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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357

CROSSREF CITATIONS

1,080

Scholarly Papers (38)

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1.

Conditioning Variables and the Cross-Section of Stock Returns

Downloads 1,167 ( 25,750)
Citation 46

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 1,087 (28,098)
Citation 45

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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: 26 Feb 2022
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 80 (419,393)
Citation 7

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2.

Spurious Regressions in Financial Economics?

Downloads 1,124 ( 27,169)
Citation 165

Spurious Regressions in Financial Economics?

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 995 (31,880)
Citation 7

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Spurious Regressions in Financial Economics?

NBER Working Paper No. w9143
Number of pages: 36 Posted: 06 Sep 2002 Last Revised: 27 Jun 2021
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 129 (304,635)
Citation 23

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3.

Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds

Downloads 976 ( 33,256)
Citation 64

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 887 (37,523)

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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: 10 Jul 2022
Wayne E. Ferson and Kenneth Khang
University of Southern California and University of Wisconsin - Milwaukee
Downloads 89 (393,115)
Citation 2

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Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds

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 800 (43,814)
Citation 17

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

5.

Evaluating Fixed Income Fund Performance with Stochastic Discount Factors

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 568 (68,380)
Citation 8

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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 539 (73,028)
Citation 10

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7.

Measuring the Timing Ability and Performance of Bond Mutual Funds

Downloads 504 ( 79,321)
Citation 38

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 468 (85,916)
Citation 3

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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: 11 May 2022
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 36 (607,355)
Citation 1

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8.

Performance Evaluation with Stochastic Discount Factors

Downloads 439 ( 93,429)
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 389 (106,624)

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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: 04 Apr 2022
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 50 (533,455)
Citation 1

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Performance Evaluation with Stochastic Discount Factors

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

Number of pages: 54 Posted: 26 Feb 2005
Wayne E. Ferson
University of Southern California
Downloads 428 (96,259)
Citation 10

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Fixed income, mutual funds

10.

Evaluating Government Bond Fund Performance with Stochastic Discount Factors

Downloads 420 ( 98,375)
Citation 21

Evaluating Government Bond Fund Performance with Stochastic Discount Factors

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 420 (97,534)
Citation 21

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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 412 (100,574)
Citation 19

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 University of Illinois at Chicago
Downloads 385 (107,932)
Citation 4

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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 Last Revised: 16 May 2021
Wayne E. Ferson and Jerchern Lin
University of Southern California and University of Illinois at Chicago
Downloads 27 (667,261)
Citation 4

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12.

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

Downloads 412 (100,574)
Citation 2

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 361 (116,068)
Citation 3

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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: 17 Jul 2022
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 51 (528,842)

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13.

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 371 (113,328)
Citation 188

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

14.

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 341 (124,513)
Citation 13

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

15.

Mimicking Portfolios with Conditioning Information

Downloads 322 (132,268)
Citation 14

Mimicking Portfolios with Conditioning Information

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 251 (170,014)

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Mimicking Portfolios with Conditioning Information

NBER Working Paper No. w11020
Number of pages: 51 Posted: 01 Feb 2005 Last Revised: 18 Apr 2022
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 71 (448,916)
Citation 1

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16.

Testing Portfolio Efficiency with Conditioning Information

Downloads 287 (149,217)
Citation 11

Testing Portfolio Efficiency with Conditioning Information

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 256 (166,749)
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 2022
Wayne E. Ferson and Andrew F. Siegel
University of Southern California and University of Washington - Department of Finance and Business Economics
Downloads 31 (638,972)
Citation 2

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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

Abstract:

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G11, G12, G23

17.

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

Downloads 243 (175,957)
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, Biqin Xie and Biqin Xie
University of Southern California, Columbia university and Pennsylvania State UniversityPennsylvania State University
Downloads 159 (257,998)
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, Biqin Xie and Biqin Xie
University of Southern California, Columbia university and Pennsylvania State UniversityPennsylvania State University
Downloads 84 (407,414)
Citation 1

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

18.

Stochastic Discount Factor Bounds with Conditioning Information

Downloads 221 (192,667)
Citation 21

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 184 (227,467)

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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: 09 Jul 2022
Wayne E. Ferson and Andrew F. Siegel
University of Southern California and University of Washington - Department of Finance and Business Economics
Downloads 37 (601,397)
Citation 1

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19.

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 Apr 2022
Wayne E. Ferson
University of Southern California
Downloads 174 (238,600)

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20.

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 153 (265,553)
Citation 1

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21.

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 - Kellogg School of Management
Downloads 140 (284,935)
Citation 7

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22.

Weak and Semi-Strong Form Stock Return Predictability Revisited

Downloads 130 (301,620)
Citation 4

Weak and Semi-Strong Form Stock Return Predictability Revisited

NBER Working Paper No. w11021
Number of pages: 33 Posted: 01 Feb 2005 Last Revised: 12 Feb 2022
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 68 (459,521)
Citation 1

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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: 20 Apr 2022
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 62 (482,037)

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23.

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: 18 Feb 2022
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 124 (312,335)
Citation 5

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24.

Habit Persistence and Durability in Aggregate Consumption: Empirical Tests

NBER Working Paper No. w3631
Number of pages: 68 Posted: 21 May 2004 Last Revised: 05 Jun 2022
George M. Constantinides and Wayne E. Ferson
University of Chicago - Booth School of Business and University of Southern California
Downloads 90 (386,980)
Citation 7

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25.

Conditional Market Timing with Benchmark Investors

NBER Working Paper No. w6434
Number of pages: 53 Posted: 01 Aug 2000 Last Revised: 01 Aug 2022
Connie L. Becker, Wayne E. Ferson, David Hobson Myers, David Hobson Myers and Michael J. Schill
affiliation not provided to SSRN, University of Southern California, Northeastern UniversityLehigh University and University of Virginia - Darden School of Business
Downloads 80 (415,034)
Citation 2

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26.

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 2022
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 79 (418,027)
Citation 4

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27.

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

Downloads 75 (430,485)

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: 08 Jun 2022
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 75 (435,452)
Citation 5

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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.

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 69 (450,197)
Citation 20

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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

29.

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: 24 Jul 2022
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 67 (457,133)

Abstract:

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30.

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: 08 Jul 2022
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 58 (490,676)

Abstract:

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31.

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: 09 Apr 2022
Wayne E. Ferson, Suresh Nallareddy, Biqin Xie and Biqin Xie
University of Southern California, Duke University - Fuqua School of Business and Pennsylvania State UniversityPennsylvania State University
Downloads 34 (604,881)
Citation 5

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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: 21 Mar 2021
Phillip A. Braun, Phillip A. Braun, George M. Constantinides and Wayne E. Ferson
Northwestern University - Kellogg School of ManagementNorthwestern University - Kellogg School of Management, University of Chicago - Booth School of Business and University of Southern California
Downloads 27 (648,979)

Abstract:

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33.

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 (770,017)
Citation 1
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Portfolio performance, mutual fund performance, hedge funds, managed portfolios

34.

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 2 (875,112)

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mutual funds, hedge funds, bond funds, stochastic discount factors, portfolio holdings, bootstrap, market efficiency, portfolio management

35.

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

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

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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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