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Information about:
Wayne Ferson

Personal Details | Affiliation | Works
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Personal Details

First Name: Wayne
Middle Name:
Last Name: Ferson
Suffix:

RePEc Short-ID: pfe32

Email:
Homepage: http://www2.bc.edu/~fersonwa
Postal Address: 140 Commonwealth Ave Fulton Hall 330 Boston college chestnut hill, MA. 02467
Phone: 617-552-6431

Affiliation

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Recursive Impact Factor
  2. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  3. Number of Citations
  4. Number of Citations, Discounted by Citation Age
  5. Number of Citations, Weighted by Simple Impact Factor
  6. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  7. Number of Citations, Weighted by Recursive Impact Factor
  8. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  9. Number of Citations, Weighted by Number of Authors
  10. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  11. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  13. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  14. h, where author has written h papers that have each been cited at least h times.
  15. Wu-Index

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. 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)

  2. 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)

  3. 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)

  4. 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)
    Other versions:

  5. 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)

  6. 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)
    Published as:

  7. 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)
    Published as:

  8. 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)

  9. 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)

  10. 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)
    Published as:

  11. 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)

  12. 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)

  13. 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)
    Published as:

  14. 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)
    Published as:

  15. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis. [Downloadable!]

  16. 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)
    Published as:

  17. 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)

  18. 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)
    Published as:

  19. 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)
    Published as:

  20. 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.

  21. 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.
    Other versions:

  22. 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.
    Other versions:

Articles

  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)
    Other versions:

  2. 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.

  3. 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.
    Other versions:

  4. 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)

  5. 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)

  6. 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)

NEP Fields

12 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (4) 1999-03-01 1999-03-01 2003-01-12 2006-11-18 Author is listed
  2. NEP-ECM: Econometrics (3) 2002-09-11 2006-04-01 2006-11-18 Author is listed
  3. NEP-EEC: European Economics (1) 1999-03-01
  4. NEP-ETS: Econometric Time Series (2) 2002-09-11 2004-08-31
  5. NEP-FIN: Finance (5) 2002-09-11 2004-08-31 2005-01-16 2005-01-16 2006-04-01 Author is listed
  6. NEP-FMK: Financial Markets (8) 1999-03-01 1999-03-08 2002-04-08 2003-01-12 2004-08-31 2005-01-16 2005-01-16 2006-04-01 Author is listed
  7. NEP-IFN: International Finance (1) 1999-03-01
  8. NEP-RMG: Risk Management (4) 2002-09-11 2003-01-12 2004-08-31 2005-01-16 Author is listed
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This page was last updated on 2008-8-26.

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