Details about Wayne Ferson

Access statistics for papers by Wayne Ferson.

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

Short-id: pfe32

Working Papers

2020

1. A Panel Regression Approach to Holdings-based Fund Performance Measures
   NBER Working Papers, National Bureau of Economic Research, Inc

2013

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

2012

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

2009

4. Measuring the Timing Ability and Performance of Bond Mutual Funds
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)

2006

5. 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 View citations (3)
6. Testing Portfolio Efficiency with Conditioning Information
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)

2005

7. Mimicking Portfolios with Conditioning Information
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
8. Weak and Semi-Strong Form Stock Return Predictability Revisited
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (1)

2003

9. Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)

2002

10. Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (79)
11. Performance Evaluation with Stochastic Discount Factors
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (52)
12. Spurious Regressions in Financial Economics?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (75)
13. Stochastic Discount Factor Bounds with Conditioning Information
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article Stochastic Discount Factor Bounds with Conditioning Information, The Review of Financial Studies, Society for Financial Studies (2003) View citations (28) (2003)

1999

14. Conditioning Variables and the Cross-Section of Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (348)
15. Economic, Financial, and Fundamental Global Risk In and Out of the EMU
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)

1998

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

1996

17. Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance, The Review of Financial Studies, Society for Financial Studies (1998) View citations (171) (1998)
18. Econometric evaluation of asset pricing models
    Staff Report, Federal Reserve Bank of Minneapolis View citations (8)
19. Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)

1994

20. Sources of Risk and Expected Returns in Global Equity Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (157)

1993

21. An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
    See also Chapter An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns, NBER Chapters, National Bureau of Economic Research, Inc (1994) View citations (19) (1994)

1992

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

1991

23. Habit Persistence and Durability in Aggregate Consumption: Empirical Tests
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (213)
24. 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
    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

Undated

25. 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 View citations (2)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
26. 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
   The Review of Financial Studies, 2003, 16, (2), 567-595 View citations (28)
   See also Working Paper Stochastic Discount Factor Bounds with Conditioning Information, NBER Working Papers (2002) (2002)

2002

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

1998

3. Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance
   The Review of Financial Studies, 1998, 11, (1), 111-42 View citations (171)
   See also Working Paper Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance, NBER Working Papers (1996) (1996)

1995

4. Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?
   The Journal of Business, 1995, 68, (3), 309-49 View citations (159)

1993

5. The Risk and Predictability of International Equity Returns
   The Review of Financial Studies, 1993, 6, (3), 527-66 View citations (456)

1991

6. The Variation of Economic Risk Premiums
   Journal of Political Economy, 1991, 99, (2), 385-415 View citations (725)

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 View citations (19)
   See also Working Paper An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns, National Bureau of Economic Research, Inc (1993) View citations (14) (1993)