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

Ferson, W. E., and Lin, J. (2014) "Alpha and Performance Measurement: The effects of investor disagreement and heterogeneity," journal of finance, 69 (4), 1565-1596.
Ferson, W. E. (2013) "The "out-of-sample" Performance of Long run risk models," Journal of Financial Economics, 107 (3), 537-556.
Ferson, W. E., Wang, J., and , A. (2012) "Asymptotic Distributions for Tests of Portfolio Efficiency with Conditioning Information,".
Ferson, W. E., Peters, H., and Chen, Y. (2010) "measuring the timing ability and performance of bond mutual funds," Journal of Financial Economics, 98 (1), 72-89.
Ferson, W. E., "Investment performance evaluation," in Merton, R., and Lo, A., eds., , Annual Reviews of Financial Economics, Annual Reviews 2010.
Ferson, W. E., and Siegel, A. F. (2009) "Testing Portfolio Efficiency with Conditioning Information," review of financial studies, 22 (7), 2735-2785.
Ferson, W. E., , J., and , D., Portfolio Performance Measurement and Benchmarking, Mc Graw Hill 2009.
Ferson, W. E., Sarkissian, S., and Simin, T., "Spurious Regression and Data Mining in Conditional Asset Pricing Models," in Lee, C.F., and Lee, A., eds., Handbook of Quantitative Finance 2008.
Ferson, W. E., and Qian, M. (2006) "When Can Market Timers Time?,".
Ferson, W. E., Chen, Y., and Peters, H. (2006) "Measuring the Timing ability of Fixed Income Funds,".
Ferson, W. E., Simin, T., and Sarkissian, S. (2006) ",".
Ferson, W. E., Kisgen, D., and Henry, T. (2006) "Evaluating Government Bond Fund Performance with Stochastic Discount Factors," Review of Financial Studies, 19, 423-456.
Ferson, W. E., Siegel, A., and Xu, T. (2006) "Mimicking Portfolios with Conditioning Information," Journal of Financial and Quantitative Analysis.
Ferson, W. E., and Aragon, G., "Portfolio Performance Evaluation," in 2006.
Ferson, W. E., Heuson, A., and Su, T. (2005) "Weak and Semi-Strong form Stock Return Predictability Revisited," Management Science, 51, 1582-1592.
Ferson, W. E. (2004) "Book review of Asset Pricing by John Cochrane," Journal of Economic Literature.
Ferson, W. E., and Oian, M. (2004) "Conditional Performance Evaluation Revisited," Research Foundation Monograph of the CFA Institute (formerly, AIMR) 84.
Ferson, W. E., Simin, T., and Sarkissian, S. (2003) "Spurious Regressions in Financial Economics?," Journal of Finance, 58, 1393-1414.
Ferson, W. E., and Siegel, A. F. (2003) "Stochastic Discount Factor Bounds with Conditioning Information," Review of Financial Studies, 16, 567-595.
Ferson, W. E., "Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance," in Constantinides, G., Harris, M., and Stulz, R., eds., , Elsevier Science Publishers 2003.
Ferson, W. E., Simin, T., and Sarkissian, S. (2003) "Is Stock Return Predictability Spurious?," Journal of Investment Management , 1 (3), 10-19.
Ferson, W. E., and Khang, K. (2002) "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds," Journal of Financial Economics, 65, 249-282.
Ferson, W. E., Farnsworth, H., Jackson, D., and Todd, S. (2002) "Performance Evaluation with Stochastic Discount Factors," Journal of Business, 75, 473-504.
Ferson, W. E., Davis, , and Steil, (2002) "Institutional Investors," Journal of Economics/Zeitschrift fur nationalokonomie, 76, 196-198.
Ferson, W. E., and Cochrane, J. H. (2002) "Asset Pricing," Review of Financial Studies 2002, 15 (1), 349-351.
Ferson, W. E., and Siegel, A. F. (2001) "The Efficient Use of Conditioning Information in Portfolios," Journal of Finance, 56 (3), 967-982.
Ferson, W. E., Christopherson, J. A., and Turner, A. L. (2001) "Using Time-Varying Alphas and Betas in Performance Evaluation," Journal of Investment Consulting, 2, 2-12.
Ferson, W. E., Christopherson, J. A., Goodwin, T., and Turner, A. (2000) "Performance Evaluation of Tactical Asset Allocation Managers," Journal of Performance Measurement, 4 (2).
Ferson, W. E., Sarkissian, S., and Simin, T. (1999) "The Alpha Factor Asset Pricing Model: A Parable," Journal of Financial Markets, 2, 49-68.
Ferson, W. E., and Harvey, C. R. (1999) "Conditioning Variables and Cross-Section of Stock Returns," Journal of Finance, 54, 1325-1360.
Ferson, W. E., and Harvey, C. R. (1999) "Economic, Financial and Fundamental Global Risk In and out of EMU," Swedish Economic Policy Review, 6, 123-184.
Ferson, W. E., Christopherson, J. A., and Turner, A. L. (1999) "Performance evaluation using Conditional alphas and betas," Journal of Portfolio Management, 26, 59-72.
Ferson, W. E., Becker, C., Myers, D., and Schill, M. (1999) "Conditional Marketing Timing with Benchmark Investors," Journal of Financial Economics, 52, 119-148.
Ferson, W. E., Christopherson, J. A., and Glassman, D. A. (1998) "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," Review of Financial Studies, 11, 11-142.
Ferson, W. E., and Locke, D. H. (1998) "Cost of Capital Estimation without CAPM: Analysis of Sources of Error," Management Science, 44 (4), 485-500.
Ferson, W. E., Christopherson, J. A., and Glassman, D. A. (1998) "Conditional Measures of Performance and Persistence for Pension Funds," JAI Press, 16, 1-46.
Ferson, W. E., Becker, C., Meyers, D., and Schill, M. (1997) "Conditional Market Timing with Benchmark Investors," Journal of Finance, 52 (3), 1028.
Ferson, W. E., and Harvey, C. R. (1997) "Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing," Journal of Banking and Finance , 21, 1625-1665.
Ferson, W. E. (1996) "Evaluating Mutual Funds in a Changing Economy,".
Ferson, W. E., Farnsworth, H., Jackson, D., and Todd, S. (1996) "Conditional Performance Evaluation," Journal of Finance.
Ferson, W. E., and Schadt, R. W. (1996) "Measuring fund strategy and performance in changing economic conditions," Journal of Finance, 51, 425-462.
Ferson, W. E., and Warther, V. A. (1996) "Evaluating Fund Performance in a Dynamic Market," Financial Analysts Journal, 52 (6), 20-28.
Ferson, W. E. (1996) "Warning: Attribute-sorted Portfolios Can be Hazardous to Your Research," Center for Academic Societies 21-32.
Ferson, W. E., and Jagannathan, R. (1996) "Econometric Evaluation of Asset Pricing Models," 1-30, 14.
Ferson, W. E., and Korajczyk, R. A. (1995) "Do Arbitrage Pricing Modles Explain the Predictability of Stock Returns?," Jorunal of Business, 68, 309-349.
Ferson, W. E. (1995) "Theory and Empirical Testing of Asset Pricing Models," Elsevier 145-200.
Ferson, W. E., and Korajczyk, R. A. (1995) "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," Journal of Business, 68, 309-349.
Ferson, W. E., and Foerster, S. R., "Further Results on the Small-sample Properities of the Generalized Method of Moments: Tests of Latent Variables Models," in Research in Finance, JAI Press 1995.
Ferson, W. E., and Harvey, C. R., "Predictability and Time-varying Risk in World Equity Markets," in Research in Finance, JAI Press 1995.
Ferson, W. E., and Foerster, S. R. (1994) "Finite Sample Properties of the Generalized Methods of Moments Tests of Conditional Asset Pricing Models," Journal of Financial Economics, 36, 29-56.
Ferson, W. E., "Asset Pricing Models," in Greenwald, D., eds., , McGraw-Hill Encyclopedia of Economics 1994.
Ferson, W. E., and Harvey, C. R. (1994) "Sources of Risk and Expected Returns in Global Equity Markets," Journal of Banking and Finance, 18, 775-803.
Ferson, W. E., and Harvey, C. R. (1994) "An Exploratory Investigation of the Fundamental Determinants of International Equity Market Returns," University of Chicago Press 59-148.
Ferson, W. E., and Krainer, R. E. (1993) "Business Cycles in a Debt and Equity Economy," Journal of Finance, 48, 2034-2037.
Ferson, W. E., and Korajczyk, R. A. (1993) "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," Journal of Finance, 48, 1085.
Ferson, W. E., Foerster, S. R., and Keim, D. B. (1993) "Tests of General Latent Variable Models and mean Variance Spanning," Journal of Finance, 48, 131-156.
Ferson, W. E., Braun, P., and Constantinides, G. (1993) "Time Nonseparability in Aggregate Consumption: International Evidence," European Economic Review, 37, 897-920.
Ferson, W. E., and Harvey, C. R. (1993) "Explaining the Predictability of Asset Returns," JAI Press, 11, 65-106.
Ferson, W. E., and Harvey, C. R. (1993) "Seasonality and Heteroskedasticity in Consumption-based Asset Pricing: An Analysis of Linear Models," JAI Press, 11, 1-35.
Ferson, W. E., and Harvey, C. R. (1993) "The Risk and Predictability of International Equity Returns," Review of Financial Studies, 6, 527-566.
Ferson, W. E., and Harvey, C. R. (1992) "Seasonality and Consumption-Based Asset Pricing," Journal of Finance, 47, 511-552.
Ferson, W. E., and Constantinides, G. M. (1991) "Habit Persistence and Durability in Aggregate Consumption: Empirical Tests," Journal of Financial Economics, 29, 199-240.
Ferson, W. E., and Harvey, C. R. (1991) "Sources of Predictability in Portfolio Returns," Financial Analysts Journal (3), 49-56.
Ferson, W. E., and Harvey, C. R. (1991) "The Variation of Economic Risk Premiums," Journal of Political Economy, 99, 385-415.
Ferson, W. E. (1990) "Are the Latent Variables in Time-varying Expected Returns Compensation for Consumption Risk?," Journal of Finance, 45, 397-430.
Ferson, W. E. (1989) "Changes in Expected Security Returns, Risk and the Level of Interest Rates," Jourrnal of Finance, 44, 1191-1217.
Ferson, W. E., and Merrick, J. J. (1987) "Non-Stationarity and the Stage of the Business Cycle Effects in Consumption-based Asset Pricing Relations," Journal of Financial Economics, 18, 127-146.
Ferson, W. E., Kandel, S., and Stambaugh, R. (1987) "Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas," Journal of Finance , 42, 201-220.
Ferson, W. E. (1985) "Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests," Journal of Financial and Quantitative Analysis, 18, 477-497.
Ferson, W. E. (1985) "Changes in Expected Risk Premiums and Security Risk Measures," Proceedings of the European Finance Association.
Ferson, W. E., and Gibbons, M. R. (1985) "Testing Asset Pricing Models with Changing Expectations and an Unobservable market Portfolio," Journal of Financial Economics, 14, 216-236.
Ferson, W. E., and Keim, D. B. (1984) "Empirical in Regularities in Stock Returns Involving Day, Size and Season," University of Chicago.
Ferson, W. E. (1983) "Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests," Journal of Financial and Quantitative Analysis, 18, 477-497.
Ferson, W. E., ""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.," in .