Wayne Ferson

31 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0003-2340-0632

Finance at the Marshall School, University of Southern California, and a Research Associate at the National Bureau of Economic Research

Publications

• Factor Model Comparisons with Conditioning Information — Journal of Financial and Quantitative Analysis 2025
• Performance measurement with selectivity, market and volatility timing — Journal of Financial Economics 2016 (name-matched, not ORCID-linked)
• Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity — The Journal of Finance 2014
• The “out-of-sample” performance of long run risk models — Journal of Financial Economics 2013 (name-matched, not ORCID-linked)
• Measuring the timing ability and performance of bond mutual funds — Journal of Financial Economics 2010 (name-matched, not ORCID-linked)
• Testing Portfolio Efficiency with Conditioning Information — The Review of Financial Studies 2009
• Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression — Journal of Financial and Quantitative Analysis 2008
• Evaluating Government Bond Fund Performance with Stochastic Discount Factors — The Review of Financial Studies 2006
• Mimicking Portfolios with Conditioning Information — Journal of Financial and Quantitative Analysis 2006
• Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited — Management Science 2005
• Spurious Regressions in Financial Economics? — The Journal of Finance 2003
• Stochastic Discount Factor Bounds with Conditioning Information — The Review of Financial Studies 2003
• Conditional performance measurement using portfolio weights: evidence for pension funds — Journal of Financial Economics 2002 (name-matched, not ORCID-linked)
• Asset Pricing, John H. Cochrane. Princeton, NJ: Princeton University Press, 2001. 530 pp. ISBN 0-691-07498-4 — The Review of Financial Studies 2002
• The Efficient Use of Conditioning Information in Portfolios — The Journal of Finance 2001
• Conditioning Variables and the Cross Section of Stock Returns — The Journal of Finance 1999
• Conditional market timing with benchmark investors — Journal of Financial Economics 1999 (name-matched, not ORCID-linked)
• Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance — The Review of Financial Studies 1998
• Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance — The Review of Financial Studies 1998
• Measuring Fund Strategy and Performance in Changing Economic Conditions — The Journal of Finance 1996
• The Risk and Predictability of International Equity Returns — The Review of Financial Studies 1993
• General Tests of Latent Variable Models and Mean-Variance Spanning — The Journal of Finance 1993
• The Risk and Predictability of International Equity Returns — The Review of Financial Studies 1993
• Seasonality and Consumption-Based Asset Pricing — The Journal of Finance 1992
• The Variation of Economic Risk Premiums — Journal of Political Economy 1991
• Are the Latent Variables in Time-Varying Expected Returns Compensation for Consumption Risk? — The Journal of Finance 1990
• Changes in Expected Security Returns, Risk, and the Level of Interest Rates — The Journal of Finance 1989
• Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas — The Journal of Finance 1987
• DISCUSSION — The Journal of Finance 1986
• Testing asset pricing models with changing expectations and an unobservable market portfolio — Journal of Financial Economics 1985
• Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests — Journal of Financial and Quantitative Analysis 1983