Publications

by members of

Finance Department
Boston College
Chestnut Hill, Massachusetts (United States)

Working papers

2006

1. Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2006. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," NBER Working Papers 12658, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

2005

1. Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu, 2005. "Mimicking Portfolios with Conditioning Information," NBER Working Papers 11020, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Wayne E. Ferson & Andrea Heuson & Tie Su, 2005. "Weak and Semi-Strong Form Stock Return Predictability Revisited," NBER Working Papers 11021, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Debarshi Nandy & Thomas Chemmanur, 2005. "How is Value Created in Spin-Offs? A Look Inside the Black Box," Working Papers 05-09, Center for Economic Studies, U.S. Census Bureau. [Downloadable!]
4. Pierluigi Balduzzi & Cesare Robotti, 2005. "Mimicking portfolios, economic risk premia, and tests of multi-beta models," Working Paper 2005-04, Federal Reserve Bank of Atlanta. [Downloadable!]
5. Pierluigi Balduzzi & Cesare Robotti, 2005. "Asset-pricing models and economic risk premia: a decomposition," Working Paper 2005-13, Federal Reserve Bank of Atlanta. [Downloadable!]

2004

1. Wayne E. Ferson & Andrea Heuson & Tie Su, 2004. "Weak and Semi-Strong Form Stock Return Predictability, Revisited," NBER Working Papers 10689, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. An Yan & Debarshi Nandy & Thomas Chemmanur, 2004. "Why Issue Mandatory Convertibles? Theory and Empirical Evidence," Econometric Society 2004 North American Winter Meetings 456, Econometric Society. [Downloadable!]
3. Julie Agnew & Pierluigi Balduzzi, 2004. "Large, Small, International: Equity Portfolio Choices In A Large 401(k) Plan," Working Papers, Center for Retirement Research at Boston College 2004-14, Center for Retirement Research. [Downloadable!]

2003

1. Wayne E. Ferson, 2003. "Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance," NBER Working Papers 9441, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

2002

1. Wayne E. Ferson & Andrew Siegel, 2002. "Stochastic Discount Factor Bounds with Conditioning Information," NBER Working Papers 8789, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Wayne Ferson & Kenneth Khang, 2002. "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds," NBER Working Papers 8790, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
4. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002. "Spurious Regressions in Financial Economics?," NBER Working Papers 9143, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
5. Julie Agnew & Pierluigi Balduzzi & Annika SundÈn, 2002. "Portfolio Choice, Trading, And Returns In A Large 401(K) Plan," Working Papers, Center for Retirement Research at Boston College 2000-06, Center for Retirement Research. [Downloadable!]

2001

1. Pierluigi Balduzzi & Cesare Robotti, 2001. "Minimum-variance kernels, economic risk premia, and tests of multi-beta models," Working Paper 2001-24, Federal Reserve Bank of Atlanta. [Downloadable!]

2000

1. Stephen Lawrence, 2000. "Value At Risk Incorporating Dynamic Portfolio Management," Computing in Economics and Finance 2000 147, Society for Computational Economics. [Downloadable!]

1999

1. Wayne E. Ferson & Campbell R. Harvey, 1999. "Economic, Financial, and Fundamental Global Risk In and Out of the EMU," NBER Working Papers 6967, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Cesare Robotti & Pierluigi Balduzzi, 1999. "Minimum-Variance Kernels and Economic Risk Premia," Computing in Economics and Finance 1999 953, Society for Computational Economics. [Downloadable!]

1998

1. Connie Becker & Wayne Ferson & David Myers & Michael Schill, 1998. "Conditional Market Timing with Benchmark Investors," NBER Working Papers 6434, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Anthony W. Lynch & Pierluigi Balduzzi, 1998. "Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-049, New York University, Leonard N. Stern School of Business-.

1997

1. Thomas J. Chemmanur & S. Abraham Ravid, 1997. "Asymmetric Information, Corporate Myopia and Implications for Capital Gain Tax Rates," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-018, New York University, Leonard N. Stern School of Business-.
2. Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi & Leora Klapper, 1997. "Interest Rate Targeting and the Dynamics of Short-Term Rates," NBER Working Papers 5944, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Pierluigi Balduzzi & Edwin J. Elton & T. Clifton Green, 1997. "Economic News and the Yield Curve: Evidence from the U.S. Treasury Market," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-005, New York University, Leonard N. Stern School of Business-.
4. Pierluigi Balduzzi & Sanjiv Ranjan Das & Silverio Foresi, 1997. "The Central Tendency: A Second Factor in Bond Yields," NBER Working Papers 6325, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

1996

1. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis. [Downloadable!]
2. Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Wayne E. Ferson & Campbell R. Harvey, 1996. "Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing," NBER Working Papers 5860, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
4. Jennifer Koski & Jeffrey Pontiff, 1996. "How Are Derivatives Used? Evidence from the Mutual Fund Industry," Center for Financial Institutions Working Papers 96-27, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
5. Pierluigi Balduzzi & Silverio Foresi & David Hait, 1996. ""Price Barriers" and the Dynamics of Asset Prices in Equilibrium," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-11, New York University, Leonard N. Stern School of Business-.
6. Pierluigi Balduzzi & Edwin J. Elton & T. Clifton Green, 1996. "Economic News and the Yield Curve: Evidence From the U.S. Treasury Market," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-13, New York University, Leonard N. Stern School of Business-.
7. Pierluigi Balduzzi & Sanjiv Das & Silverio Foresi, 1996. "The Central Tendency: A Second Factor in Bond Yields," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-12, New York University, Leonard N. Stern School of Business-.

1994

1. Wayne E. Ferson & Campbell R. Harvey, 1994. "Sources of Risk and Expected Returns in Global Equity Markets," NBER Working Papers 4622, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Chemmanur, T.J. & Fulghieri, P., 1994. "Why Include Warrants in New Equity Issues? A Theory of Unit IPOs," Papers 95-05, Columbia - Graduate School of Business.

1993

1. Wayne E. Ferson & Campbell R. Harvey, 1993. "An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns," NBER Working Papers 4595, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Pontiff, J.E., 1993. "Three Essays on Closed-End Funds," Papers 45, Rochester, Business - Ph.D.,.
3. Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi, 1993. "Non-linearities in Asset Prices and Infrequent Noise Trading," CEPR Financial Markets Paper 0033, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 53--56 Great Sutton Street, London EC1V 0DG.
4. Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi, 1993. "A Model of Target Changes and the Term Structure of Interest Rates," NBER Working Papers 4347, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

1992

1. Phillip A. Braun & George M. Constantinides & Wayne E. Ferson, 1992. "Time Nonseparability in Aggregate Consumption: International Evidence," NBER Working Papers 4104, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Wayne E. Ferson & George M. Constantinides, 1992. "Habit Persistence and Durability in Aggregate Consumption: Empirical Tests," NBER Working Papers 3631, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Chemmanur, T.J. & Fulghieri, P., 1992. "Reputation, Renegotiation, and the Choice Between Bank Loans and Publicity Traded Debt," Papers 92-24, Columbia - Graduate School of Business.
4. Balduzzi, P. & Bertola, G. & Foresi, S., 1992. "Nonlinearities in Asset Prices and Infrequent Noise Trading," Papers 131, Princeton, Department of Economics - Financial Research Center.

1991

1. Ferson, W.E. & Foester, S.R. & Kein, D.B., 1991. "Test of Asset Pricing Models With Changing Expectations," Weiss Center Working Papers 1-91, Wharton School - Weiss Center for International Financial Research.
2. Chemmanur, T.J. & Fulghieri, .B., 1991. "Investment, Banker Reputation, Information Production, and Fnancial Intermediation," Papers fb-_91-09, Columbia - Graduate School of Business.
3. Chemmanur, T.J. & John, K., 1991. "Optimal Incorporation, Structure of Debt Contracts , and Limited-recourse Project Financing," Papers fb-_91-08, Columbia - Graduate School of Business.
4. Barclay, M.J. & Holderness, C.G. & Pontiff, J., 1991. "Private Benefits form Block Ownership and Discounts on Closed-end Funds," Papers 91-01, Rochester, Business - Financial Research and Policy Studies.

1990

1. Balduzzi, P., 1990. "Stock Returns And Inflation: Some Empirical Evidence," Papers 12, California Los Angeles - Applied Econometrics.

Undated

1. Wayne E. Ferson & Stephen R. Foerster & Donald B. Keim, . "Tests of Asset Pricing Models with Changing Expectations," Rodney L. White Center for Financial Research Working Papers 01-91, Wharton School Rodney L. White Center for Financial Research.
2. Wayne E. Ferson & Stephen R. Foerster & Donald B. Keim, . "Tests of Asset Pricing Models with Changing Expectations," Rodney L. White Center for Financial Research Working Papers 1-91, Wharton School Rodney L. White Center for Financial Research.
3. Wayne E. Ferson & Stephen R. Foerster & Donald B. Keim, . "General Tests of Latent Variable Models and Mean Variance Spanning (Reprint 031)," Rodney L. White Center for Financial Research Working Papers 10-92, Wharton School Rodney L. White Center for Financial Research.
4. Wayne Ferson, . "Expectations of Real Interest Rates and Aggregate Consumption: Synthesis and Tests," Rodney L. White Center for Financial Research Working Papers 14-83, Wharton School Rodney L. White Center for Financial Research.
5. Wayne Ferson, . "Expectations of Real Interest Rates and Aggregate Consumption: Synthesis and Tests," Rodney L. White Center for Financial Research Working Papers 16-82, Wharton School Rodney L. White Center for Financial Research.
6. Wayne Ferson & Stephen Foerster & Donald Keim, . "Tests of Asset Pricing Models with Changing Expectations," Rodney L. White Center for Financial Research Working Papers 27-87, Wharton School Rodney L. White Center for Financial Research.

Journal articles

2008

1. Jeffrey Pontiff & Artemiza Woodgate, 2008. "Share Issuance and Cross-sectional Returns," Journal of Finance, American Finance Association, vol. 63(2), pages 921-945, 04. [Downloadable!] (restricted)

2007

1. Balduzzi, Pierluigi & Yao, Tong, 2007. "Testing heterogeneous-agent models: an alternative aggregation approach," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 369-412, March. [Downloadable!] (restricted)
2. Balduzzi, Pierluigi, 2007. "Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2713-2743, August. [Downloadable!] (restricted)

2006

1. Chemmanur, Thomas J. & Fulghieri, Paolo, 2006. "Competition and cooperation among exchanges: A theory of cross-listing and endogenous listing standards," Journal of Financial Economics, Elsevier, vol. 82(2), pages 455-489, November. [Downloadable!] (restricted)
2. J. B. Chay & Dosoung Choi & Jeffrey Pontiff, 2006. "Market Valuation of Tax-Timing Options: Evidence from Capital Gains Distributions," Journal of Finance, American Finance Association, vol. 61(2), pages 837-865, 04. [Downloadable!] (restricted)
3. Pontiff, Jeffrey, 2006. "Costly arbitrage and the myth of idiosyncratic risk," Journal of Accounting and Economics, Elsevier, vol. 42(1-2), pages 35-52, October. [Downloadable!] (restricted)

2005

1. Chemmanur, Thomas J. & Paeglis, Imants, 2005. "Management quality, certification, and initial public offerings," Journal of Financial Economics, Elsevier, vol. 76(2), pages 331-368, May. [Downloadable!] (restricted)

2004

1. Chemmanur, Thomas J. & Yan, An, 2004. "A theory of corporate spin-offs," Journal of Financial Economics, Elsevier, vol. 72(2), pages 259-290, May. [Downloadable!] (restricted)

2003

1. Wayne E. Ferson & Andrew F. Siegel, 2003. "Stochastic Discount Factor Bounds with Conditioning Information," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 16(2), pages 567-595. [Downloadable!] (restricted)
2. Julie Agnew & Pierluigi Balduzzi & Annika Sunden, 2003. "Portfolio Choice and Trading in a Large 401(k) Plan," American Economic Review, American Economic Association, vol. 93(1), pages 193-215, March. [Downloadable!] (restricted)

2002

1. Wayne Ferson, 2002. "Asset Pricing, John H. Cochrane. Princeton, NJ: Princeton University Press, 2001. 530 pp. ISBN 0-691-07498-4," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 15(1), pages 349-351, March.
2. Chemmanur, Thomas J. & Wilhelm, William Jr., 2002. "New Technologies, Financial Innovation, and Intermediation," Journal of Financial Intermediation, Elsevier, vol. 11(1), pages 2-8, January. [Downloadable!] (restricted)

2000

1. Chemmanur, Thomas J. & Wilhelm, William Jr., 2000. "2000 Journal of Financial Intermediation Symposium: New Technologies, Financial Innovation, and Intermediation: Presented by Financial Service Research Center & The Wallace E. Carroll School of Manage," Journal of Financial Intermediation, Elsevier, vol. 9(4), pages 454-457, October. [Downloadable!] (restricted)
2. Anthony W. Lynch & Pierluigi Balduzzi, 2000. "Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior," Journal of Finance, American Finance Association, vol. 55(5), pages 2285-2309, October. [Downloadable!] (restricted)

1999

1. Chemmanur, Thomas J & Fulghieri, Paolo, 1999. "A Theory of the Going-Public Decision," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(2), pages 249-79.
2. Chemmanur, Thomas J. & Ravid, S. Abraham, 1999. "Asymmetric Information, Corporate Myopia, and Capital Gains Tax Rates: An Analysis of Policy Prescriptions," Journal of Financial Intermediation, Elsevier, vol. 8(3), pages 205-231, July. [Downloadable!] (restricted)
3. Jennifer Lynch Koski & Jeffrey Pontiff, 1999. "How Are Derivatives Used? Evidence from the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 54(2), pages 791-816, 04. [Downloadable!] (restricted)
4. Balduzzi, Pierluigi & Lynch, Anthony W., 1999. "Transaction costs and predictability: some utility cost calculations," Journal of Financial Economics, Elsevier, vol. 52(1), pages 47-78, April. [Downloadable!] (restricted)

1998

1. Christopherson, Jon A & Ferson, Wayne E & Glassman, Debra A, 1998. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 11(1), pages 111-42.
2. Pontiff, Jeffrey & Schall, Lawrence D., 1998. "Book-to-market ratios as predictors of market returns1," Journal of Financial Economics, Elsevier, vol. 49(2), pages 141-160, August. [Downloadable!] (restricted)
3. Balduzzi, Pierluigi, et al, 1998. "Interest Rate Targeting and the Dynamics of Short-Term Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(1), pages 26-50, February.
4. Pierluigi Balduzzi & Sanjiv Ranjan Das & Silverio Foresi, 1998. "The Central Tendency: A Second Factor In Bond Yields," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 62-72, February. [Downloadable!] (restricted)

1997

1. Pontiff, Jeffrey, 1997. "Excess Volatility and Closed-End Funds," American Economic Review, American Economic Association, vol. 87(1), pages 155-69, March. [Downloadable!] (restricted)
2. Balduzzi, Pierluigi & Kallal, Hedi, 1997. " Risk Premia and Variance Bounds," Journal of Finance, American Finance Association, vol. 52(5), pages 1913-49, December. [Downloadable!] (restricted)
3. Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1997. "A model of target changes and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 39(2), pages 223-249, July. [Downloadable!] (restricted)
4. Balduzzi, Pierluigi & Corsetti, Giancarlo & Foresi, Silverio, 1997. "Yield-curve movements and fiscal retrenchments," European Economic Review, Elsevier, vol. 41(9), pages 1675-1685, December. [Downloadable!] (restricted)

1996

1. Chemmanur, Thomas J. & John, Kose, 1996. "Optimal Incorporation, Structure of Debt Contracts, and Limited-Recourse Project Financing," Journal of Financial Intermediation, Elsevier, vol. 5(4), pages 372-408, October. [Downloadable!] (restricted)
2. Pontiff, Jeffrey, 1996. "Costly Arbitrage: Evidence from Closed-End Funds," The Quarterly Journal of Economics, MIT Press, vol. 111(4), pages 1135-51, November. [Downloadable!] (restricted)
3. Balduzzi, Pierluigi & Foresi, Silverio, 1996. "Money, transactions and portfolio choice," Ricerche Economiche, Elsevier, vol. 50(1), pages 57-68, March. [Downloadable!] (restricted)
4. Balduzzi, Pierluigi & Kallal, Hedi & Longin, Francois, 1996. "Minimal returns and the breakdown of the price-volume relation," Economics Letters, Elsevier, vol. 50(2), pages 265-269, February. [Downloadable!] (restricted)
5. Balduzzi, Pierluigi, 1996. "Inflation and asset prices in a monetary economy," Economics Letters, Elsevier, vol. 53(1), pages 67-74, October. [Downloadable!] (restricted)

1995

1. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," Journal of Business, University of Chicago Press, vol. 68(3), pages 309-49, July. [Downloadable!] (restricted)
2. Pontiff, Jeffrey, 1995. "Closed-end fund premia and returns Implications for financial market equilibrium," Journal of Financial Economics, Elsevier, vol. 37(3), pages 341-370, March. [Downloadable!] (restricted)
3. Balduzzi, Pierluigi, 1995. "Stock returns, inflation, and the 'proxy hypothesis': A new look at the data," Economics Letters, Elsevier, vol. 48(1), pages 47-53, April. [Downloadable!] (restricted)
4. Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1995. " Asset Price Dynamics and Infrequent Feedback Trades," Journal of Finance, American Finance Association, vol. 50(5), pages 1747-66, December. [Downloadable!] (restricted)

1994

1. Chemmanur, Thomas J & Fulghieri, Paolo, 1994. " Investment Bank Reputation, Information Production, and Financial Intermediation," Journal of Finance, American Finance Association, vol. 49(1), pages 57-79, March. [Downloadable!] (restricted)
2. Chemmanur, Thomas J & Fulghieri, Paolo, 1994. "Reputation, Renegotiation, and the Choice between Bank Loans and Publicly Traded Debt," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 7(3), pages 475-506. [Downloadable!] (restricted)

1993

1. Ferson, Wayne E & Harvey, Campbell R, 1993. "The Risk and Predictability of International Equity Returns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 6(3), pages 527-66. [Downloadable!] (restricted)
2. Chemmanur, Thomas J, 1993. " The Pricing of Initial Public Offerings: A Dynamic Model with Information Production," Journal of Finance, American Finance Association, vol. 48(1), pages 285-304, March. [Downloadable!] (restricted)
3. Barclay, Michael J. & Holderness, Clifford G. & Pontiff, Jeffrey, 1993. "Private benefits from block ownership and discounts on closed-end funds," Journal of Financial Economics, Elsevier, vol. 33(3), pages 263-291, June. [Downloadable!] (restricted)

1991

1. Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 385-415, April. [Downloadable!] (restricted)

1990

1. Jeffrey Pontiff & Andrei Shleifer & Michael S. Weisbach, 1990. "Reversions of Excess Pension Assets after Takeovers," RAND Journal of Economics, The RAND Corporation, vol. 21(4), pages 600-613, Winter. [Downloadable!] (restricted)

This page was last updated on 2008-8-3.