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Economics and Finance

D-Index
56
Citations
21781
World Ranking
981
National Ranking
614

Overview

Wayne E. Ferson is affiliated with the University of Southern California in the United States. Their research primarily focuses on the broad field of Economics, Econometrics, and Finance, with significant contributions to both subfields and topics within this domain.

The main subfields of study in Wayne E. Ferson's work include Finance, Economics and Econometrics, Accounting, and General Economics, Econometrics, and Finance. Their research also covers several principal topics, which are:

  • Financial Markets and Investment Strategies
  • Market Dynamics and Volatility
  • Complex Systems and Time Series Analysis
  • Housing Market and Economics
  • Financial Risk and Volatility Modeling
  • Corporate Finance and Governance
  • Monetary Policy and Economic Impact

Their recent scholarly contributions include four notable papers:

  • Factor Model Comparisons with Conditioning Information, 2024, published in the Journal of Financial and Quantitative Analysis
  • A Panel Regression Approach to Holdings-Based Fund Performance Measures, 2021, published in The Review of Asset Pricing Studies
  • Factor Model Comparisons with Conditioning Information, 2021, published in SSRN Electronic Journal
  • A Panel Regression Approach to Holdings-Based Fund Performance Measures, 2020, published in SSRN Electronic Journal

Frequent publication venues for Wayne E. Ferson include:

  • SSRN Electronic Journal
  • Journal of Financial and Quantitative Analysis
  • The Review of Asset Pricing Studies

Collaborations are an integral part of Wayne E. Ferson's research activities. Frequent co-authors include:

  • Junbo L. Wang
  • Yong Chen
  • Andrew F. Siegel

Best Publications

  • Measuring Fund Strategy and Performance in Changing Economic Conditions

    Wayne E. Ferson;Rudi W. Schadt

  • THE VARIATION OF ECONOMIC RISK PREMIUMS

    Wayne E. Ferson;Campbell R. Harvey

  • Conditioning Variables and the Cross-Section of Stock Returns

    Wayne Ferson;Campbell Harvey

  • The Risk and Predictability of International Equity Returns

    Wayne E. Ferson;Campbell R. Harvey

  • Conditioning Variables and the Cross Section of Stock Returns

    Wayne E. Ferson;Campbell R. Harvey

  • Habit persistence and durability in aggregate consumption: Empirical tests

    Wayne E. Ferson;George M. Constantinides

  • Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance

    Jon A. Christopherson;Wayne E. Ferson;Debra A. Glassman

  • Spurious Regressions in Financial Economics

    Wayne E. Ferson;Sergei Sarkissian;Timothy T. Simin

  • The Risk and Predictability of International Equity Returns

    Unknown

  • Sources of Risk and Expected Returns in Global Equity Markets

    Wayne Ferson;Campbell Harvey

  • Sources of risk and expected returns in global equity markets

    Wayne E. Ferson;Campbell R. Harvey;Campbell R. Harvey

  • Do Arbitrage Pricing Models Explain the Predictability of Stock Returns

    Wayne E. Ferson;Robert A. Korajczyk

  • Habit persistence and durability in aggregate consumption

    Wayne E. Ferson;George M. Constantinides

  • Testing asset pricing models with changing expectations and an unobservable market portfolio

    Michael R. Gibbons;Wayne Ferson

  • Finite sample properties of the generalized method of moments in tests of conditional asset pricing models

    Wayne E. Ferson;Stephen R. Foerster

  • Conditional Market Timing with Benchmark Investors

    Connie Becker;Wayne Ferson;Wayne Ferson;David H. Myers;Michael J. Schill

  • Changes in Expected Security Returns, Risk, and the Level of Interest Rates

    Wayne E. Ferson

  • Measuring Fund Strategy and Performance in Changing Economic Conditions

    Wayne E. Ferson;Wayne E. Ferson;Rudi Schadt

  • Tests of Asset Pricing with Time‐Varying Expected Risk Premiums and Market Betas

    Wayne E. Ferson;Shmuel Kandel;Robert F. Stambaugh

  • Measuring the timing ability and performance of bond mutual funds

    Yong Chen;Wayne Ferson;Helen Peters

  • Conditional performance measurement using portfolio weights: evidence for pension funds☆

    Wayne Ferson;Wayne Ferson;Kenneth Khang

  • Conditioning Variables and the Cross-Section of Stock Returns

    Wayne E. Ferson;Wayne E. Ferson;Campbell R. Harvey;Campbell R. Harvey

  • Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing

    Wayne E Ferson;Campbell R Harvey

  • The Variation of Economic Risk Premiums

    Wayne E. Ferson;Wayne E. Ferson;Campbell R. Harvey;Campbell R. Harvey

  • Habit Persistence and Durability in Aggregate Consumption: Empirical Tests

    George M. Constantinides;George M. Constantinides;Wayne E. Ferson;Wayne E. Ferson

Frequent Co-Authors

Campbell R. Harvey
Campbell R. Harvey Duke University
George M. Constantinides
George M. Constantinides University of Chicago
Ravi Jagannathan
Ravi Jagannathan Northwestern University
Robert A. Korajczyk
Robert A. Korajczyk Northwestern University
Donald B. Keim
Donald B. Keim University of Pennsylvania
Eric Ghysels
Eric Ghysels University of North Carolina at Chapel Hill
Marshall E. Blume
Marshall E. Blume University of Pennsylvania
George J. Benston
George J. Benston Emory University
Stefan Nagel
Stefan Nagel University of Chicago
John G. Matsusaka
John G. Matsusaka University of Southern California

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