Author Page for Wayne E. Ferson

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 383 (74,499)

Abstract:

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 39 (429,929)

Citation 37

Abstract:

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:

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 396 (72,335)

Citation 3

Abstract:

10.

Evaluating Government Bond Fund Performance with Stochastic Discount Factors

Downloads 395 ( 72,526)

Citation 33

2

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 395 (71,875)

Citation 33

Abstract:

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

Abstract:

11.

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

Downloads 386 ( 74,535)

Citation 3

2

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 372 (77,119)

Citation 2

Abstract:

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 14 (568,621)

Citation 11

Abstract:

12.

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

Downloads 371 ( 78,018)

Citation 2

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 338 (86,290)

Citation 3

Abstract:

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 33 (456,337)

Abstract:

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 311 (95,318)

Citation 34

Abstract:

14.

Mimicking Portfolios with Conditioning Information

Downloads 297 (100,150)

Citation 1

2

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 244 (122,653)

Abstract:

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 53 (377,917)

Citation 16

Abstract:

15.

Testing Portfolio Efficiency with Conditioning Information

Downloads 265 (113,077)

Citation 2

3

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 240 (124,731)

Citation 2

Abstract:

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 25 (498,969)

Citation 9

Abstract:

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:

16.

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

Downloads 223 (134,661)

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 153 (189,499)

Abstract:

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 70 (327,479)

Abstract:

17.

Stochastic Discount Factor Bounds with Conditioning Information

Downloads 208 (143,905)

Citation 1

2

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 176 (167,732)

Abstract:

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 32 (461,019)

Citation 21

Abstract:

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 157 (185,030)

Citation 14

Abstract:

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 125 (222,300)

Citation 44

Abstract:

20.

Weak and Semi-Strong Form Stock Return Predictability Revisited

Downloads 111 (242,552)

Citation 1

2

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 65 (341,039)

Citation 2

Abstract:

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 46 (402,512)

Citation 1

Abstract:

21.

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 98 (264,239)

Citation 72

Abstract:

22.

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 81 (297,803)

Citation 399

Abstract:

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 69 (326,294)

Citation 32

Abstract:

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 67 (331,527)

Citation 16

Abstract:

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 62 (344,996)

Abstract:

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 61 (347,794)

Citation 126

Abstract:

27.

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

Downloads 51 (378,346)

2

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 51 (384,642)

Citation 121

Abstract:

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:

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 46 (395,267)

Citation 10

Abstract:

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 38 (425,061)

Abstract:

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 25 (484,538)

Citation 16

Abstract:

31.

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 18 (524,117)

Citation 5

Abstract:

32.

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 14 (547,257)

Abstract:

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 14 (547,257)

Citation 13

Abstract:

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 (559,130)

Citation 10

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Abstract:

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 (657,341)

Citation 2

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Abstract:

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

Abstract:

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

Abstract:

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

Wayne E. Ferson

University of Southern California

Professor of Finance

National Bureau of Economic Research (NBER)

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Scholarly Papers (38)

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Portfolio Performance Evaluation

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Ruminations on Investment Performance Measurement

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