PhD, MA, Stanford University; MBA, BS, Southern Methodist University
Wayne Ferson does research on models for security returns and on methods for evaluating the performance of managed portfolios. He holds the Ivadelle and Theodore Johnson Chair at USC. Ferson was formerly on the faculties of Boston College, the University of Washington, the University of Chicago and the Wharton School. He is a former President of the Society of Financial Studies and the Western Finance Association and a former Editor of the Review of Financial Studies and the Journal of Empirical Finance. He is the founding Executive Editor of the Review of Asset Pricing Studies. He has served as an Associate Editor for several journals and served for eight years as the Faculty Coordinator for the Ph.D program in Finance at the Marshall School.
Wayne Ferson, Meijun Qian
() "When Can Market Timers Time? ,".
Wayne Ferson, Yong Chen, Helen Peters
() "Measuring the Timing ability of Fixed Income Funds ,".
Wayne Ferson, Darren Kisgen, Tyler Henry
() "Evaluating Government Bond Fund Performance with Stochastic Discount Factors ,"Review of Financial Studies19, 423-456.
Wayne Ferson, Andrew Siegel, Tracy Xu
() "Mimicking Portfolios with Conditioning Information ,"Journal of Financial and Quantitative Analysis.
Wayne Ferson, Andrea Heuson, Tie Su
() "Weak and Semi-Strong form Stock Return Predictability Revisited ,"Management Science51, 1582-1592.
Wayne Ferson
() "Book review of Asset Pricing by John Cochrane ,"Journal of Economic Literature.
Wayne Ferson, Meijun Oian
() "Conditional Performance Evaluation Revisited ,"Research Foundation Monograph of the CFA Institute (formerly, AIMR) , 84.
Wayne Ferson, Timothy Simin, Sergei Sarkissian
() "Spurious Regressions in Financial Economics? ,"Journal of Finance58, 1393-1414.
Wayne Ferson, Timothy Simin, Sergei Sarkissian
() "Is Stock Return Predictability Spurious? ,"Journal of Investment Management 1, 10-19.
Wayne Ferson, Andrew Siegel
() "Stochastic Discount Factor Bounds with Conditioning Information ,"Review of Financial Studies16, 567-595.
Wayne Ferson
() "Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance ,"Elsevier Science Publishers, 743-800.
Wayne Ferson, Kenneth Khang
() "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds ,"Journal of Financial Economics65, 249-282.
Wayne Ferson, Heber Farnsworth, David Jackson, Steven Todd
() "Performance Evaluation with Stochastic Discount Factors ,"Journal of Business75, 473-504.
Wayne Ferson, Davis, Steil
() "Institutional Investors ,"Journal of Economics/Zeitschrift fur nationalokonomie76, 196-198.
Wayne Ferson, John Cochrane
() "Asset Pricing ,"Review of Financial Studies 200215, 349-351.
Wayne Ferson, Andrew Siegel
() "The Efficient Use of Conditioning Information in Portfolios ,"Journal of Finance56, 967-982.
Wayne Ferson, Jon Christopherson, Andrew Turner
() "Using Time-Varying Alphas and Betas in Performance Evaluation ,"Journal of Investment Consulting2, 2-12.
Wayne Ferson, Jon Christopherson, Tom Goodwin, Andrew Turner
() "Performance Evaluation of Tactical Asset Allocation Managers ,"Journal of Performance Measurement4.
Wayne Ferson, Sergei Sarkissian, Timothy Simin
() "The Alpha Factor Asset Pricing Model: A Parable ,"Journal of Financial Markets2, 49-68.
Wayne Ferson, Campbell Harvey
() "Economic, Financial and Fundamental Global Risk In and out of EMU ,"Swedish Economic Policy Review6, 123-184.
Wayne Ferson, Jon Christopherson, Andrew Turner
() "Performance evaluation using Conditional alphas and betas ,"Journal of Portfolio Management26, 59-72.
Wayne Ferson, Connie Becker, David Myers, Michael Schill
() "Conditional Marketing Timing with Benchmark Investors ,"Journal of Financial Economics52, 119-148.
Wayne Ferson, Campbell Harvey
() "Conditioning Variables and Cross-Section of Stock Returns ,"Journal of Finance54, 1325-1360.
Wayne Ferson, Jon Christopherson, Debra Glassman
() "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance ,"Review of Financial Studies11, 11-142.
Wayne Ferson, Dennis Locke
() "Cost of Capital Estimation without CAPM: Analysis of Sources of Error ,"Management Science44, 485-500.
Wayne Ferson, Jon Christopherson, Debra Glassman
() "Conditional Measures of Performance and Persistence for Pension Funds ,"Research in FinanceJAI Press16, 1-46.
Wayne Ferson, Connie Becker, David Meyers, Michael Schill
() "Conditional Market Timing with Benchmark Investors ,"Journal of Finance52, 1028.
Wayne Ferson, Campbell Harvey
() "Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing ,"Journal of Banking and Finance 21, 1625-1665.
Wayne Ferson
() "Evaluating Mutual Funds in a Changing Economy ,"Investors' Outlook.
Wayne Ferson, Heber Farnsworth, David Jackson, Steven Todd
() "Conditional Performance Evaluation ,"Journal of Finance.
Wayne Ferson, Rudi Schadt
() "Measuring fund strategy and performance in changing economic conditions ,"Journal of Finance51, 425-462.
Wayne Ferson, Ravi Jagannathan
() "Econometric Evaluation of Asset Pricing Models ,"Handbook of Statistics: Statistical Methods of Finance1-3014.
Wayne Ferson, Vincent Warther
() "Evaluating Fund Performance in a Dynamic Market ,"Financial Analysts Journal52, 20-28.
Wayne Ferson
() "Warning: Attribute-sorted Portfolios Can be Hazardous to Your Research ,"Modern Portfolio Theory and its ApplicationsCenter for Academic Societies, 21-32.
Wayne Ferson, Robert Korajczyk
() "Do Arbitrage Pricing Modles Explain the Predictability of Stock Returns? ,"Jorunal of Business68, 309-349.
Wayne Ferson, Campbell Harvey
() "Predictability and Time-varying Risk in World Equity Markets ,"Research in FinanceJAI Press13, 25-85.
Wayne Ferson
() "Theory and Empirical Testing of Asset Pricing Models ,"Finance, Handbooks in Operations Research and Management ScienceElsevier, 5, 145-200.
Wayne Ferson, Robert Korajczyk
() "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? ,"Journal of Business68, 309-349.
Wayne Ferson, Stephen Foerster
() "Further Results on the Small-sample Properities of the Generalized Method of Moments: Tests of Latent Variables Models ,"Research in FinanceJAI Press13, 91-144.
Wayne Ferson, Stephen Foerster
() "Finite Sample Properties of the Generalized Methods of Moments Tests of Conditional Asset Pricing Models ,"Journal of Financial Economics36, 29-56.
Wayne Ferson, Campbell Harvey
() "An Exploratory Investigation of the Fundamental Determinants of International Equity Market Returns ,"Internationalization of Equity MarketsUniversity of Chicago Press, 59-148.
Wayne Ferson
() "Asset Pricing Models ,"McGraw-Hill Encyclopedia of Economics, 47-52.
Wayne Ferson, Campbell Harvey
() "Sources of Risk and Expected Returns in Global Equity Markets ,"Journal of Banking and Finance18, 775-803.
Wayne Ferson, Robert Krainer
() "Business Cycles in a Debt and Equity Economy ,"Journal of Finance48, 2034-2037.
Wayne Ferson, Robert Korajczyk
() "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? ,"Journal of Finance48, 1085.
Wayne Ferson, Stephen Foerster, Donald Keim
() "Tests of General Latent Variable Models and mean Variance Spanning ,"Journal of Finance48, 131-156.
Wayne Ferson, Campbell Harvey
() "Explaining the Predictability of Asset Returns ,"Research in FinanceJAI Press11, 65-106.
Wayne Ferson, Campbell Harvey
() "Seasonality and Heteroskedasticity in Consumption-based Asset Pricing: An Analysis of Linear Models ,"Research in FinanceJAI Press11, 1-35.
Wayne Ferson, Campbell Harvey
() "The Risk and Predictability of International Equity Returns ,"Review of Financial Studies6, 527-566.
Wayne Ferson, Philip Braun, George Constantinides
() "Time Nonseparability in Aggregate Consumption: International Evidence ,"European Economic Review37, 897-920.
Wayne Ferson, Campbell Harvey
() "Seasonality and Consumption-Based Asset Pricing ,"Journal of Finance47, 511-552.
Wayne Ferson, George Constantinides
() "Habit Persistence and Durability in Aggregate Consumption: Empirical Tests ,"Journal of Financial Economics29, 199-240.
Wayne Ferson, Campbell Harvey
() "The Variation of Economic Risk Premiums ,"Journal of Political Economy99, 385-415.
Wayne Ferson, Campbell Harvey
() "Sources of Predictability in Portfolio Returns ,"Financial Analysts Journal, 49-56.
Wayne Ferson
() "Are the Latent Variables in Time-varying Expected Returns Compensation for Consumption Risk? ,"Journal of Finance45, 397-430.
Wayne Ferson
() "Changes in Expected Security Returns, Risk and the Level of Interest Rates ,"Jourrnal of Finance44, 1191-1217.
Wayne Ferson, John Merrick
() "Non-Stationarity and the Stage of the Business Cycle Effects in Consumption-based Asset Pricing Relations ,"Journal of Financial Economics18, 127-146.
Wayne Ferson, Shmuel Kandel, Robert Stambaugh
() "Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas ,"Journal of Finance 42, 201-220.
Wayne Ferson
() "Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests ,"Journal of Financial and Quantitative Analysis18, 477-497.
Wayne Ferson
() "Changes in Expected Risk Premiums and Security Risk Measures ,"Proceedings of the European Finance Association.
Wayne Ferson, Donald Keim
() "Empirical in Regularities in Stock Returns Involving Day, Size and Season ,"The Proceedings of the Seminar on the Analysis of Security PricesUniversity of Chicago.
Wayne Ferson
() "Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests ,"Journal of Financial and Quantitative Analysis18, 477-497.
