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Wayne Ferson

Ivadelle and Theodore Johnson Chair in Banking and Finance and Professor of Finance and Business Economics
Building
HOH
Room / Office
810

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.

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Wayne Ferson, Haitao Mo () "Performance Measurement with Market and Volatility Timing and Selectivity ,"  Journal of Financial Economics  forthcoming.
Wayne Ferson, Wayne Chang () "Are Lagged predictors Valid State Variables? ,".
Wayne Ferson, Jerchern Lin () "Alpha and Performance Measurement: The effects of investor disagreement and heterogeneity ,"  journal of finance  69, 1565-1596.
Wayne Ferson () "The "out-of-sample" Performance of Long run risk models ,"  Journal of Financial Economics  107, 537-556.
Wayne Ferson, Junbo Wang, Andy Siegel () "Asymptotic Distributions for Tests of Portfolio Efficiency with Conditioning Information ,".
Wayne Ferson () "Investment performance evaluation ,"  Annual Reviews of Financial Economics  2, 207-234.
Wayne Ferson, Helen Peters, Yong Chen () "measuring the timing ability and performance of bond mutual funds ,"  Journal of Financial Economics  98, 72-89.
Wayne Ferson, Andrew Siegel () "Testing Portfolio Efficiency with Conditioning Information ,"  review of financial studies  22, 2735-2785.
Wayne Ferson, Jon A. Christopherson, David A. Carino () "Portfolio Performance Measurement and Benchmarking ,"  Mc Graw Hill.
Wayne Ferson, Sergei Sarkissian, Timothy Simin () "Spurious Regression and Data Mining in Conditional Asset Pricing Models ,"  Handbook of Quantitative Finance.
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 Studies  19, 423-456.
Wayne Ferson, Andrew Siegel, Tracy Xu () "Mimicking Portfolios with Conditioning Information ,"  Journal of Financial and Quantitative Analysis.
Wayne Ferson, George Aragon () "Portfolio Performance Evaluation ,".
Wayne Ferson, Andrea Heuson, Tie Su () "Weak and Semi-Strong form Stock Return Predictability Revisited ,"  Management Science  51, 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 Finance  58, 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 Studies  16, 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 Economics  65, 249-282.
Wayne Ferson, Heber Farnsworth, David Jackson, Steven Todd () "Performance Evaluation with Stochastic Discount Factors ,"  Journal of Business  75, 473-504.
Wayne Ferson, Davis, Steil () "Institutional Investors ,"  Journal of Economics/Zeitschrift fur nationalokonomie  76, 196-198.
Wayne Ferson, John Cochrane () "Asset Pricing ,"  Review of Financial Studies 2002  15, 349-351.
Wayne Ferson, Andrew Siegel () "The Efficient Use of Conditioning Information in Portfolios ,"  Journal of Finance  56, 967-982.
Wayne Ferson, Jon Christopherson, Andrew Turner () "Using Time-Varying Alphas and Betas in Performance Evaluation ,"  Journal of Investment Consulting  2, 2-12.
Wayne Ferson, Jon Christopherson, Tom Goodwin, Andrew Turner () "Performance Evaluation of Tactical Asset Allocation Managers ,"  Journal of Performance Measurement  4.
Wayne Ferson, Sergei Sarkissian, Timothy Simin () "The Alpha Factor Asset Pricing Model: A Parable ,"  Journal of Financial Markets  2, 49-68.
Wayne Ferson, Campbell Harvey () "Economic, Financial and Fundamental Global Risk In and out of EMU ,"  Swedish Economic Policy Review  6, 123-184.
Wayne Ferson, Jon Christopherson, Andrew Turner () "Performance evaluation using Conditional alphas and betas ,"  Journal of Portfolio Management  26, 59-72.
Wayne Ferson, Connie Becker, David Myers, Michael Schill () "Conditional Marketing Timing with Benchmark Investors ,"  Journal of Financial Economics  52, 119-148.
Wayne Ferson, Campbell Harvey () "Conditioning Variables and Cross-Section of Stock Returns ,"  Journal of Finance  54, 1325-1360.
Wayne Ferson, Jon Christopherson, Debra Glassman () "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance ,"  Review of Financial Studies  11, 11-142.
Wayne Ferson, Dennis Locke () "Cost of Capital Estimation without CAPM: Analysis of Sources of Error ,"  Management Science  44, 485-500.
Wayne Ferson, Jon Christopherson, Debra Glassman () "Conditional Measures of Performance and Persistence for Pension Funds ,"  Research in Finance  JAI Press  16, 1-46.
Wayne Ferson, Connie Becker, David Meyers, Michael Schill () "Conditional Market Timing with Benchmark Investors ,"  Journal of Finance  52, 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 Finance  51, 425-462.
Wayne Ferson, Ravi Jagannathan () "Econometric Evaluation of Asset Pricing Models ,"  Handbook of Statistics: Statistical Methods of Finance  1-30  14.
Wayne Ferson, Vincent Warther () "Evaluating Fund Performance in a Dynamic Market ,"  Financial Analysts Journal  52, 20-28.
Wayne Ferson () "Warning: Attribute-sorted Portfolios Can be Hazardous to Your Research ,"  Modern Portfolio Theory and its Applications  Center for Academic Societies, 21-32.
Wayne Ferson, Robert Korajczyk () "Do Arbitrage Pricing Modles Explain the Predictability of Stock Returns? ,"  Jorunal of Business  68, 309-349.
Wayne Ferson, Campbell Harvey () "Predictability and Time-varying Risk in World Equity Markets ,"  Research in Finance  JAI Press  13, 25-85.
Wayne Ferson () "Theory and Empirical Testing of Asset Pricing Models ,"  Finance, Handbooks in Operations Research and Management Science  Elsevier, 5, 145-200.
Wayne Ferson, Robert Korajczyk () "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? ,"  Journal of Business  68, 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 Finance  JAI Press  13, 91-144.
Wayne Ferson, Stephen Foerster () "Finite Sample Properties of the Generalized Methods of Moments Tests of Conditional Asset Pricing Models ,"  Journal of Financial Economics  36, 29-56.
Wayne Ferson, Campbell Harvey () "An Exploratory Investigation of the Fundamental Determinants of International Equity Market Returns ,"  Internationalization of Equity Markets  University 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 Finance  18, 775-803.
Wayne Ferson, Robert Krainer () "Business Cycles in a Debt and Equity Economy ,"  Journal of Finance  48, 2034-2037.
Wayne Ferson, Robert Korajczyk () "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? ,"  Journal of Finance  48, 1085.
Wayne Ferson, Stephen Foerster, Donald Keim () "Tests of General Latent Variable Models and mean Variance Spanning ,"  Journal of Finance  48, 131-156.
Wayne Ferson, Campbell Harvey () "Explaining the Predictability of Asset Returns ,"  Research in Finance  JAI Press  11, 65-106.
Wayne Ferson, Campbell Harvey () "Seasonality and Heteroskedasticity in Consumption-based Asset Pricing: An Analysis of Linear Models ,"  Research in Finance  JAI Press  11, 1-35.
Wayne Ferson, Campbell Harvey () "The Risk and Predictability of International Equity Returns ,"  Review of Financial Studies  6, 527-566.
Wayne Ferson, Philip Braun, George Constantinides () "Time Nonseparability in Aggregate Consumption: International Evidence ,"  European Economic Review  37, 897-920.
Wayne Ferson, Campbell Harvey () "Seasonality and Consumption-Based Asset Pricing ,"  Journal of Finance  47, 511-552.
Wayne Ferson, George Constantinides () "Habit Persistence and Durability in Aggregate Consumption: Empirical Tests ,"  Journal of Financial Economics  29, 199-240.
Wayne Ferson, Campbell Harvey () "The Variation of Economic Risk Premiums ,"  Journal of Political Economy  99, 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 Finance  45, 397-430.
Wayne Ferson () "Changes in Expected Security Returns, Risk and the Level of Interest Rates ,"  Jourrnal of Finance  44, 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 Economics  18, 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 Analysis  18, 477-497.
Wayne Ferson () "Changes in Expected Risk Premiums and Security Risk Measures ,"  Proceedings of the European Finance Association.
Wayne Ferson, Michael Gibbons () "Testing Asset Pricing Models with Changing Expectations and an Unobservable market Portfolio ,"  Journal of Financial Economics  14, 216-236.
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 Prices  University of Chicago.
Wayne Ferson () "Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests ,"  Journal of Financial and Quantitative Analysis  18, 477-497.