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Wayne Ferson

Personal Details

First Name:Wayne
Middle Name:
Last Name:Ferson
Suffix:
RePEc Short-ID:pfe32
http://www2.bc.edu/~fersonwa
140 Commonwealth Ave Fulton Hall 330 Boston college chestnut hill, MA. 02467
617-552-6431

Affiliation

Finance Department
Wallace E. Carroll School of Management
Boston College

Chestnut Hill, Massachusetts (United States)
https://www.bc.edu/content/bc-web/schools/carroll-school/academic-departments/finance.html
RePEc:edi:fdbocus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Wayne E. Ferson & Junbo L. Wang, 2020. "A Panel Regression Approach to Holdings-based Fund Performance Measures," NBER Working Papers 28238, National Bureau of Economic Research, Inc.
  2. Wayne E. Ferson & Jerchern Lin, 2013. "Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity," NBER Working Papers 19349, National Bureau of Economic Research, Inc.
  3. Wayne E. Ferson & Suresh K. Nallareddy & Biqin Xie, 2012. "The "Out of Sample" Performance of Long-run Risk Models," NBER Working Papers 17848, National Bureau of Economic Research, Inc.
  4. Yong Chen & Wayne Ferson & Helen Peters, 2009. "Measuring the Timing Ability and Performance of Bond Mutual Funds," NBER Working Papers 15318, National Bureau of Economic Research, Inc.
  5. 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.
  6. Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc.
  7. 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.
  8. 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.
  9. Wayne E. Ferson, 2003. "Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance," NBER Working Papers 9441, National Bureau of Economic Research, Inc.
  10. Wayne E. Ferson & Andrew Siegel, 2002. "Stochastic Discount Factor Bounds with Conditioning Information," NBER Working Papers 8789, National Bureau of Economic Research, Inc.
  11. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002. "Spurious Regressions in Financial Economics?," NBER Working Papers 9143, National Bureau of Economic Research, Inc.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis.
  20. 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.
  21. 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.
  22. 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.
  23. Wayne E. Ferson & George M. Constantinides, 1991. "Habit Persistence and Durability in Aggregate Consumption: Empirical Tests," NBER Working Papers 3631, National Bureau of Economic Research, Inc.
  24. Wayne E. Ferson & Stephen R. Foerster & Donald B. Keim, "undated". "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.
  25. Wayne Ferson, "undated". "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.
  26. Wayne E. Ferson & Stephen R. Foerster & Donald B. Keim, "undated". "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.

Articles

  1. Wayne E. Ferson & Andrew F. Siegel, 2003. "Stochastic Discount Factor Bounds with Conditioning Information," The Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 567-595.
  2. Wayne Ferson, 2002. "Asset Pricing, John H. Cochrane. Princeton, NJ: Princeton University Press, 2001. 530 pp. ISBN 0-691-07498-4," The Review of Financial Studies, 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," The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 111-142.
  4. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, vol. 68(3), pages 309-349, July.
  5. Ferson, Wayne E & Harvey, Campbell R, 1993. "The Risk and Predictability of International Equity Returns," The Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 527-566.
  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.

Chapters

  1. Wayne Ferson & Campbell R. Harvey, 1994. "An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns," NBER Chapters, in: The Internationalization of Equity Markets, pages 59-147, National Bureau of Economic Research, Inc.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  5. Number of Citations
  6. Number of Citations, Discounted by Citation Age
  7. Number of Citations, Weighted by Simple Impact Factor
  8. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  9. Number of Citations, Weighted by Recursive Impact Factor
  10. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  11. Number of Citations, Weighted by Number of Authors
  12. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  13. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  17. h-index
  18. Number of Registered Citing Authors
  19. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  20. Euclidian citation score
  21. Wu-Index
  22. Record of graduates

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 12 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. 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
  2. NEP-FIN: Finance (5) 2002-09-11 2004-08-31 2005-01-16 2005-01-16 2006-04-01. Author is listed
  3. NEP-CFN: Corporate Finance (4) 1999-03-01 1999-03-01 2003-01-12 2006-11-18
  4. NEP-RMG: Risk Management (4) 2002-09-11 2003-01-12 2004-08-31 2005-01-16
  5. NEP-ECM: Econometrics (3) 2002-09-11 2006-04-01 2006-11-18
  6. NEP-ETS: Econometric Time Series (2) 2002-09-11 2004-08-31
  7. NEP-EEC: European Economics (1) 1999-03-01
  8. NEP-FOR: Forecasting (1) 2012-02-27
  9. NEP-IFN: International Finance (1) 1999-03-01
  10. NEP-MAC: Macroeconomics (1) 2012-02-27
  11. NEP-UPT: Utility Models and Prospect Theory (1) 2013-09-26

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