NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Wayne E. Ferson

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers

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

Published: "The 'out of sample' Performance of Long-run Risk Models," with Biqin Xie and Suresh Nallareddy, 2013, Journal of Financial Economics 107 (3) 537-556.

September 2009Measuring the Timing Ability and Performance of Bond Mutual Funds
with Yong Chen, Helen Peters: w15318

Published: "Measuring the Timing Ability and Performance of Bond Mutual Funds," with Yong Chen and Helen Peters, 2010, Journal of Financial Economics 98(1), 72-89.

October 2006Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression
with Sergei Sarkissian, Timothy Simin: w12658

Published: Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(02), pages 331-353, June. citation courtesy of

March 2006Testing Portfolio Efficiency with Conditioning Information
with Andrew F. Siegel: w12098

"Testing Portfolio Efficiency with Conditioning Information," with Andrew F. Siegel, 2009, Review of Financial Studies (forthcoming).

January 2005Mimicking Portfolios with Conditioning Information
with Andrew F. Siegel, Pisun (Tracy) Xu: w11020

Published: Ferson, Wayne, Andrew F. Siegel and Pisun Xu. "Mimicking Portfolios With Conditional Information," Journal of Financial and Quantitative Analysis, 2006, v41(3,Sep), 607-635.

Weak and Semi-Strong Form Stock Return Predictability Revisited
with Andrea Heuson, Tie Su: w11021

Published: Ferson, Wayne, Andrea Heuson and Tie Su. "Weak and Semi-strong Form Stock Return Predictability Revisited." Management Science 51 (2005): 1582-1592.

August 2004Weak and Semi-Strong Form Stock Return Predictability, Revisited
with Andrea Heuson, Tie Su: w10689

Published: Ferson, Wayne E., Andrea Heuson and Tie Su. "Weak and Semi-strong Form Stock Return Predictability Revisited." Management Science 51 (2005): 1582-1592.

January 2003Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance
w9441

Published: Constantinides, G.M., M. Harris, and R.M. Stulz. Handbook of the Economics of Finance: Financial Markets and Asset Pricing Volume 1B. North Holland, 2003.

September 2002Spurious Regressions in Financial Economics?
with Sergei Sarkissian, Timothy Simin: w9143

Published: Ferson, Wayne, Timothy Simin, and Sergei Sarkissian. "Spurious regressions in Financial Economics?" Journal of Finance 58 (August 2003): 1393-1414. citation courtesy of

February 2002Stochastic Discount Factor Bounds with Conditioning Information
with Andrew Siegel: w8789

Published: Ferson, Wayne E. and Andrew F. Siegel. "Stochastic Discount Factor Bounds With Conditioning Information," Review of Financial Studies, 2003, v16(2,Summer), 567-595. citation courtesy of

Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds
with Kenneth Khang: w8790

Published: Ferson, Wayne and Kenneth Khang. "Conditional Performance Measurement Using Portfolio Weights: Evidence For Pension Funds," Journal of Financial Economics, 2002, v65(2,Aug), 249-282.

Performance Evaluation with Stochastic Discount Factors
with Heber Farnsworth, David Jackson, Steven Todd: w8791

Published: Farnsworth, Heber, Wayne Ferson, David Jackson and Steven Todd. "Performance Evaluation With Stochastic Discount Factors," Journal of Business, 2002, v75(3,Jul), 473-503.

March 1999Conditioning Variables and the Cross-Section of Stock Returns
with Campbell R. Harvey: w7009

Published: Journal of Finance, Vol. 54 (1999): 1325-1360. citation courtesy of

February 1999Economic, Financial, and Fundamental Global Risk In and Out of the EMU
with Campbell R. Harvey: w6967

Published: Swedish Economic Policy Review, Vol. 6 (1999): 123-184.

February 1998Conditional Market Timing with Benchmark Investors
with Connie Becker, David Myers, Michael Schill: w6434

Published: Journal of Financial Economics, Vol. 52, no. 1 (April 1999): 119-148.

December 1996Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing
with Campbell R. Harvey: w5860

Published: Journal of Banking and Finance, Vol. 21 (1997): 1625-1665. citation courtesy of

November 1996Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance
with Jon A. Christopherson, Debra A. Glassman: w5830

Published: Review of Financial Studies, 1998, Volume 11, Number 1 Pp. 111-142 citation courtesy of

January 1994Sources of Risk and Expected Returns in Global Equity Markets
with Campbell R. Harvey: w4622

Published: Journal of Banking and Finance, 1994, pp. 775-803 citation courtesy of

December 1993An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns
with Campbell R. Harvey: w4595

Published:

June 1992Time Nonseparability in Aggregate Consumption: International Evidence
with Phillip A. Braun, George M. Constantinides: w4104

Published: European Economic Review, Vol. 37, no. 5 (1993): 897-920. citation courtesy of

February 1991Habit Persistence and Durability in Aggregate Consumption: Empirical Tests
with George M. Constantinides: w3631

Published: Journal of Financial Economics, Vol. 29, No. 2, pp. 199-240, (October 1991) citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us