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Wayne Ferson : Citation Profile


Are you Wayne Ferson?

Boston College

15

H index

17

i10 index

2068

Citations

RESEARCH PRODUCTION:

6

Articles

30

Papers

1

Chapters

RESEARCH ACTIVITY:

   31 years (1982 - 2013). See details.
   Cites by year: 66
   Journals where Wayne Ferson has often published
   Relations with other researchers
   Recent citing documents: 134.    Total self citations: 15 (0.72 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfe32
   Updated: 2018-01-13    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)

Ang, Andrew (21)

Sousa, Ricardo (18)

Guidolin, Massimo (18)

Garcia, René (18)

Vaihekoski, Mika (17)

Christoffersen, Peter (16)

Zhou, Guofu (16)

Cites to:

Harvey, Campbell (46)

Hansen, Lars (43)

Fama, Eugene (40)

French, Kenneth (39)

Jagannathan, Ravi (35)

Stambaugh, Robert (27)

Campbell, John (22)

Shanken, Jay (19)

Kandel, Shmuel (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 (2017 and 2016)


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.

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

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2016Heterotic Risk Models. (2016). Kakushadze, Zura . In: Papers. RePEc:arx:papers:1508.04883.

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2016Multifactor Risk Models and Heterotic CAPM. (2016). Yu, Willie ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1602.04902.

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

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

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

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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.

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2016Testing Monotonicity in Unobservables with Panel Data. (2016). Su, Liangjun ; hoderlein, stefan ; White, Halbert . In: Boston College Working Papers in Economics. RePEc:boc:bocoec:892.

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2016Forecasting stock market returns by summing the frequency-decomposed parts. (2016). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2016_029.

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

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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.

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2017Adaptive Hierarchical Priors for High-Dimensional Vector Autregressions. (). Pettenuzzo, Davide ; Korobilis, Dimitris. In: Working Papers. RePEc:brd:wpaper:116.

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2016Forecasting stock market returns by summing the frequency-decomposed parts. (2016). Verona, Fabio ; Faria, Gonçalo. In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:052016.

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2016Forecasting the equity risk premium with frequency-decomposed predictors. (2016). Verona, Fabio ; Faria, Gonçalo. In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:062016.

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2016Implications of Return Predictability across Horizons for Asset Pricing Models. (2016). Ortu, Fulvio ; Favero, Carlo ; Yang, Haoxi ; Tamoni, Andrea . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11645.

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

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

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2016The Determinants of Investment Rewards: Evidence for Selected Developed and Developing Countries. (2016). Gan, Pei-Tha ; Tay, Bee-Hoong . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-03-47.

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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.

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2016Impact of fuel price fluctuations on airline stock returns. (2016). Concha, Diego ; Kristjanpoller, Werner D. In: Applied Energy. RePEc:eee:appene:v:178:y:2016:i:c:p:496-504.

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2016Pricing of foreign exchange risk and market segmentation: Evidence from Pakistans equity market. (2016). Iqbal, Javed ; Azher, Sara . In: Journal of Asian Economics. RePEc:eee:asieco:v:43:y:2016:i:c:p:37-48.

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2016By force of demand: Explaining cyclical fluctuations of international trade and government spending. (2016). Jiang, Mingming. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:69:y:2016:i:c:p:249-267.

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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.

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2016Stock market liquidity and economic cycles: A non-linear approach. (2016). Switzer, Lorne ; Picard, Alan . In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:106-119.

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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.

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2016Performance of Canadian hybrid mutual funds. (2016). Chaibi, Anis ; Ayadi, Mohamed A ; Kryzanowski, Lawrence. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:38:y:2016:i:c:p:124-147.

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2016A refined asymptotic framework for dividend yield in predictive regressions. (2016). Deng, Kaihua . In: Economics Letters. RePEc:eee:ecolet:v:138:y:2016:i:c:p:60-63.

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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.

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2016On the properties of the constrained Hansen–Jagannathan distance. (2016). Gospodinov, Nikolay ; Robotti, Cesare ; Kan, Raymond . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:121-150.

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2016Time-varying integration of the sovereign bond markets in European post-transition economies. (2016). Vizek, Maruška ; Tkalec, Marina ; Lee, Junsoo ; Imovi, Petra Posedel . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:30-40.

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2016Duality in mean-variance frontiers with conditioning information. (2016). Sentana, Enrique ; Pearanda, Francisco . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:762-785.

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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.

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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.

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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.

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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.

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2016A review of behavioural and management effects in mutual fund performance. (2016). Cuthbertson, Keith ; O'Sullivan, Niall ; Nitzsche, Dirk . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:162-176.

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2016An examination of the benefits of dynamic trading strategies in U.K. closed-end funds. (2016). Fletcher, Jonathan ; Basu, Devraj . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:109-118.

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2016Time-varying risk, mispricing attributes, and the accrual premium. (2016). Simlai, Prodosh E. In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:150-161.

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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.

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2016A comparison of investors’ sentiments and risk premium effects on valuing shares. (2016). Tzavalis, Elias ; Karavias, Yiannis ; Spilioti, Stella . In: Finance Research Letters. RePEc:eee:finlet:v:17:y:2016:i:c:p:1-6.

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2016The total benefit of alternative assets to pension fund portfolios. (2016). Jackwerth, Jens Carsten ; Slavutskaya, Anna . In: Journal of Financial Markets. RePEc:eee:finmar:v:31:y:2016:i:c:p:25-42.

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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.

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2016Asset allocation strategies in the presence of liability constraints. (2016). Zerbib, Olivier David ; Cousin, Areski ; Robert, Christian Y ; Jiao, Ying . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:327-338.

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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.

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2016Can currency-based risk factors help forecast exchange rates?. (2016). Valente, Giorgio ; Liu, Xiaoquan ; Ahmed, Shamim . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:75-97.

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2016Getting the most out of macroeconomic information for predicting excess stock returns. (2016). van Dijk, Dick ; Akmakli, Cem . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:650-668.

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2016The information content of the sentiment index. (2016). Xing, Yuhang ; Zhang, Xiaoyan ; Wang, Yanchu ; Sibley, Steven E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:62:y:2016:i:c:p:164-179.

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2016Transaction costs, liquidity risk, and the CCAPM. (2016). Liu, Wei Min ; Zhao, Huainan ; Luo, DI. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:63:y:2016:i:c:p:126-145.

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2016The predictive performance of commodity futures risk factors. (2016). Ahmed, Shamim ; Tsvetanov, Daniel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:71:y:2016:i:c:p:20-36.

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2016Momentum and downside risk. (2016). Min, Byoung-Kyu ; Kim, Tong Suk . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s104-s118.

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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.

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2016State variables, macroeconomic activity, and the cross section of individual stocks. (2016). Boons, Martijn . In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:3:p:489-511.

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2016Does variance risk have two prices? Evidence from the equity and option markets. (2016). Malkhozov, Aytek . In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:1:p:79-92.

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2016Performance measurement with selectivity, market and volatility timing. (2016). Mo, Haitao ; Ferson, Wayne . In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:1:p:93-110.

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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.

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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.

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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.

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

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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.

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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.

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2016Investigating temporal variation in the global and regional integration of African stock markets. (2016). Watts, Edward J ; Loudon, Geoffrey ; Boamah, Nicholas Addai . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:36:y:2016:i:c:p:103-118.

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2016Chinese stock market volatility and the role of U.S. economic variables. (2016). Jiang, Fuwei ; Xu, Weidong ; Li, Hongyi ; Chen, Jian . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:39:y:2016:i:c:p:70-83.

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2016Investigation of market efficiency and Financial Stability between S&P 500 and London Stock Exchange: Monthly and yearly Forecasting of Time Series Stock Returns using ARMA model. (2016). Rounaghi, Mohammad Mahdi ; Zadeh, Farzaneh Nassir . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:456:y:2016:i:c:p:10-21.

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2016Sin stock returns and investor sentiment. (2016). Liston, Daniel Perez . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:59:y:2016:i:c:p:63-70.

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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.

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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.

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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.

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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.

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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.

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2016Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada. (2016). Clare, Andrew ; Thomas, Steve ; Sherman, Meadhbh Brid . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:212-221.

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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.

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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.

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2016Shipping investor sentiment and international stock return predictability. (2016). Papapostolou, Nikos ; Nomikos, Nikos K ; Pouliasis, Panos K ; Kyriakou, Ioannis . In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:96:y:2016:i:c:p:81-94.

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2016Term Structure of Interest Rates: Macro-Finance Approach. (2016). Stork, Zbynek . In: EcoMod2016. RePEc:ekd:009007:9566.

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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.

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2016Community Analysis of Global Financial Markets. (2016). Havlin, Shlomo ; Stanley, Eugene H ; Kenett, Dror Y ; Becker, Alexander P ; Vodenska, Irena . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:13-:d:70032.

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2016Community Analysis of Global Financial Markets. (2016). Havlin, Shlomo ; Stanley, Eugene H ; Kenett, Dror Y ; Becker, Alexander P ; Vodenska, Irena . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:13:d:70032.

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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.

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2016Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?. (2016). Ravazzolo, Francesco ; Guidolin, Massimo ; Bianchi, Daniele. In: Working Papers. RePEc:igi:igierp:567.

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

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2016The Exact Distribution of the Hansen–Jagannathan Bound. (2016). Robotti, Cesare ; Kan, Raymond . In: Management Science. RePEc:inm:ormnsc:v:62:y:2016:i:7:p:1915-1943.

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2016Cost of Capital in Emerging Markets: Bridging Gaps between Theory and Practice. (2016). Walker, Eduardo. In: Latin American Journal of Economics-formerly Cuadernos de Economía. RePEc:ioe:cuadec:v:53:y:2016:i:1:p:111-147.

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2016Hacia un Modelo de Valuación de Activos de Capital para México: Análisis de Activos Individuales con Coeficientes Variantes en el Tiempo.. (2016). Lopez-Herrera, Francisco ; Valencia-Herrera, Humberto . In: Panorama Económico. RePEc:ipn:panora:v:xi:y:2016:i:22:p:75-103.

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2016On Modelling and Forecasting Predictable Components in European Stock Markets. (2016). Kiani, Khurshid. In: Computational Economics. RePEc:kap:compec:v:48:y:2016:i:3:d:10.1007_s10614-015-9510-y.

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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.

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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.

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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.

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2016Time-Varying Betas of US REITs from 1972 to 2013. (2016). Sing, Tien Foo ; Chen, Ming-Chi ; Tsai, I-Chun ; I-Chun Tsai, . In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:52:y:2016:i:1:d:10.1007_s11146-015-9502-7.

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2016Time-Varying Betas of US REITs from 1972 to 2013. (2016). Sing, Tien Foo ; Chen, Ming-Chi ; Tsai, I-Chun ; I-Chun Tsai, . In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:52:y:2016:i:1:p:50-72.

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2016Macroeconomic Effects of Inflationary Shocks with Durable and Non-Durable Consumption. (2016). Mallick, Sushanta ; Mohsin, Mohammed. In: Open Economies Review. RePEc:kap:openec:v:27:y:2016:i:5:d:10.1007_s11079-016-9405-0.

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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.

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

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2016Asset Managers: Institutional Performance and Smart Betas. (2016). Morse, Adair ; Gerakos, Joseph ; Linnainmaa, Juhani T. In: NBER Working Papers. RePEc:nbr:nberwo:22982.

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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.
[Full Text][Citation analysis]
paper4
2001Tests of Asset Pricing Models with Changing Expectations In: Rodney L. White Center for Financial Research Working Papers.
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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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