University of Southern California

Wayne Ferson
Ivadelle and Theodore Johnson Chair in Banking and Finance and Professor of Finance and Business Economics

USC Marshall School of Business
Los Angeles, CA 90089-0808

Phone: 
213-740-5615
Education: 
PhD, MA, Stanford University; MBA, BS, Southern Methodist University

Overview

Wayne Ferson is a finance scholar who is regarded as a leading expert on asset pricing. His work has been published in Journal of Finance, Journal of Financial Economics, Review of Economic Studies, and Journal of Political Economy. Professor Ferson served as president of the Society of Financial Studies and Western Finance Association, and as editor of Review of Financial Studies. Before joining USC, he held appointments at Boston College, University of Washington, University of Chicago and University of Pennsylvania. He is the founding executive editor of a new journal, Review of Asset Pricing Studies.

Research

The "out-of-sample" Performance of Long run risk models 2013
Asymptotic Distributions for Tests of Portfolio Efficiency with Conditioning Information 2012
Investment performance evaluation 2010
Portfolio Performance Measurement and Benchmarking 2009
When Can Market Timers Time? 2006
Measuring the Timing ability of Fixed Income Funds 2006
2006
Evaluating Government Bond Fund Performance with Stochastic Discount Factors 2006
Mimicking Portfolios with Conditioning Information 2006
Weak and Semi-Strong form Stock Return Predictability Revisited 2005
Book review of Asset Pricing by John Cochrane 2004
Conditional Performance Evaluation Revisited 2004
Spurious Regressions in Financial Economics? 2003
Is Stock Return Predictability Spurious? 2003
Stochastic Discount Factor Bounds with Conditioning Information 2003
Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance 2003
Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds 2002
Performance Evaluation with Stochastic Discount Factors 2002
Asset Pricing 2002
Institutional Investors 2002
The Efficient Use of Conditioning Information in Portfolios 2001
Using Time-Varying Alphas and Betas in Performance Evaluation 2001
Performance Evaluation of Tactical Asset Allocation Managers 2000
The Alpha Factor Asset Pricing Model: A Parable 1999
Conditional Marketing Timing with Benchmark Investors 1999
Conditioning Variables and Cross-Section of Stock Returns 1999
Economic, Financial and Fundamental Global Risk In and out of EMU 1999
Performance evaluation using Conditional alphas and betas 1999
Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance 1998
Cost of Capital Estimation without CAPM: Analysis of Sources of Error 1998
Conditional Measures of Performance and Persistence for Pension Funds 1998
Conditional Market Timing with Benchmark Investors 1997
Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing 1997
Evaluating Mutual Funds in a Changing Economy 1996
Conditional Performance Evaluation 1996
Measuring fund strategy and performance in changing economic conditions 1996
Econometric Evaluation of Asset Pricing Models 1996
Evaluating Fund Performance in a Dynamic Market 1996
Warning: Attribute-sorted Portfolios Can be Hazardous to Your Research 1996
Do Arbitrage Pricing Modles Explain the Predictability of Stock Returns? 1995
Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? 1995
Further Results on the Small-sample Properities of the Generalized Method of Moments: Tests of Latent Variables Models 1995
Predictability and Time-varying Risk in World Equity Markets 1995
Theory and Empirical Testing of Asset Pricing Models 1995
Finite Sample Properties of the Generalized Methods of Moments Tests of Conditional Asset Pricing Models 1994
An Exploratory Investigation of the Fundamental Determinants of International Equity Market Returns 1994
Asset Pricing Models 1994
Sources of Risk and Expected Returns in Global Equity Markets 1994
Business Cycles in a Debt and Equity Economy 1993
Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? 1993
Tests of General Latent Variable Models and mean Variance Spanning 1993
Explaining the Predictability of Asset Returns 1993
Seasonality and Heteroskedasticity in Consumption-based Asset Pricing: An Analysis of Linear Models 1993
The Risk and Predictability of International Equity Returns 1993
Time Nonseparability in Aggregate Consumption: International Evidence 1993
Seasonality and Consumption-Based Asset Pricing 1992
Habit Persistence and Durability in Aggregate Consumption: Empirical Tests 1991
Sources of Predictability in Portfolio Returns 1991
The Variation of Economic Risk Premiums 1991
Are the Latent Variables in Time-varying Expected Returns Compensation for Consumption Risk? 1990
Changes in Expected Security Returns, Risk and the Level of Interest Rates 1989
Non-Stationarity and the Stage of the Business Cycle Effects in Consumption-based Asset Pricing Relations 1987
Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas 1987
Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests 1985
Changes in Expected Risk Premiums and Security Risk Measures 1985
Empirical in Regularities in Stock Returns Involving Day, Size and Season 1984
Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests 1983
"Fixed Income Fund Performance Across Economic States," 2006, with Darren Kisgen and Tyler Henry, Research In Finance 23, 1-62. JAI Press, Oxford, UK. ISBN-13: 978-0-7623-1346-7.