NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Wayne E. Ferson

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

Working Papers and Chapters

August 2013Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity
with Jerchern Lin: w19349
February 2012The "Out of Sample" Performance of Long-run Risk Models
with Suresh K. Nallareddy, Biqin Xie: w17848
September 2009Measuring the Timing Ability and Performance of Bond Mutual Funds
with Yong Chen, Helen Peters: w15318
October 2006Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression
with Sergei Sarkissian, Timothy Simin: w12658
March 2006Testing Portfolio Efficiency with Conditioning Information
with Andrew F. Siegel: w12098
January 2005Mimicking Portfolios with Conditioning Information
with Andrew F. Siegel, Pisun (Tracy) Xu: w11020
Weak and Semi-Strong Form Stock Return Predictability Revisited
with Andrea Heuson, Tie Su: w11021
August 2004Weak and Semi-Strong Form Stock Return Predictability, Revisited
with Andrea Heuson, Tie Su: w10689
January 2003Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance
w9441
September 2002Spurious Regressions in Financial Economics?
with Sergei Sarkissian, Timothy Simin: w9143
February 2002Stochastic Discount Factor Bounds with Conditioning Information
with Andrew Siegel: w8789
Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds
with Kenneth Khang: w8790
Performance Evaluation with Stochastic Discount Factors
with Heber Farnsworth, David Jackson, Steven Todd: w8791
March 1999Conditioning Variables and the Cross-Section of Stock Returns
with Campbell R. Harvey: w7009
February 1999Economic, Financial, and Fundamental Global Risk In and Out of the EMU
with Campbell R. Harvey: w6967
February 1998Conditional Market Timing with Benchmark Investors
with Connie Becker, David Myers, Michael Schill: w6434
December 1996Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing
with Campbell R. Harvey: w5860
November 1996Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance
with Jon A. Christopherson, Debra A. Glassman: w5830
January 1994Sources of Risk and Expected Returns in Global Equity Markets
with Campbell R. Harvey: w4622
An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns
with Campbell R. Harvey
in The Internationalization of Equity Markets , Jeffrey A. Frankel, editor
December 1993An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns
with Campbell R. Harvey: w4595
June 1992Time Nonseparability in Aggregate Consumption: International Evidence
with Phillip A. Braun, George M. Constantinides: w4104
February 1991Habit Persistence and Durability in Aggregate Consumption: Empirical Tests
with George M. Constantinides: w3631

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

 
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