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1

Conditioning Variables and the Cross Section of Stock Returns

Wayne E. Ferson, Campbell R. Harvey

Journal:

The Journal of Finance

Year:

1999

Language:

english

File:

PDF, 253 KB

english, 1999

2

Measuring the timing ability and performance of bond mutual funds

Yong Chen, Wayne Ferson, Helen Peters

Journal:

Journal of Financial Economics

Year:

2010

Language:

english

File:

PDF, 413 KB

english, 2010

3

Measuring Fund Strategy and Performance in Changing Economic Conditions

WAYNE E. FERSON, RUDI W. SCHADT

Journal:

The Journal of Finance

Year:

1996

Language:

english

File:

PDF, 2.42 MB

english, 1996

4

The Controversy Over Executive Compensation

EDWARD ALTMAN, GEORGE BENSTON, GERALD BIERWAG, MARSHALL BLUME, RICHARD BREALEY, WILLARD CARLETON, ANDREW CHEN, ELROY DIMSON, FRANKLIN EDWARDS, ROBERT EISENBEIS, WAYNE FERSON, MARK FLANNERY, CHARLES GO

Journal:

Journal of Applied Corporate Finance

Year:

2004

Language:

english

File:

PDF, 78 KB

english, 2004

5

Sources of risk and expected returns in global equity markets

Wayne E. Ferson, Campbell R. Harvey

Journal:

Journal of Banking & Finance

Year:

1994

Language:

english

File:

PDF, 1.86 MB

english, 1994

6

[Handbooks in Operations Research and Management Science] Finance Volume 9 || Chapter 5 Theory and empirical testing of asset pricing models

Ferson, Wayne E.

Year:

1995

Language:

english

File:

PDF, 3.31 MB

english, 1995

7

Testing asset pricing models with changing expectations and an unobservable market portfolio

Michael R. Gibbons, Wayne Ferson

Journal:

Journal of Financial Economics

Year:

1985

Language:

english

File:

PDF, 1.26 MB

english, 1985

8

Non-stationarity and stage-of-the-business-cycle effects in consumption-based asset pricing relations

Wayne E. Ferson, John J. Merrick Jr.

Journal:

Journal of Financial Economics

Year:

1987

Language:

english

File:

PDF, 1.30 MB

english, 1987

9

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

Wayne E. Ferson, Sergei Sarkissian and Timothy Simin

Journal:

Journal of Financial and Quantitative Analysis

Year:

2008

Language:

english

File:

PDF, 2.24 MB

english, 2008

10

Spurious Regressions in Financial Economics?

Wayne E. Ferson, Sergei Sarkissian, Timothy T. Simin

Journal:

The Journal of Finance

Year:

2003

Language:

english

File:

PDF, 184 KB

english, 2003

11

Fundamental determinants of national equity market returns: A perspective on conditional asset pricing

Wayne E Ferson, Campbell R Harvey

Journal:

Journal of Banking & Finance

Year:

1997

Language:

english

File:

PDF, 233 KB

english, 1997

12

The “out-of-sample” performance of long run risk models

Ferson, Wayne, Nallareddy, Suresh, Xie, Biqin

Journal:

Journal of Financial Economics

Year:

2013

Language:

english

File:

PDF, 502 KB

english, 2013

13

Changes in Expected Security Returns, Risk, and the Level of Interest Rates

Wayne E. Ferson

Journal:

The Journal of Finance

Year:

1989

Language:

english

File:

PDF, 2.32 MB

english, 1989

14

Papers and Proceedings of the Forty-Fourth Annual Meeting of the America Finance Association, New York, New York, December 28-30, 1985 || The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates: Discussion

Wayne E. Ferson

Journal:

The Journal of Finance

Year:

1986

Language:

english

File:

PDF, 195 KB

english, 1986

15

The Variation of Economic Risk Premiums

Ferson, Wayne E., Harvey, Campbell R.

Journal:

Journal of Political Economy

Year:

1991

Language:

english

File:

PDF, 2.53 MB

english, 1991

16

The Efficient Use of Conditioning Information in Portfolios

Wayne E. Ferson, Andrew F. Siegel

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 160 KB

english, 2001

17

Habit persistence and durability in aggregate consumption: Empirical tests

Wayne E. Ferson, George M. Constantinides

Journal:

Journal of Financial Economics

Year:

1991

Language:

english

File:

PDF, 2.52 MB

english, 1991

18

Measuring Fund Strategy and Performance in Changing Economic Conditions

Wayne E. Ferson and Rudi W. Schadt

Journal:

The Journal of Finance

Year:

1996

Language:

english

File:

PDF, 741 KB

english, 1996

19

Estimating the Cost of Capital Through Time: An Analysis of the Sources of Error

Wayne E. Ferson and Dennis H. Locke

Journal:

Management Science

Year:

1998

Language:

english

File:

PDF, 881 KB

english, 1998

20

Spurious Regressions in Financial Economics?

Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin

Journal:

The Journal of Finance

Year:

2003

Language:

english

File:

PDF, 2.63 MB

english, 2003

21

Finite sample properties of the generalized method of moments in tests of conditional asset pricing models

Wayne E. Ferson, Stephen R. Foerster

Journal:

Journal of Financial Economics

Year:

1994

Language:

english

File:

PDF, 1.80 MB

english, 1994

22

Conditional performance measurement using portfolio weights: evidence for pension funds

Wayne Ferson, Kenneth Khang

Journal:

Journal of Financial Economics

Year:

2002

Language:

english

File:

PDF, 244 KB

english, 2002

23

Conditional market timing with benchmark investors

Connie Becker, Wayne Ferson, David H. Myers, Michael J. Schill

Journal:

Journal of Financial Economics

Year:

1999

Language:

english

File:

PDF, 189 KB

english, 1999

24

[Handbook of the Economics of Finance] Volume 2 || Investment Performance: A Review and Synthesis

Ferson, Wayne E.

Year:

2013

Language:

english

File:

PDF, 1.18 MB

english, 2013

25

Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas

Wayne E. Ferson, Shmuel Kandel and Robert F. Stambaugh

Journal:

The Journal of Finance

Year:

1987

Language:

english

File:

PDF, 559 KB

english, 1987

26

The Efficient Use of Conditioning Information in Portfolios

Wayne E. Ferson and Andrew F. Siegel

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 329 KB

english, 2001

27

Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?

Wayne E. Ferson and Robert A. Korajczyk

Journal:

The Journal of Business

Year:

1995

Language:

english

File:

PDF, 630 KB

english, 1995

28

Evaluating Fund Performance in a Dynamic Market

Wayne E. Ferson and Vincent A. Warther

Journal:

Financial Analysts Journal

Year:

1996

Language:

english

File:

PDF, 1.57 MB

english, 1996

29

Performance Evaluation Using Conditional Alphas and Betas

Christopherson, Jon A, Ferson, Wayne E, Turner, Andrew L

Journal:

The Journal of Portfolio Management

Year:

1999

Language:

english

File:

PDF, 154 KB

english, 1999

30

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

FERSON, WAYNE, LIN, JERCHERN

Journal:

The Journal of Finance

Year:

2014

Language:

english

File:

PDF, 333 KB

english, 2014

31

[Handbook of the Economics of Finance] Financial Markets and Asset Pricing Volume 1 || Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance

Ferson, Wayne E.

Year:

2003

Language:

english

File:

PDF, 3.32 MB

english, 2003

32

Seasonality and Consumption-Based Asset Pricing

Wayne E. Ferson and Campbell R. Harvey

Journal:

The Journal of Finance

Year:

1992

Language:

english

File:

PDF, 850 KB

english, 1992

33

General Tests of Latent Variable Models and Mean-Variance Spanning

Wayne E. Ferson, Stephen R. Foerster and Donald B. Keim

Journal:

The Journal of Finance

Year:

1993

Language:

english

File:

PDF, 3.17 MB

english, 1993

34

Investment Performance Evaluation

Ferson, Wayne E.

Journal:

Annual Review of Financial Economics

Year:

2010

Language:

english

File:

PDF, 1.34 MB

english, 2010

35

Mimicking Portfolios with Conditioning Information

Ferson, Wayne, Siegel, Andrew F., Xu, Pisun (Tracy)

Journal:

Journal of Financial and Quantitative Analysis

Year:

2006

Language:

english

File:

PDF, 215 KB

english, 2006

36

Performance measurement with selectivity, market and volatility timing

Ferson, Wayne, Mo, Haitao

Journal:

Journal of Financial Economics

Year:

2016

Language:

english

File:

PDF, 3.20 MB

english, 2016

37

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

Ferson, Wayne E., Sarkissian, Sergei, Simin, Timothy

Journal:

Journal of Financial and Quantitative Analysis

Year:

2008

Language:

english

File:

PDF, 282 KB

english, 2008

38

Are the Latent Variables in Time-Varying Expected Returns Compensation for Consumption Risk?

Ferson, Wayne E.

Journal:

The Journal of Finance

Year:

1990

Language:

english

File:

PDF, 858 KB

english, 1990

39

Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests

Wayne E. Ferson

Journal:

Journal of Financial and Quantitative Analysis

Year:

1983

Language:

english

File:

PDF, 1.80 MB

english, 1983

40

Finance in a Theory of the Business Cycleby Robert E. Krainer

Review by: Wayne E. Ferson

Journal:

The Journal of Finance

Year:

1993

Language:

english

File:

PDF, 228 KB

english, 1993

41

Mimicking Portfolios with Conditioning Information

Wayne Ferson, Andrew F. Siegel and Pisun (Tracy) Xu

Journal:

Journal of Financial and Quantitative Analysis

Year:

2006

Language:

english

File:

PDF, 2.40 MB

english, 2006

42

Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited

Wayne E. Ferson, Andrea Heuson and Tie Su

Journal:

Management Science

Year:

2005

Language:

english

File:

PDF, 2.38 MB

english, 2005

43

Papers and Proceedings, Fifty-Ninth Annual Meeting, American Finance Association, New York, New York, January 4-6, 1999 || Conditioning Variables and the Cross Section of Stock Returns

Wayne E. Ferson and Campbell R. Harvey

Journal:

The Journal of Finance

Year:

1999

Language:

english

File:

PDF, 857 KB

english, 1999

44

Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited

Ferson, Wayne E., Heuson, Andrea, Su, Tie

Journal:

Management Science

Year:

2005

Language:

english

File:

PDF, 196 KB

english, 2005

45

Estimating the Cost of Capital Through Time: An Analysis of the Sources of Error

Ferson, Wayne E., Locke, Dennis H.

Journal:

Management Science

Year:

1998

Language:

english

File:

PDF, 413 KB

english, 1998

46

Conditional Performance Evaluation Revisited

Ferson, Wayne E, Qian, Meijun

Year:

2004

Language:

english

File:

PDF, 1.25 MB

english, 2004

47

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

Ferson, Wayne E., Harvey, Campbell R.

Journal:

SSRN Electronic Journal

Year:

1996

Language:

english

File:

PDF, 152 KB

english, 1996

48

Time nonseparability in aggregate consumption: International evidence

Phillip A. Braun, George M. Constantinides, Wayne E. Ferson

Journal:

European Economic Review

Year:

1993

Language:

english

File:

PDF, 1.56 MB

english, 1993

49

Note from the Editor, Wayne E. Ferson on Shanken, Jay and Mark I. Weinstein, Economic Forces and the Stock Market Revisited, Journal of Empirical Finance 13, Issue 2, 2006, 129–144

Wayne E. Ferson

Journal:

Journal of Empirical Finance

Year:

2006

Language:

english

File:

PDF, 74 KB

english, 2006

50

The alpha factor asset pricing model: A parable

Wayne E. Ferson, Sergei Sarkissian, Timothy Simin

Journal:

Journal of Financial Markets

Year:

1999

Language:

english

File:

PDF, 142 KB

english, 1999