the Cross-Section of Stock Returns

Downloads 1,078 ( 19,228)
Citation 9

Conditioning Variables and the Cross-Section of Stock Returns

Fuqua School of Business Working Paper No. 9902
Number of pages: 56 Posted: 20 Apr 1999
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 1,020 (20,472)
Citation 7

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Conditioning Variables and the Cross-Section of Stock Returns

NBER Working Paper No. w7009
Number of pages: 60 Posted: 28 Jun 2000 Last Revised: 12 Oct 2010
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 58 (365,834)

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3.

Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds

Downloads 949 ( 23,181)
Citation 62

Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds

AFA 2001 New Orleans
Number of pages: 47 Posted: 29 Oct 2000
Wayne E. Ferson and Kenneth Khang
University of Southern California and University of Wisconsin - Milwaukee
Downloads 877 (25,576)

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Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds

NBER Working Paper No. w8790
Number of pages: 58 Posted: 14 Feb 2002 Last Revised: 26 Oct 2010
Wayne E. Ferson and Kenneth Khang
University of Southern California and University of Wisconsin - Milwaukee
Downloads 72 (325,902)

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Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds

Journal of Financial Economics, Forthcoming
Posted: 25 Feb 2002
Wayne E. Ferson and Kenneth Khang
University of Southern California and University of Wisconsin - Milwaukee

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Performance Evaluation, Pension Funds, Conditioning, Portfolio Weights

4.

The Alpha Factor Asset Pricing Model: A Parable

Number of pages: 36 Posted: 29 Jun 2005
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 736 (33,129)
Citation 2

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Asset pricing, Factor models, Cross-sectional regressions, Arbitrage portfolios, Anomalies

5.

Evaluating Fixed Income Fund Performance with Stochastic Discount Factors

EFA 2003 Annual Conference Paper No. 486
Number of pages: 81 Posted: 28 Jul 2003
Wayne E. Ferson, Darren J. Kisgen and Tyler R. Henry
University of Southern California, Boston College - Carroll School of Management and Miami University
Downloads 535 (50,476)
Citation 7

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6.

Performance Measurement with Market and Volatility Timing and Selectivity

Number of pages: 41 Posted: 15 Mar 2012
Wayne E. Ferson
University of Southern California
Downloads 454 (62,091)
Citation 4

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7.

Measuring the Timing Ability and Performance of Bond Mutual Funds

Downloads 454 ( 62,091)
Citation 34

Measuring the Timing Ability and Performance of Bond Mutual Funds

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 12 Oct 2009
Yong Chen, Wayne E. Ferson and Helen Peters
Texas A&M University - Department of Finance, University of Southern California and Boston College - Department of Finance
Downloads 426 (66,411)

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Mutual funds, Market timing, Bond funds, Investment performance evaluation

Measuring the Timing Ability and Performance of Bond Mutual Funds

NBER Working Paper No. w15318
Number of pages: 50 Posted: 08 Sep 2009 Last Revised: 08 Oct 2009
Yong Chen, Wayne E. Ferson and Helen Peters
Texas A&M University - Department of Finance, University of Southern California and Boston College - Department of Finance
Downloads 28 (487,772)

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8.

Performance Evaluation with Stochastic Discount Factors

Downloads 424 ( 67,401)
Citation 33

Performance Evaluation with Stochastic Discount Factors

Number of pages: 38 Posted: 26 Feb 2002
Heber Farnsworth, Wayne E. Ferson, David Jackson and Steven K. Todd
University of Oklahoma - Michael F. Price College of Business, University of Southern California, Carleton University - Eric Sprott School of Business and Loyola University of Chicago
Downloads 384 (75,160)

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Performance evaluation, stochastic discount factors, mutual funds, conditional asset pricing

Performance Evaluation with Stochastic Discount Factors

NBER Working Paper No. w8791
Number of pages: 50 Posted: 14 Feb 2002 Last Revised: 26 Oct 2010
Heber Farnsworth, Wayne E. Ferson, David Jackson and Steven K. Todd
University of Oklahoma - Michael F. Price College of Business, University of Southern California, Carleton University - Eric Sprott School of Business and Loyola University of Chicago
Downloads 40 (430,918)

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Performance Evaluation with Stochastic Discount Factors

Journal of Business, Vol. 75, No. 3, July 2002
Posted: 17 Apr 2002
Heber Farnsworth, Wayne E. Ferson, David Jackson and Steven K. Todd
University of Oklahoma - Michael F. Price College of Business, University of Southern California, Carleton University - Eric Sprott School of Business and Loyola University of Chicago

Abstract:

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9.

The Timing Ability of Fixed Income Mutual Funds

EFA 2005 Moscow Meetings Paper
Number of pages: 54 Posted: 26 Feb 2005
Wayne E. Ferson
University of Southern California
Downloads 397 (72,962)
Citation 9

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Fixed income, mutual funds

10.

Evaluating Government Bond Fund Performance with Stochastic Discount Factors

Downloads 397 ( 72,962)
Citation 5

Evaluating Government Bond Fund Performance with Stochastic Discount Factors

14th Annual Conference on Financial Economics and Accounting (FEA)
Number of pages: 87 Posted: 20 Jan 2004
Wayne E. Ferson, Tyler R. Henry and Darren J. Kisgen
University of Southern California, Miami University and Boston College - Carroll School of Management
Downloads 397 (72,295)
Citation 5

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Evaluating Government Bond Fund Performance with Stochastic Discount Factors

The Review of Financial Studies, Vol. 19, Issue 2, pp. 423-455, 2006
Posted: 29 Feb 2008
Wayne E. Ferson, r R. Henry and n J. Kisgen
University of Southern California, affiliation not provided to SSRN and affiliation not provided to SSRN

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11.

Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity

Downloads 389 ( 74,714)
Citation 15

Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity

Journal of Finance, Forthcoming
Number of pages: 90 Posted: 11 Mar 2011 Last Revised: 11 Aug 2013
Wayne E. Ferson and Jerchern Lin
University of Southern California and Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law
Downloads 373 (77,731)
Citation 3

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alpha, performance measurement, investor heterogeneity, mutual funds, fund flows

Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity

NBER Working Paper No. w19349
Number of pages: 53 Posted: 24 Aug 2013
Wayne E. Ferson and Jerchern Lin
University of Southern California and Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law
Downloads 16 (562,725)

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12.

Economic, Financial and Fundamental Global Risk in and Out of the Emu

Downloads 375 ( 77,892)
Citation 1

Economic, Financial and Fundamental Global Risk in and Out of the Emu

Fuqua School of Business Working Paper No. 9901
Number of pages: 52 Posted: 28 Apr 1999
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 340 (86,687)
Citation 1

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Economic, Financial, and Fundamental Global Risk in and Out of the Emu

NBER Working Paper No. w6967
Number of pages: 53 Posted: 09 Mar 1999 Last Revised: 12 Oct 2010
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 35 (452,752)

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13.

Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing

Number of pages: 60 Posted: 27 Oct 2005
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 312 (96,014)
Citation 1

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International asset pricing, fundamental ratios, country risk, time-varying risk, valuation

14.

Mimicking Portfolios with Conditioning Information

Downloads 299 (100,482)
Citation 14

Mimicking Portfolios with Conditioning Information

EFA 2004 Maastricht Meetings Paper No. 2478
Number of pages: 19 Posted: 22 Jul 2004
Wayne E. Ferson, Andrew F. Siegel and Tracy Xu
University of Southern California, University of Washington - Department of Finance and Business Economics and University of Denver
Downloads 245 (123,509)

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Mimicking Portfolios with Conditioning Information

NBER Working Paper No. w11020
Number of pages: 51 Posted: 01 Feb 2005 Last Revised: 13 Aug 2010
Wayne E. Ferson, Andrew F. Siegel and Tracy Xu
University of Southern California, University of Washington - Department of Finance and Business Economics and University of Denver
Downloads 54 (379,151)
Citation 1

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15.

Testing Portfolio Efficiency with Conditioning Information

Downloads 267 (113,444)
Citation 9

Testing Portfolio Efficiency with Conditioning Information

AFA 2003 Washington, DC Meetings
Number of pages: 53 Posted: 30 Sep 2002
Wayne E. Ferson and Andrew F. Siegel
University of Southern California and University of Washington - Department of Finance and Business Economics
Downloads 241 (125,615)
Citation 2

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Testing Portfolio Efficiency with Conditioning Information

NBER Working Paper No. w12098
Number of pages: 54 Posted: 14 May 2006 Last Revised: 24 Jul 2010
Wayne E. Ferson and Andrew F. Siegel
University of Southern California and University of Washington - Department of Finance and Business Economics
Downloads 26 (499,312)

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Testing Portfolio Efficiency with Conditioning Information

The Review of Financial Studies, Vol. 22, Issue 7, pp. 2535-2558, 2009
Posted: 22 Jun 2009
Wayne E. Ferson and Andrew F. Siegel
University of Southern California and University of Washington - Department of Finance and Business Economics

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G11, G12, G23

16.

The 'Out-of-sample' Performance of Long-Run Risk Models

Downloads 225 (134,950)
Citation 2

The 'Out-of-sample' Performance of Long-Run Risk Models

Marshall School of Business Working Paper No. FBE 33-09
Number of pages: 53 Posted: 26 Sep 2009 Last Revised: 19 May 2010
Wayne E. Ferson, Suresh Nallareddy and Biqin Xie
University of Southern California, Columbia university and Pennsylvania State University
Downloads 154 (190,493)
Citation 1

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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

The 'Out-of-Sample' Performance of Long-Run Risk Models

Number of pages: 67 Posted: 15 Mar 2011
Wayne E. Ferson, Suresh Nallareddy and Biqin Xie
University of Southern California, Columbia university and Pennsylvania State University
Downloads 71 (328,603)
Citation 1

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Long-run risk models, Out-of-sample performance

17.

Stochastic Discount Factor Bounds with Conditioning Information

Downloads 210 (144,131)
Citation 20

Stochastic Discount Factor Bounds with Conditioning Information

Number of pages: 52 Posted: 08 Feb 2002
Wayne E. Ferson and Andrew F. Siegel
University of Southern California and University of Washington - Department of Finance and Business Economics
Downloads 177 (168,760)

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volatility bounds, stochastic discount factors, finite sample bias, asset pricing, return

Stochastic Discount Factor Bounds with Conditioning Information

NBER Working Paper No. w8789
Number of pages: 48 Posted: 14 Feb 2002 Last Revised: 26 Oct 2010
Wayne E. Ferson and Andrew F. Siegel
University of Southern California and University of Washington - Department of Finance and Business Economics
Downloads 33 (461,930)

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18.

Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance

NBER Working Paper No. w9441
Number of pages: 98 Posted: 16 Jan 2003 Last Revised: 20 Jun 2009
Wayne E. Ferson
University of Southern California
Downloads 158 (186,108)

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19.

Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?

Journal of Business, Vol. 68, No. 3, July 1995
Number of pages: 80 Posted: 10 Oct 1998 Last Revised: 11 Apr 2010
Wayne E. Ferson and Robert A. Korajczyk
University of Southern California and Northwestern University
Downloads 127 (221,994)
Citation 1

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20.

Weak and Semi-Strong Form Stock Return Predictability Revisited

Downloads 113 (242,072)
Citation 3

Weak and Semi-Strong Form Stock Return Predictability Revisited

NBER Working Paper No. w11021
Number of pages: 33 Posted: 01 Feb 2005 Last Revised: 14 Aug 2010
Wayne E. Ferson, Andrea J. Heuson and Tie Su
University of Southern California, University of Miami - Department of Finance and University of Miami - Department of Finance
Downloads 66 (342,154)

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Weak and Semi-Strong Form Stock Return Predictability, Revisited

NBER Working Paper No. w10689
Number of pages: 35 Posted: 08 Sep 2004 Last Revised: 17 Sep 2010
Wayne E. Ferson, Andrea J. Heuson and Tie Su
University of Southern California, University of Miami - Department of Finance and University of Miami - Department of Finance
Downloads 47 (403,506)

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21.

The Variation of Economic Risk Premiums

This paper is published in The Journal of Political Economy, 99:2, (1991), pp. 385-415
Number of pages: 24 Posted: 13 Nov 2018 Last Revised: 18 Apr 2019
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 102 (263,557)
Citation 8

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Factor timing, Predicting returns, Market timing, Factor premiums, Risk aversion, Risk premiums, Business cycle, Factor investing, Macro factors, Market efficiency

22.

Sources of Risk and Expected Returns in Global Equity Markets

NBER Working Paper No. w4622
Number of pages: 45 Posted: 10 Jul 2000 Last Revised: 24 Aug 2010
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 100 (263,557)
Citation 2

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23.

Conditional Market Timing with Benchmark Investors

NBER Working Paper No. w6434
Number of pages: 53 Posted: 01 Aug 2000 Last Revised: 08 Oct 2010
Connie L. Becker, Wayne E. Ferson, David Hobson Myers and Michael J. Schill
affiliation not provided to SSRN, University of Southern California, Northeastern University and University of Virginia - Darden School of Business
Downloads 70 (327,455)
Citation 6

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24.

Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression

NBER Working Paper No. w12658
Number of pages: 38 Posted: 20 Nov 2006 Last Revised: 04 Aug 2010
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 68 (332,665)
Citation 1

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25.

Holdings-Based Fund Performance Measures: Estimation and Inference

Number of pages: 105 Posted: 16 Jun 2018 Last Revised: 19 Dec 2018
Wayne E. Ferson and Junbo L. Wang
University of Southern California and Louisiana State University, Baton Rouge
Downloads 65 (340,625)
Citation 1

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26.

Habit Persistence and Durability in Aggregate Consumption: Empirical Tests

NBER Working Paper No. w3631
Number of pages: 68 Posted: 21 May 2004
George M. Constantinides and Wayne E. Ferson
University of Chicago - Booth School of Business and University of Southern California
Downloads 63 (346,161)
Citation 2

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27.

Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance

Downloads 53 (376,278)

Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance

NBER Working Paper No. w5830
Number of pages: 56 Posted: 01 Aug 2000 Last Revised: 29 Mar 2008
Jon A. Christopherson, Wayne E. Ferson and Debra A. Glassman
Russell Investments, University of Southern California and University of Washington - Michael G. Foster School of Business
Downloads 53 (382,455)
Citation 6

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Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance

REVIEW OF FINANCIAL STUDIES, Vol. 11 No. 1
Posted: 05 Nov 1997
Jon A. Christopherson, Wayne E. Ferson and Debra A. Glassman
Russell Investments, University of Southern California and University of Washington - Michael G. Foster School of Business

Abstract:

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28.

An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns

NBER Working Paper No. w4595
Number of pages: 68 Posted: 13 Jul 2000 Last Revised: 26 Jul 2010
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 47 (396,372)

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29.

Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing

NBER Working Paper No. w5860
Number of pages: 53 Posted: 15 Jul 2000 Last Revised: 04 Oct 2010
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 40 (422,032)

Abstract:

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30.

The "Out of Sample" Performance of Long-Run Risk Models

NBER Working Paper No. w17848
Number of pages: 58 Posted: 20 Feb 2012 Last Revised: 13 Mar 2012
Wayne E. Ferson, Suresh Nallareddy and Biqin Xie
University of Southern California, Duke University - Fuqua School of Business and Pennsylvania State University
Downloads 26 (485,046)

Abstract:

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31.

Asymptotic Variances for Tests of Portfolio Efficiency and Factor Model Comparisons with Conditioning Information

Number of pages: 64 Posted: 24 Feb 2019
Wayne E. Ferson, Andrew F. Siegel and Junbo L. Wang
University of Southern California, University of Washington - Department of Finance and Business Economics and Louisiana State University, Baton Rouge
Downloads 20 (518,957)

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32.

Time Nonseparability in Aggregate Consumption: International Evidence

NBER Working Paper No. w4104
Number of pages: 52 Posted: 27 Apr 2000 Last Revised: 20 Sep 2010
Phillip A. Braun, George M. Constantinides and Wayne E. Ferson
Northwestern University - Kellogg School of Management, University of Chicago - Booth School of Business and University of Southern California
Downloads 19 (524,858)
Citation 1

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33.

How Many Good and Bad Funds Are There, Really?

Number of pages: 89 Posted: 15 Aug 2015 Last Revised: 19 Oct 2018
Wayne E. Ferson and Yong Chen
University of Southern California and Texas A&M University - Department of Finance
Downloads 18 (530,667)
Citation 9

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Hedge Fund, Mutual fund, Fund performance, False discovery rates, Bayes rule, Bootstrap, Goodness of fit, Test power, Trading Strategies, Kernel Smoothing

34.

Portfolio Performance Evaluation

Foundations and Trends in Finance, Vol. 2, No. 2, pp. 83-190, 2006
Number of pages: 108 Posted: 14 Jun 2010
George O. Aragon and Wayne E. Ferson
Arizona State University (ASU) - Finance Department and University of Southern California
Downloads 12 (566,401)
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Portfolio performance, mutual fund performance, hedge funds, managed portfolios

35.

Ruminations on Investment Performance Measurement

European Financial Management, Vol. 19, Issue 1, pp. 4-13, 2013
Number of pages: 10 Posted: 29 Jan 2013
Wayne E. Ferson
University of Southern California
Downloads 0 (666,371)
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mutual funds, hedge funds, bond funds, stochastic discount factors, portfolio holdings, bootstrap, market efficiency, portfolio management

36.

Investment Performance Evaluation

Annual Review of Financial Economics, Vol. 2, pp. 207-234, 2010
Posted: 12 Nov 2010
Wayne E. Ferson
University of Southern California

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37.

Is Stock Return Predictability Spurious?

Journal of Investment Management, 2003, 1(3), 1-10
Posted: 31 Mar 2004 Last Revised: 27 Apr 2012
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University

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Dividend yield, valuation ratios, time series, yield spreads, predicting stock returns, asset allocation, market timing, active portfolio management

38.

Measuring Fund Strategy and Performance in Changing Economic Conditions

J. OF FINANCE, Vol. 51 No. 2, June 1996
Posted: 25 Sep 1996
Wayne E. Ferson and Rudi Schadt
University of Southern California and INVESCO

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