Wayne Ferson : Citation Profile


Are you Wayne Ferson?

Boston College

17

H index

17

i10 index

2739

Citations

RESEARCH PRODUCTION:

6

Articles

31

Papers

1

Chapters

RESEARCH ACTIVITY:

   38 years (1982 - 2020). See details.
   Cites by year: 72
   Journals where Wayne Ferson has often published
   Relations with other researchers
   Recent citing documents: 110.    Total self citations: 16 (0.58 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfe32
   Updated: 2022-11-19    RAS profile: 2007-03-03    
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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)

Sousa, Ricardo (22)

Guidolin, Massimo (22)

Ang, Andrew (21)

Garcia, René (20)

Robotti, Cesare (18)

wermers, russell (18)

Carrasco Gutierrez, Carlos (18)

Cites to:

Hansen, Lars (50)

Harvey, Campbell (48)

Fama, Eugene (44)

French, Kenneth (38)

Jagannathan, Ravi (33)

Stambaugh, Robert (31)

Campbell, John (25)

Kandel, Shmuel (20)

Shanken, Jay (20)

Keim, Donald (18)

Korajczyk, Robert (17)

Main data


Where Wayne Ferson has published?


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

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc23

Recent works citing Wayne Ferson (2022 and 2021)


YearTitle of citing document
2021Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2021Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455.

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2022Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644.

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2022A penalized two-pass regression to predict stock returns with time-varying risk premia. (2022). Scaillet, Olivier ; Guerrier, St'Ephane ; Bakalli, Gaetan. In: Papers. RePEc:arx:papers:2208.00972.

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2022A Unified Framework for Estimation of High-dimensional Conditional Factor Models. (2022). Chen, Qihui. In: Papers. RePEc:arx:papers:2209.00391.

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2022Index Tracking via Learning to Predict Market Sensitivities. (2022). Choi, Yongmin ; Kim, Jeonghun ; Hong, Yoonsik. In: Papers. RePEc:arx:papers:2209.00780.

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2021Testing external habits in an asset pricing model. (2021). Goenka, Aditya ; D'Addona, Stefano ; Boschi, Melisso . In: Discussion Papers. RePEc:bir:birmec:21-11.

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2022Aggregate accounting earnings, special items and growth in gross domestic product: evidence from Australia. (2022). Fargher, Neil ; Zhang, Lijuan. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:2:p:2467-2496.

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2021Dynamics of crude oil price shocks and major Latin American Equity Markets: A study in time and frequency domains. (2021). Raffiee, Kambiz ; Macri, Joseph ; Chatrath, Arjun ; Adrangi, Bahram. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:3:p:432-455.

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2021How to build a factor portfolio: Does the allocation strategy matter?. (2021). Wendt, Viktoriasophie ; Drobetz, Wolfgang ; Dichtl, Hubert. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:20-58.

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2021Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard?to?value fundamentals. (2021). Strauss, Jack ; Liu, Hong ; Detzel, Andrew ; Zhu, Yingzi ; Zhou, Guofu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:107-137.

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2021Heterogeneous preferences, investment, and asset pricing. (2021). Mu, Congming ; Lu, Lei ; Liu, BO ; Yang, Jinqiang. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:4:p:1169-1193.

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2022Stock returns and inflation shocks in weaker economic times. (2022). Sun, Licheng ; Stivers, Chris ; Connolly, Robert A. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:827-867.

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2022Can technical indicators predict the Chinese equity risk premium?. (2022). Glabadanidis, Paskalis ; Sun, Mingwei. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:114-142.

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2022Late to Recessions: Stocks and the Business Cycle. (2022). Gomezcram, Roberto. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:923-966.

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2021When it rains, it pours: Multifactor asset management in good and bad times. (2021). Szafarz, Ariane ; Briere, Marie. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:641-669.

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2022Mutual fund performance and changes in factor exposure. (2022). Matallinsaez, Juan Carlos ; Juan Carlos Matallin Saez, ; de Mingolopez, Diego Victor ; Conlon, Thomas ; Bessler, Wolfgang. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:1:p:17-52.

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2021Risk Appetite Fluctuations in the Insurance Industry. (2021). Rochet, Jean Charles ; Luciano, Elisa. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:666.

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2021Measuring Market Expectations. (2021). Baumeister, Christiane. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9305.

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2021International Asset Pricing with Strategic Business Groups. (2021). Zhang, Hong ; O'Donovan, James ; Massa, Massimo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15746.

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2022COVID-19 Shock and Sectorial Index Response in South Africa: A Cross-sector Analysis. (2022). Vengesai, Edson. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-04-16.

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2021Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach. (2021). Sutcliffe, Charles ; Stafylas, Dimitrios ; Platanakis, Emmanouil ; Newton, David ; Ye, Xiaoxia. In: The British Accounting Review. RePEc:eee:bracre:v:53:y:2021:i:5:s0890838921000263.

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2021Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach. (2021). Santi, Caterina ; Chan, Joshua. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000361.

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2022Asymmetries in risk premia, macroeconomic uncertainty and business cycles. (2022). Yeromonahos, Mallory ; Gortz, Christoph. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000355.

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2021Are the profitability and investment factors valid ICAPM risk factors? Pre-1963 evidence. (2021). Lin, XI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000851.

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2022The environmental and financial performance of green energy investments: European evidence. (2022). Silva, Florinda ; Andrade, Nuno ; Cortez, Maria Ceu. In: Ecological Economics. RePEc:eee:ecolec:v:197:y:2022:i:c:s0921800922000891.

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2021Consistent inference for predictive regressions in persistent economic systems. (2021). Andersen, Torben ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:215-244.

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2022Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence. (2022). Xu, Qiuhua ; Fang, Ying ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:114-133.

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2021Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet. (2021). Golinski, Adam ; Goliski, Adam. In: European Economic Review. RePEc:eee:eecrev:v:131:y:2021:i:c:s0014292120302439.

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2021Modeling the cross-section of stock returns using sensible models in a model pool. (2021). Zhou, Qing ; Liao, Yin ; Chiang, I-Hsuan Ethan ; I-Hsuan Ethan Chiang, . In: Journal of Empirical Finance. RePEc:eee:empfin:v:60:y:2021:i:c:p:56-73.

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2021Do financial variables help predict the conditional distribution of the market portfolio?. (2021). Zamenjani, Azam Shamsi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:327-345.

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2021Investor sentiment and stock returns: Global evidence. (2021). Duxbury, Darren ; Su, Chen ; Wang, Wenzhao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:365-391.

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2022The time-varying bond risk premia in China. (2022). Liu, Lanbiao ; Guo, Bin ; Zhang, Han. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:51-76.

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2021International stock return predictability. (2021). Smith, Simon C. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002805.

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2022The cost of overconfidence in public information. (2022). Noh, Sanha ; Cho, Youngha ; Hwang, Soosung. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003070.

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2022Do heterogeneous oil price shocks really have different effects on earnings management?. (2022). Lin, Boqiang ; Wu, Nan. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003203.

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2022Mutual fund performance persistence: Factor models and portfolio size. (2022). O'Sullivan, Niall ; Nitzsche, Dirk ; Cuthbertson, Keith. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922001016.

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2022Investor sentiment indices based on k-step PLS algorithm: A group of powerful predictors of stock market returns. (2022). Yu, Changrui ; Song, Ziyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002733.

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2021Large sample size bias in empirical finance. (2021). Michaelides, Michael. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316494.

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2022Stock return predictability in China: Power of oil price trend. (2022). Zhang, Qunzi ; Cao, Zhen. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005006.

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2021Predicting stock returns with implied cost of capital: A partial least squares approach. (2021). Peng, Xiaowen ; Huang, Ronghong ; Cannavan, Damien ; Hoang, Khoa. In: Journal of Financial Markets. RePEc:eee:finmar:v:53:y:2021:i:c:s1386418120300458.

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2021The pricing of the illiquidity factor’s conditional risk with time-varying premium. (2021). Noh, Joonki ; Amihud, Yakov. In: Journal of Financial Markets. RePEc:eee:finmar:v:56:y:2021:i:c:s1386418120300744.

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2022Price disparity between Chinese A- and H-shares: Dividends, currency values, and the interest rate differential. (2022). Wang, Zhiqin ; Tse, Yiuman ; Liu, Qingfu ; Jiao, Feng. In: Global Finance Journal. RePEc:eee:glofin:v:53:y:2022:i:c:s104402832100017x.

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2022Factor volatility spillover and its implications on factor premia. (2022). Shi, Huai-Long ; Zhou, Wei-Xing. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001068.

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2021Short-term reversals, short-term momentum, and news-driven trading activity. (2021). Nie, Ziye Zoe ; Kirby, Chris ; Chiang, I-Hsuan Ethan ; I-Hsuan Ethan Chiang, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000261.

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2021Stock-selection timing. (2021). Zhang, Huacheng ; Zaynutdinova, Gulnara R ; Jiang, George J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000479.

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2021The q5 model and its consistency with the intertemporal CAPM. (2021). Lin, QI. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:127:y:2021:i:c:s0378426621000546.

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2022The illusion of oil return predictability: The choice of data matters!. (2022). cotter, john ; Eyiah-Donkor, Emmanuel ; Conlon, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s037842662100282x.

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2022What can we learn from firm-level jump-induced tail risk around earnings announcements?. (2022). faff, robert ; Chan, Kam Fong ; Liu, Mengxi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000097.

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2022Cross-sectional dispersion and bank performance. (2022). Saunders, Anthony ; Sadka, Gil ; Radhakrishnan, Suresh ; John, Kose ; GKOUGKOUSI, XANTHI . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000619.

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2021Do actively managed US mutual funds produce positive alpha?. (2021). Pouliot, William ; Pilbeam, Keith ; Huang, Rong. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:182:y:2021:i:c:p:472-492.

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2022The effects of public sentiments and feelings on stock market behavior: Evidence from Australia. (2022). Tiwari, Aviral ; Hammoudeh, Shawkat ; Karikari, Nana Kwasi ; Bonsu, Christiana Osei ; Aikins, Emmanuel Joel. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:193:y:2022:i:c:p:443-472.

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2021The joint effects of macroeconomic uncertainty and cyclicality on management and analyst earnings forecasts. (2021). Chen, Wei ; Yang, Xiaohui. In: Journal of Economics and Business. RePEc:eee:jebusi:v:116:y:2021:i:c:s0148619521000242.

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2021Picking funds with confidence. (2021). Wermers, Russ ; Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:1:p:1-28.

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2021Time-varying state variable risk premia in the ICAPM. (2021). Karehnke, Paul ; Boons, Martijn ; Barroso, Pedro. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:2:p:428-451.

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2021Index option returns and generalized entropy bounds. (2021). Liu, Yan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:1015-1036.

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2021Competition, profitability, and discount rates. (2021). Ji, Yan ; Dou, Winston Wei ; Wu, Wei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:582-620.

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2021Understanding momentum and reversal. (2021). Pruitt, Seth ; Moskowitz, Tobias J ; Kelly, Bryan T. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:3:p:726-743.

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2021Lucky factors. (2021). Harvey, Campbell R ; Liu, Yan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:413-435.

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2021Factors and risk premia in individual international stock returns. (2021). Scaillet, Olivier ; Chaieb, Ines ; Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:669-692.

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2021The short duration premium. (2021). Gonalves, Andrei S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:3:p:919-945.

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2021Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence. (2021). Wen, Quan ; Bali, Turan G ; Bai, Jennie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1017-1037.

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2021Global factor premiums. (2021). Swinkels, Laurens ; van Vliet, Pim ; Baltussen, Guido. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1128-1154.

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2022High policy uncertainty and low implied market volatility: An academic puzzle?. (2022). Wei, Xiaopeng ; Dang, Huong Dieu ; Biakowski, Jdrzej. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:3:p:1185-1208.

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2022International asset pricing with strategic business groups1. (2022). Zhang, Hong ; O'Donovan, James ; Massa, Massimo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:2:p:339-361.

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2021Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly. (2021). Rubesam, Alexandre ; Salmon, Mark ; Hwang, Soosung. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:111:y:2021:i:c:s0261560620302746.

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2022What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality. (2022). Sousa, Ricardo ; Costantini, Mauro. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002254.

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2022International determinants of asymmetric dependence in investment returns. (2022). Sinagl, Petra ; Alcock, Jamie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002278.

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2022The time-varying risk price of currency portfolios. (2022). Sakemoto, Ryuta ; Ibrahim, Boulis Maher ; Byrne, Joseph P. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:124:y:2022:i:c:s0261560622000390.

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2021Predictability in commodity markets: Evidence from more than a century. (2021). Simen, Chardin Wese ; Tharann, Bjorn ; Prokopczuk, Marcel ; Hollstein, Fabian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:24:y:2021:i:c:s2405851321000052.

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2021Aggregate expected investment growth and stock market returns. (2021). Yu, Jianfeng ; Wang, Huijun ; Li, Jun. In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:618-638.

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2021Evaluating the performance of U.S. international equity closed-end funds. (2021). Fletcher, Jonathan. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:60:y:2021:i:c:s1042444x21000165.

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2022Predicting the Australian equity risk premium. (2022). Jurdi, Doureige J. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:71:y:2022:i:c:s0927538x21001906.

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2021Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?. (2021). Slim, Skander ; Boughrara, Adel ; Dahmene, Meriam. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:676-699.

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2021Understanding cryptocurrency volatility: The role of oil market shocks. (2021). Yin, Libo ; Han, Liyan ; Nie, Jing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:233-253.

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2021Composite survey sentiment as a predictor of future market returns: Evidence for German equity indices. (2021). Rakovská, Zuzana ; Rakovska, Zuzana. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:473-495.

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2021International equity U.S. mutual funds and diversification benefits. (2021). Fletcher, Jonathan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:246-257.

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2021International Yield Spillovers. (2021). Ochoa, Juan ; Kim, Don H. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-01.

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2022Dynamic Factor Rotation Strategy: A Business Cycle Approach. (2022). Kwon, Dohyoung. In: IJFS. RePEc:gam:jijfss:v:10:y:2022:i:2:p:46-:d:841169.

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2022Dynamic Asymmetric Effect of Currency Risk Pricing of Exchange Rate on Equity Markets: A Regime-Switching Based C-Vine Copulas Method. (2022). Muteba, John Weirstrass ; Mudiangombe, Benjamin Mudiangombe. In: IJFS. RePEc:gam:jijfss:v:10:y:2022:i:3:p:72-:d:894924.

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2021Role of International Trade Competitive Advantage and Corporate Governance Quality in Predicting Equity Returns: Static and Conditional Model Proposals for an Emerging Market. (2021). Ceylan, Burak ; Kizil, Cevdet ; Muzir, Erol . In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:125-:d:517617.

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2021Equity Premium with Habits, Wealth Inequality and Background Risk. (2021). Koimisis, Georgios ; Giannikos, Christos. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:321-:d:592921.

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2022Multifactor Market Indexes. (2022). Kolari, James W ; Liu, Wei. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:4:p:155-:d:782906.

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2021.

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2022Complete Volume LXXV n. 1 2022. (2022). , Sieds. In: RIEDS - Rivista Italiana di Economia, Demografia e Statistica - The Italian Journal of Economic, Demographic and Statistical Studies. RePEc:ite:iteeco:220100.

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2022Dynamics and stability in an OLG model with non-separable preferences. (2022). Marini, Giorgia. In: RIEDS - Rivista Italiana di Economia, Demografia e Statistica - The Italian Journal of Economic, Demographic and Statistical Studies. RePEc:ite:iteeco:220115.

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2021When do investors go green? Evidence from a time-varying asset-pricing model. (2021). Ossola, Elisa ; Alessi, Lucia ; Panzica, Roberto. In: Working Papers. RePEc:jrs:wpaper:202113.

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2022State-dependent stock selection in index tracking: a machine learning approach. (2022). Shafizadeh, Mojtaba ; Neghab, Davood Pirayesh ; Bradrania, Reza. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:36:y:2022:i:1:d:10.1007_s11408-021-00391-7.

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2022Exploring the diversification benefits of US international equity closed-end funds. (2022). Fletcher, Jonathan. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:36:y:2022:i:3:d:10.1007_s11408-021-00397-1.

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2021Short-Term and Long-Term Discount Rates For Real Estate Investment Trusts. (2021). Zhao, Yanhui ; Giambona, Erasmo ; Giaccotto, Carmelo. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:63:y:2021:i:3:d:10.1007_s11146-020-09750-z.

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2021A new measure of model misspecification with the no-arbitrage constraint: extending the second Hansen–Jagannathan distance. (2021). Xu, Yuewu. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:3:d:10.1007_s11156-020-00913-w.

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2021Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals. (2021). Tzavalis, Elias ; Karavias, Yiannis ; Spilioti, Stella. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:4:d:10.1007_s11156-020-00937-2.

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2021Alternative investment funds – the evaluation of managers’ abilities in the light of the amendments to the Act on Investment Fund. (2021). Mocibrodzka, Monika. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:52:y:2021:i:6:p:517-544.

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2021A Panel Regression Approach to Holdings-Based Fund Performance Measures. (2021). Wang, Junbo L ; Ferson, Wayne. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:11:y:2021:i:4:p:695-734..

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2021Measuring Market Expectations. (2021). Baumeister, Christiane. In: Working Papers. RePEc:pre:wpaper:202163.

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2021A robust approach for outlier imputation: Singular Spectrum Decomposition. (2021). Baumeister, Christiane. In: Working Papers. RePEc:pre:wpaper:202164.

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2021Asymmetries in Risk Premia, Macroeconomic Uncertainty and Business Cycles. (2021). Görtz, Christoph ; Yeromonahos, Mallory ; Gortz, Christoph. In: Working Paper series. RePEc:rim:rimwps:21-25.

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2022Portfolio performance under dynamic systematic risk and conditional betas: The South African unit trust market. (2022). Gopane, Thabo ; Kalima, Bwalya. In: Applied Econometrics. RePEc:ris:apltrx:0447.

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2022The Intersubjective Markets Hypothesis. (2022). Bocher, Romain. In: Journal of Interdisciplinary Economics. RePEc:sae:jinter:v:34:y:2022:i:1:p:35-50.

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2021Impact of COVID-19 on the performance of emerging market mutual funds: evidence from India. (2021). Maheen, Muhammad Sali. In: Future Business Journal. RePEc:spr:futbus:v:7:y:2021:i:1:d:10.1186_s43093-021-00081-w.

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2021Oil prices, earnings, and stock returns. (2021). Markarian, Garen ; Crawford, Steve ; Price, Richard ; Muslu, Volkan. In: Review of Accounting Studies. RePEc:spr:reaccs:v:26:y:2021:i:1:d:10.1007_s11142-020-09556-7.

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More than 100 citations found, this list is not complete...

Works by Wayne Ferson:


YearTitleTypeCited
1996Econometric evaluation of asset pricing models In: Staff Report.
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paper5
2001Tests of Asset Pricing Models with Changing Expectations In: Rodney L. White Center for Financial Research Working Papers.
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paper2
1991Tests of Asset Pricing Models with Changing Expectations.(1991) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has another version. Agregated cites: 2
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1987Tests of Asset Pricing Models with Changing Expectations.(1987) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has another version. Agregated cites: 2
paper
1991Test of Asset Pricing Models With Changing Expectations..(1991) In: Weiss Center Working Papers.
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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.
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paper0
1983Expectations of Real Interest Rates and Aggregate Consumption: Synthesis and Tests In: Rodney L. White Center for Financial Research Working Papers.
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paper2
1982Expectations of Real Interest Rates and Aggregate Consumption: Synthesis and Tests.(1982) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has another version. Agregated cites: 2
paper
1994An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns In: NBER Chapters.
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chapter24
1993An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns.(1993) In: NBER Working Papers.
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This paper has another version. Agregated cites: 24
paper
2004Weak and Semi-Strong Form Stock Return Predictability, Revisited In: NBER Working Papers.
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paper2
2005Weak and Semi-Strong Form Stock Return Predictability Revisited.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 2
paper
2005Mimicking Portfolios with Conditioning Information In: NBER Working Papers.
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paper5
2006Testing Portfolio Efficiency with Conditioning Information In: NBER Working Papers.
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paper6
2006Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression In: NBER Working Papers.
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paper22
2009Measuring the Timing Ability and Performance of Bond Mutual Funds In: NBER Working Papers.
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paper3
2012The Out of Sample Performance of Long-run Risk Models In: NBER Working Papers.
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paper4
2013Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity In: NBER Working Papers.
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paper1
2020A Panel Regression Approach to Holdings-based Fund Performance Measures In: NBER Working Papers.
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paper0
1991Habit Persistence and Durability in Aggregate Consumption: Empirical Tests In: NBER Working Papers.
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paper273
1992Time Nonseparability in Aggregate Consumption: International Evidence In: NBER Working Papers.
[Full Text][Citation analysis]
paper58
1994Sources of Risk and Expected Returns in Global Equity Markets In: NBER Working Papers.
[Full Text][Citation analysis]
paper153
1996Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance In: NBER Working Papers.
[Full Text][Citation analysis]
paper160
1998Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance..(1998) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 160
article
1996Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing In: NBER Working Papers.
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paper37
1998Conditional Market Timing with Benchmark Investors In: NBER Working Papers.
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paper4
1999Economic, Financial, and Fundamental Global Risk In and Out of the EMU In: NBER Working Papers.
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paper17
1999Conditioning Variables and the Cross-Section of Stock Returns In: NBER Working Papers.
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paper334
2002Stochastic Discount Factor Bounds with Conditioning Information In: NBER Working Papers.
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paper22
2003Stochastic Discount Factor Bounds with Conditioning Information.(2003) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 22
article
2002Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds In: NBER Working Papers.
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paper70
2002Performance Evaluation with Stochastic Discount Factors In: NBER Working Papers.
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paper52
2002Spurious Regressions in Financial Economics? In: NBER Working Papers.
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paper220
2003Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance In: NBER Working Papers.
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paper23
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]
article430
1995Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? In: The Journal of Business.
[Full Text][Citation analysis]
article144
1991The Variation of Economic Risk Premiums. In: Journal of Political Economy.
[Full Text][Citation analysis]
article666

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 1st 2022. Contact: CitEc Team