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Details about Wayne Ferson

E-mail:
Homepage:http://www2.bc.edu/~fersonwa
Phone:617-552-6431
Postal address:140 Commonwealth Ave Fulton Hall 330 Boston college chestnut hill, MA. 02467
Workplace:Finance Department, Wallace E. Carroll School of Management, Boston College, (more information at EDIRC)

Access statistics for papers by Wayne Ferson.

Last updated 2007-03-03. Update your information in the RePEc Author Service.

Short-id: pfe32


Jump to Journal Articles Chapters

Working Papers

2013

  1. Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2012

  1. The "Out of Sample" Performance of Long-run Risk Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)

2009

  1. Measuring the Timing Ability and Performance of Bond Mutual Funds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2006

  1. Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  2. Testing Portfolio Efficiency with Conditioning Information
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)

2005

  1. Mimicking Portfolios with Conditioning Information
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
  2. Weak and Semi-Strong Form Stock Return Predictability Revisited
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads

2003

  1. Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)

2002

  1. Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (56)
  2. Performance Evaluation with Stochastic Discount Factors
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (34)
  3. Spurious Regressions in Financial Economics?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (58)
  4. Stochastic Discount Factor Bounds with Conditioning Information
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Review of Financial Studies (2003)

1999

  1. Conditioning Variables and the Cross-Section of Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (172)
  2. Economic, Financial, and Fundamental Global Risk In and Out of the EMU
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)

1998

  1. Conditional Market Timing with Benchmark Investors
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)

1996

  1. Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Review of Financial Studies (1998)
  2. Econometric evaluation of asset pricing models
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (6)
  3. Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)

1994

  1. Sources of Risk and Expected Returns in Global Equity Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (106)

1993

  1. An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    See also Chapter (1994)

1992

  1. Time Nonseparability in Aggregate Consumption: International Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)

1991

  1. Habit Persistence and Durability in Aggregate Consumption: Empirical Tests
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (85)
  2. Test of Asset Pricing Models With Changing Expectations
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

Undated

  1. Expectations of Real Interest Rates and Aggregate Consumption: Synthesis and Tests
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  2. General Tests of Latent Variable Models and Mean Variance Spanning (Reprint 031)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

Journal Articles

2003

  1. Stochastic Discount Factor Bounds with Conditioning Information
    Review of Financial Studies, 2003, 16, (2), 567-595 Downloads View citations (15)
    See also Working Paper (2002)

2002

  1. Asset Pricing, John H. Cochrane. Princeton, NJ: Princeton University Press, 2001. 530 pp. ISBN 0-691-07498-4
    Review of Financial Studies, 2002, 15, (1), 349-351

1998

  1. Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance
    Review of Financial Studies, 1998, 11, (1), 111-42 View citations (100)
    See also Working Paper (1996)

1995

  1. Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?
    The Journal of Business, 1995, 68, (3), 309-49 Downloads View citations (117)

1993

  1. The Risk and Predictability of International Equity Returns
    Review of Financial Studies, 1993, 6, (3), 527-66 Downloads View citations (333)

1991

  1. The Variation of Economic Risk Premiums
    Journal of Political Economy, 1991, 99, (2), 385-415 Downloads View citations (483)

Chapters

1994

  1. An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns
    A chapter in The Internationalization of Equity Markets, 1994, pp 59-147 Downloads View citations (15)
    See also Working Paper (1993)
 
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