Wayne Ferson : Citation Profile


Are you Wayne Ferson?

Boston College

15

H index

17

i10 index

2140

Citations

RESEARCH PRODUCTION:

6

Articles

30

Papers

1

Chapters

RESEARCH ACTIVITY:

   31 years (1982 - 2013). See details.
   Cites by year: 69
   Journals where Wayne Ferson has often published
   Relations with other researchers
   Recent citing documents: 97.    Total self citations: 15 (0.7 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfe32
   Updated: 2018-06-16    RAS profile: 2007-03-03    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Wayne Ferson.

Is cited by:

Harvey, Campbell (35)

Warnock, Francis (29)

Thomas, Charles (28)

Wongswan, Jon (23)

Ang, Andrew (21)

Guidolin, Massimo (20)

Sousa, Ricardo (18)

Garcia, René (18)

Vaihekoski, Mika (17)

Zhou, Guofu (16)

Robotti, Cesare (16)

Cites to:

Harvey, Campbell (46)

Hansen, Lars (45)

Fama, Eugene (40)

French, Kenneth (39)

Jagannathan, Ravi (35)

Stambaugh, Robert (27)

Campbell, John (22)

Kandel, Shmuel (19)

Shanken, Jay (19)

Korajczyk, Robert (17)

Simin, Timothy (14)

Main data


Where Wayne Ferson has published?


Journals with more than one article published# docs
Review of Financial Studies4

Recent works citing Wayne Ferson (2018 and 2017)


YearTitle of citing document
2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2017-13.

Full description at Econpapers || Download paper

2017Russian-Doll Risk Models. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1412.4342.

Full description at Econpapers || Download paper

2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

Full description at Econpapers || Download paper

2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

Full description at Econpapers || Download paper

2017Non-parametric and semi-parametric asset pricing. (2017). Ormos, Mihály ; Erdos, Peter ; Zibriczky, David . In: Papers. RePEc:arx:papers:1703.09500.

Full description at Econpapers || Download paper

2017Managing Volatility Risk: An Application of Karhunen-Lo\`eve Decomposition and Filtered Historical Simulation. (2017). Yao, Jinglun ; Laurent, Sabine. In: Papers. RePEc:arx:papers:1710.00859.

Full description at Econpapers || Download paper

2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

Full description at Econpapers || Download paper

2017Can Macroeconomic Variables Explain Managed Fund Returns? The Australian Case. (2017). Wang, Luo ; Liu, Benjamin. In: Economic Papers. RePEc:bla:econpa:v:36:y:2017:i:2:p:171-184.

Full description at Econpapers || Download paper

2017THE VALUE IN FUNDAMENTAL ACCOUNTING INFORMATION. (2017). Turtle, H J ; Wang, Kainan. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:1:p:113-140.

Full description at Econpapers || Download paper

2017Detecting at-Most-m Changes in Linear Regression Models. (2017). Pouliot, William ; Horvath, Lajos ; Wang, Shixuan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:552-590.

Full description at Econpapers || Download paper

2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

Full description at Econpapers || Download paper

2017Cointegration and Causality Relationship Between Stock Market, Money Market and Foreign Exchange Market in Pakistan. (2017). Ghulam, Abbas ; Laxmi, Koju ; Roni, Bhowmik ; Shouyang, Wang. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:5:y:2017:i:1:p:1-20:n:1.

Full description at Econpapers || Download paper

2017Testing for asymmetry in betas of cumulative returns: Impact of the financial crisis and crude oil price. (2017). Piotr, Kokoszka ; Ben, Zheng ; Hong, Miao . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:34:y:2017:i:1-2:p:33-53:n:5.

Full description at Econpapers || Download paper

2017Forecasting Stock Returns: A Predictor-Constrained Approach. (2017). Pettenuzzo, Davide. In: Working Papers. RePEc:brd:wpaper:116.

Full description at Econpapers || Download paper

2017Forecasting Stock Returns: A Predictor-Constrained Approach. (2017). Pettenuzzo, Davide ; Wang, Yudong ; Pan, Zhiyuan. In: Working Papers. RePEc:brd:wpaper:116r.

Full description at Econpapers || Download paper

2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan G ; Lunde, Asger ; Groenborg, Niels . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11896.

Full description at Econpapers || Download paper

2017Pension funds carbon footprint and investment trade-offs. (2017). Boermans, Martijn ; Galema, Rients. In: DNB Working Papers. RePEc:dnb:dnbwpp:554.

Full description at Econpapers || Download paper

2018The regional pricing of risk: An empirical investigation of the MENA Region. (2018). Khaled, Khaled ; Kablan, Sandrine ; Belanes, Amel . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00990.

Full description at Econpapers || Download paper

2017Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms. (2017). Alaali, Fatema . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-51.

Full description at Econpapers || Download paper

2017Composite habits and international transmission of business cycles. (2017). Dmitriev, Alexandre. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:76:y:2017:i:c:p:1-34.

Full description at Econpapers || Download paper

2017Asset prices and economic fluctuations: The implications of stochastic volatility. (2017). Chen, Junping ; Zhu, Xiaoneng ; Xiong, Xiong. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:128-140.

Full description at Econpapers || Download paper

2017Learning about individual managers’ performance in UK pension funds: The importance of specialization. (2017). Alda, Mercedes ; Sarto, Jose Luis ; Andreu, Laura. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:654-667.

Full description at Econpapers || Download paper

2017Habit formation in consumption: A meta-analysis. (2017). Sokolova, Anna ; Rusnák, Marek ; Havranek, Tomas ; Rusnak, Marek . In: European Economic Review. RePEc:eee:eecrev:v:95:y:2017:i:c:p:142-167.

Full description at Econpapers || Download paper

2017Time-varying continuous and jump betas: The role of firm characteristics and periods of stress. (2017). Yao, Wenying ; Dungey, Mardi ; Alexeev, Vitali. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:1-19.

Full description at Econpapers || Download paper

2017Can investor sentiment be a momentum time-series predictor? Evidence from China. (2017). Li, Youwei ; Han, Xing . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:212-239.

Full description at Econpapers || Download paper

2017Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:159-184.

Full description at Econpapers || Download paper

2017Diversification benefits of commodities: A stochastic dominance efficiency approach. (2017). Skiadopoulos, George ; Topaloglou, Nikolas ; Daskalaki, Charoula . In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:250-269.

Full description at Econpapers || Download paper

2017Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks. (2017). Xyngis, Georgios. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:43-65.

Full description at Econpapers || Download paper

2017Assessing contagion risk from energy and non-energy commodity markets. (2017). Algieri, Bernardina ; Leccadito, Arturo . In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:312-322.

Full description at Econpapers || Download paper

2017Oil volatility risk and stock market volatility predictability: Evidence from G7 countries. (2017). Feng, Jiabao ; Yin, Libo ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:240-254.

Full description at Econpapers || Download paper

2017Why do CEOs agree to the discipline of dividends?. (2017). Smith, Deborah Drummond ; Marciniak, Marek R ; Pennathur, Anita K. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:38-48.

Full description at Econpapers || Download paper

2018A conditional regime switching CAPM. (2018). Vendrame, Vasco ; Tucker, Jon ; Guermat, Cherif. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:1-11.

Full description at Econpapers || Download paper

2018Technical analysis and stock return predictability: An aligned approach. (2018). Lin, QI. In: Journal of Financial Markets. RePEc:eee:finmar:v:38:y:2018:i:c:p:103-123.

Full description at Econpapers || Download paper

2017International stock market leadership and its determinants. (2017). Cai, Charlie X ; Zhang, QI ; Mobarek, Asma. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:150-162.

Full description at Econpapers || Download paper

2017The world price of sentiment risk. (2017). Keiber, Karl Ludwig ; Samyschew, Helene . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:62-82.

Full description at Econpapers || Download paper

2017Predicting risk premium under changes in the conditional distribution of stock returns. (2017). Sousa, Ricardo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:204-218.

Full description at Econpapers || Download paper

2017Financial contagion risk and the stochastic discount factor. (2017). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:230-248.

Full description at Econpapers || Download paper

2017Maximum likelihood estimation of the equity premium. (2017). Avdis, Efstathios ; Wachter, Jessica A. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:589-609.

Full description at Econpapers || Download paper

2017Non-separable time preferences, novelty consumption and body weight: Theory and evidence from the East German transition to capitalism. (2017). Ziebarth, Nicolas ; dragone, davide. In: Journal of Health Economics. RePEc:eee:jhecon:v:51:y:2017:i:c:p:41-65.

Full description at Econpapers || Download paper

2018Information demand and stock return predictability. (2018). Vlastakis, Nikolaos ; Papadimitriou, Fotios I ; Chronopoulos, Dimitris K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74.

Full description at Econpapers || Download paper

2017Growing income inequality due to biased technological change. (2017). Perera-Tallo, Fernando . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:52:y:2017:i:c:p:23-38.

Full description at Econpapers || Download paper

2017Car ownership and hedonic adaptation. (2017). Qari, Salmai ; Emmerling, Johannes. In: Journal of Economic Psychology. RePEc:eee:joepsy:v:61:y:2017:i:c:p:29-38.

Full description at Econpapers || Download paper

2017Investor sentiment and economic forces. (2017). Shen, Junyan ; Zhao, Shen ; Yu, Jianfeng . In: Journal of Monetary Economics. RePEc:eee:moneco:v:86:y:2017:i:c:p:1-21.

Full description at Econpapers || Download paper

2017The cross-section and time series of stock and bond returns. (2017). Van Nieuwerburgh, Stijn ; Lustig, Hanno. In: Journal of Monetary Economics. RePEc:eee:moneco:v:88:y:2017:i:c:p:50-69.

Full description at Econpapers || Download paper

2017Examining return predictability of industry style portfolios with prior return relative to a benchmark. (2017). Noman, Abdullah ; Zirek, Duygu ; Naka, Atsuyuki . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:193-203.

Full description at Econpapers || Download paper

2017Time varying international financial integration for GCC stock markets. (2017). Mishra, Anil ; Alotaibi, Abdullah R. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:66-78.

Full description at Econpapers || Download paper

2017Market states and the risk-return tradeoff. (2017). Wang, Zijun ; Khan, Moosa M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:314-327.

Full description at Econpapers || Download paper

2018Impact of sponsorship on fixed-income fund performance. (2018). Ayadi, Mohamed A ; Mohebshahedin, Mahmood ; Kryzanowski, Lawrence. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:121-137.

Full description at Econpapers || Download paper

2018Estimating the beta-return relationship by considering the sign and the magnitude of daily returns. (2018). ben Sita, Bernard. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:28-35.

Full description at Econpapers || Download paper

2017Macroeconomic factors and index option returns. (2017). Lai, Ya-Wen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:452-477.

Full description at Econpapers || Download paper

2017Conditional asset pricing in international equity markets. (2017). Huynh, Thanh D. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:168-189.

Full description at Econpapers || Download paper

2017Asset pricing with investor sentiment: On the use of investor group behavior to forecast ASEAN markets. (2017). French, Jordan . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:124-148.

Full description at Econpapers || Download paper

2017Performance persistence in Chinese securities investment funds. (2017). Sherman, Meadhbh ; Gao, Jun ; Osullivan, Niall. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1467-1477.

Full description at Econpapers || Download paper

2018Saving in the world. (2018). Schmidt-Hebbel, Klaus ; Grigoli, Francesco ; Herman, Alexander. In: World Development. RePEc:eee:wdevel:v:104:y:2018:i:c:p:257-270.

Full description at Econpapers || Download paper

2017The abilities of managers in UK pension funds. Are socially responsible managers superior?. (2017). Alda, Mercedes. In: Cuadernos de Gestión. RePEc:ehu:cuader:24426.

Full description at Econpapers || Download paper

2018Financialized Commodities and Stock Indices Volatilities. (2018). Handika, Rangga ; Ashraf, Sania. In: European Research Studies Journal. RePEc:ers:journl:v:xx:y:2017:i:3b:p:153-164.

Full description at Econpapers || Download paper

2017Do Macro-Economic and Technical Indicators Matter?- a Principal Component Analysis Approach for Equity Risk Premium Prediction. (2017). Ul, Naveed ; Mushtaq, Maryam ; Aziz, Bilal . In: EJES European Journal of Economics and Business Studies Articles. RePEc:eur:ejesjr:184.

Full description at Econpapers || Download paper

2017The Transmission of Monetary Policy through Bank Lending : The Floating Rate Channel. (2017). Ozdagli, Ali ; Ippolito, Filippo ; Perez, Ander. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-26.

Full description at Econpapers || Download paper

2017The regional pricing of risk: An empirical investigation of the MENA equity determinants. (2017). Kablan, Akassi ; Guesmi, Khaled ; Belgacem, Aymen. In: Working Papers. RePEc:hal:wpaper:hal-01527654.

Full description at Econpapers || Download paper

2017Return Predictability in Australian Managed Funds. (2017). Gupta, Rakesh ; Liu, Benjamin ; Su, Jen-Je ; Wang, Luo . In: International Journal of Business and Economics. RePEc:ijb:journl:v:16:y:2017:i:1:p:1-19.

Full description at Econpapers || Download paper

2017Performance Evaluation of Religious Funds. (2017). Das, Praveen ; Boudreaux, Denis ; Uma, S P. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:8:y:2017:i:4:p:240-247.

Full description at Econpapers || Download paper

2017On Asymmetric Market Model with Heteroskedasticity and Quantile Regression. (2017). Chen, Cathy W. S. ; Sriboonchitta, Songsak ; Li, Muyi . In: Computational Economics. RePEc:kap:compec:v:49:y:2017:i:1:d:10.1007_s10614-015-9550-3.

Full description at Econpapers || Download paper

2017Tullock on the organization of scientific inquiry. (2017). Heckelman, Jac. In: Constitutional Political Economy. RePEc:kap:copoec:v:28:y:2017:i:1:d:10.1007_s10602-016-9209-7.

Full description at Econpapers || Download paper

2017Predicting stock returns in the presence of uncertain structural changes and sample noise. (2017). Mantilla-Garcia, Daniel ; Vaidyanathan, Vijay . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:3:d:10.1007_s11408-017-0290-3.

Full description at Econpapers || Download paper

2018Stock price reaction to profit warnings: the role of time-varying betas. (2018). Yin, Shuxing ; Saadouni, Brahim ; Benamraoui, Abdelhafid ; Mazouz, Khelifa. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0623-3.

Full description at Econpapers || Download paper

2018Consumption-based capital asset pricing models: issues and controversies. (2018). Choi, Wonnho . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0627-z.

Full description at Econpapers || Download paper

2017Full disclosure and financial stability: how does the market digest the transparency shock?. (2017). Pacicco, Fausto ; Venegoni, Andrea ; Vena, Luigi . In: LIUC Papers in Economics. RePEc:liu:liucec:305.

Full description at Econpapers || Download paper

2017Asset Pricing and Excess Returns over the Market Return. (2017). Ahn, Seung C ; Horenstein, Alex R. In: Working Papers. RePEc:mia:wpaper:2017-12.

Full description at Econpapers || Download paper

2017On the Global Financial Market Integration “Swoosh” and the Trilemma. (2017). Mehl, Arnaud ; Bekaert, Geert. In: NBER Working Papers. RePEc:nbr:nberwo:23124.

Full description at Econpapers || Download paper

2017Inference on Risk Premia in the Presence of Omitted Factors. (2017). Giglio, Stefano ; Xiu, Dacheng. In: NBER Working Papers. RePEc:nbr:nberwo:23527.

Full description at Econpapers || Download paper

2017Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates. (2017). Lustig, Hanno ; Richmond, Robert J. In: NBER Working Papers. RePEc:nbr:nberwo:23773.

Full description at Econpapers || Download paper

2017Sparse Signals in the Cross-Section of Returns. (2017). Chinco, Alexander M ; Ye, Mao ; Clark-Joseph, Adam D. In: NBER Working Papers. RePEc:nbr:nberwo:23933.

Full description at Econpapers || Download paper

2017The Value of Active Investment Strategies. (2017). Zaher, Tarek. In: NFI Working Papers. RePEc:nfi:nfiwps:2017-wp-02.

Full description at Econpapers || Download paper

2017Sovereign Bond Risk Premiums. (2017). Zechner, Josef ; Mayer, Manuel ; Dockner, Engelbert . In: Working Papers. RePEc:onb:oenbwp:217.

Full description at Econpapers || Download paper

2017The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: Working Papers. RePEc:otg:wpaper:1710.

Full description at Econpapers || Download paper

2018Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?*. (2018). Guidolin, Massimo ; Ravazzolo, Francesco ; Bianchi, Daniele. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:34-62..

Full description at Econpapers || Download paper

2017The Dynamics of Tobin’s Q. (2017). Puopolo, Giovanni W. In: Review of Finance. RePEc:oup:revfin:v:21:y:2017:i:5:p:2075-2102..

Full description at Econpapers || Download paper

2017Leading or lagging indicators of risk? The informational content of extra-financial performance scores. (2017). GILLET, Roland ; Coggins, Frank ; Champagne, Claudia ; Sodjahin, Amos. In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:5:d:10.1057_s41260-016-0039-y.

Full description at Econpapers || Download paper

2017Forecasting stock market returns by summing the frequency-decomposed parts. (2017). Verona, Fabio ; Faria, Gonalo. In: CEF.UP Working Papers. RePEc:por:cetedp:1702.

Full description at Econpapers || Download paper

2017Analysing the Effect of Oil Price Shocks on Asset Prices: evidence from UK firms. (2017). Alaali, Fatema. In: MPRA Paper. RePEc:pra:mprapa:78013.

Full description at Econpapers || Download paper

2017The Time-Varying Risk Price of Currency Carry Trades. (2017). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher. In: MPRA Paper. RePEc:pra:mprapa:80788.

Full description at Econpapers || Download paper

2017The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: MPRA Paper. RePEc:pra:mprapa:81638.

Full description at Econpapers || Download paper

2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). Yang, Xiye ; Liao, Yuan. In: Departmental Working Papers. RePEc:rut:rutres:201711.

Full description at Econpapers || Download paper

2017An SDF Approach to Hedge Funds Tail Risk:Evidence from Brazilian Funds. (2017). Almeida, Caio ; Leal, Laura Simonsen . In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:37:y:2017:i:1:a:62104.

Full description at Econpapers || Download paper

2017Predicting returns on asset markets of a small, open economy and the influence of global risks. (2017). Nitschka, Thomas ; Haab, David. In: Working Papers. RePEc:snb:snbwpa:2017-14.

Full description at Econpapers || Download paper

2018Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets. (2018). Bekiros, Stelios ; Boubaker, Sabri ; Avdoulas, Christos. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2078-z.

Full description at Econpapers || Download paper

2017ASEAN Plus Three Stock Markets Integration. (2017). Guesmi, Khaled ; Abid, Ilyes ; Kaabia, Olfa. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:15:y:2017:i:3:d:10.1007_s40953-016-0062-3.

Full description at Econpapers || Download paper

2017Research on differences of spillover effects between international crude oil price and stock markets in China and America. (2017). Liu, Zhenhua ; Lv, Tao ; Wu, Jys ; Jiang, Xin ; Ding, Zhihua . In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:88:y:2017:i:1:d:10.1007_s11069-017-2881-8.

Full description at Econpapers || Download paper

2018The Swiss franc safety premium. (2018). Leutert, Jessica. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:154:y:2018:i:1:d:10.1186_s41937-017-0014-7.

Full description at Econpapers || Download paper

2017Analysis of the Effects of the US Stock Market Returns and Exchange Rate Changes on Emerging Market Economies’ Stock Market Volatilities. (2017). Kayral, Ihsan Erdem ; Karacaer, Semra . In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:7:y:2017:i:5:f:7_5_5.

Full description at Econpapers || Download paper

2017Analysing assets’ performance inside a portfolio: From crossed beta to the net risk premium ratio. (2017). Bosch-Badia, Maria-Teresa ; McMillan, David ; Tarrazon-Rodon, Maria-Antonia ; Montllor-Serrats, Joan. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1270251.

Full description at Econpapers || Download paper

2017CAPM with various utility functions: Theoretical developments and application to international data. (2017). Bedoui, Rihab ; McMillan, David ; Benmabrouk, Houda ; Ben Mabrouk, Houda . In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1343230.

Full description at Econpapers || Download paper

2017Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2017). Dungey, Mardi ; Jeyasreedharan, Nagaratnam ; Chowdhury, Biplob . In: Working Papers. RePEc:tas:wpaper:23638.

Full description at Econpapers || Download paper

2018Consumption and wealth in the long run: an integrated unobserved component approach. (2018). Gardberg, Malin ; Pozzi, Lorenzo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180046.

Full description at Econpapers || Download paper

2017Asset Pricing: Models and Empirical Evidence. (2017). Constantinides, George. In: Journal of Political Economy. RePEc:ucp:jpolec:doi:10.1086/694621.

Full description at Econpapers || Download paper

2017Does investor attention matter? The attention-return relation in gold futures market. (2017). Han, Liyan ; Yin, Libo ; Xu, Yang. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201737.

Full description at Econpapers || Download paper

2017Pricing sin stocks: Ethical preference vs. risk aversion. (2017). Gioffré, Alessandro ; Colonnello, Stefano ; Gioffre, Alessandro ; Curatola, Giuliano. In: IWH Discussion Papers. RePEc:zbw:iwhdps:202017.

Full description at Econpapers || Download paper

Works by Wayne Ferson:


YearTitleTypeCited
1996Econometric evaluation of asset pricing models In: Staff Report.
[Full Text][Citation analysis]
paper4
2001Tests of Asset Pricing Models with Changing Expectations In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper2
1987Tests of Asset Pricing Models with Changing Expectations.(1987) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
1991Test of Asset Pricing Models With Changing Expectations..(1991) In: Weiss Center Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
1991Tests of Asset Pricing Models with Changing Expectations.(1991) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
1992General Tests of Latent Variable Models and Mean Variance Spanning (Reprint 031) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1983Expectations of Real Interest Rates and Aggregate Consumption: Synthesis and Tests In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper2
1982Expectations of Real Interest Rates and Aggregate Consumption: Synthesis and Tests.(1982) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
1994An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns In: NBER Chapters.
[Full Text][Citation analysis]
chapter20
1993An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns.(1993) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
2004Weak and Semi-Strong Form Stock Return Predictability, Revisited In: NBER Working Papers.
[Full Text][Citation analysis]
paper2
2005Weak and Semi-Strong Form Stock Return Predictability Revisited.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2005Mimicking Portfolios with Conditioning Information In: NBER Working Papers.
[Full Text][Citation analysis]
paper5
2006Testing Portfolio Efficiency with Conditioning Information In: NBER Working Papers.
[Full Text][Citation analysis]
paper5
2006Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression In: NBER Working Papers.
[Full Text][Citation analysis]
paper15
2009Measuring the Timing Ability and Performance of Bond Mutual Funds In: NBER Working Papers.
[Full Text][Citation analysis]
paper1
2012The Out of Sample Performance of Long-run Risk Models In: NBER Working Papers.
[Full Text][Citation analysis]
paper4
2013Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity In: NBER Working Papers.
[Full Text][Citation analysis]
paper1
1991Habit Persistence and Durability in Aggregate Consumption: Empirical Tests In: NBER Working Papers.
[Full Text][Citation analysis]
paper226
1992Time Nonseparability in Aggregate Consumption: International Evidence In: NBER Working Papers.
[Full Text][Citation analysis]
paper55
1994Sources of Risk and Expected Returns in Global Equity Markets In: NBER Working Papers.
[Full Text][Citation analysis]
paper122
1996Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance In: NBER Working Papers.
[Full Text][Citation analysis]
paper108
1998Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance..(1998) In: Review of Financial Studies.
[Citation analysis]
This paper has another version. Agregated cites: 108
article
1996Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing In: NBER Working Papers.
[Full Text][Citation analysis]
paper26
1998Conditional Market Timing with Benchmark Investors In: NBER Working Papers.
[Full Text][Citation analysis]
paper5
1999Economic, Financial, and Fundamental Global Risk In and Out of the EMU In: NBER Working Papers.
[Full Text][Citation analysis]
paper14
1999Conditioning Variables and the Cross-Section of Stock Returns In: NBER Working Papers.
[Full Text][Citation analysis]
paper253
2002Stochastic Discount Factor Bounds with Conditioning Information In: NBER Working Papers.
[Full Text][Citation analysis]
paper15
2003Stochastic Discount Factor Bounds with Conditioning Information.(2003) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
article
2002Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds In: NBER Working Papers.
[Full Text][Citation analysis]
paper58
2002Performance Evaluation with Stochastic Discount Factors In: NBER Working Papers.
[Full Text][Citation analysis]
paper38
2002Spurious Regressions in Financial Economics? In: NBER Working Papers.
[Full Text][Citation analysis]
paper169
2003Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance In: NBER Working Papers.
[Full Text][Citation analysis]
paper18
2002Asset Pricing, John H. Cochrane. Princeton, NJ: Princeton University Press, 2001. 530 pp. ISBN 0-691-07498-4 In: Review of Financial Studies.
[Citation analysis]
article0
1993The Risk and Predictability of International Equity Returns. In: Review of Financial Studies.
[Full Text][Citation analysis]
article351
1995Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? In: The Journal of Business.
[Full Text][Citation analysis]
article121
1991The Variation of Economic Risk Premiums. In: Journal of Political Economy.
[Full Text][Citation analysis]
article500

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 2th 2018. Contact: CitEc Team