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List of works by Wayne E. Ferson

A Panel Regression Approach to Holdings-based Fund Performance Measures

scientific article published in December 2020

Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity

scientific article published in August 2013

An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns

scientific article published in December 1993

Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression

scientific article published in October 2006

Conditional Market Timing with Benchmark Investors

scientific article published in February 1998

Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds

Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance

Conditioning Variables and the Cross-Section of Stock Returns

scientific article published in March 1999

Economic, Financial, and Fundamental Global Risk In and Out of the EMU

scientific article published in February 1999

Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing

scientific article published in December 1996

Habit Persistence and Durability in Aggregate Consumption: Empirical Tests

Measuring the Timing Ability and Performance of Bond Mutual Funds

scientific article published in September 2009

Mimicking Portfolios with Conditioning Information

scientific article published in January 2005

Performance Evaluation with Stochastic Discount Factors

scientific article published in February 2002

Sources of Risk and Expected Returns in Global Equity Markets

scientific article published in January 1994

Spurious Regressions in Financial Economics?

Stochastic Discount Factor Bounds with Conditioning Information

Testing Portfolio Efficiency with Conditioning Information

scientific article published in March 2006

Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance

scientific article published in January 2003

The "Out of Sample" Performance of Long-run Risk Models

scientific article published in February 2012

Time Nonseparability in Aggregate Consumption: International Evidence

Weak and Semi-Strong Form Stock Return Predictability Revisited

scientific article published in January 2005

Weak and Semi-Strong Form Stock Return Predictability, Revisited

scientific article published in August 2004