Wayne Ferson : Citation Profile


Are you Wayne Ferson?

Boston College

16

H index

17

i10 index

2271

Citations

RESEARCH PRODUCTION:

6

Articles

30

Papers

1

Chapters

RESEARCH ACTIVITY:

   31 years (1982 - 2013). See details.
   Cites by year: 73
   Journals where Wayne Ferson has often published
   Relations with other researchers
   Recent citing documents: 194.    Total self citations: 15 (0.66 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfe32
   Updated: 2020-07-04    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)

Guidolin, Massimo (22)

Ang, Andrew (21)

Garcia, René (20)

Sousa, Ricardo (19)

Vaihekoski, Mika (17)

Robotti, Cesare (17)

Zhou, Guofu (16)

Cites to:

Harvey, Campbell (46)

Hansen, Lars (45)

Fama, Eugene (39)

French, Kenneth (38)

Jagannathan, Ravi (31)

Stambaugh, Robert (27)

Campbell, John (22)

Kandel, Shmuel (19)

Shanken, Jay (19)

Korajczyk, Robert (17)

Titman, Sheridan (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). Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S ; Wermers, Russ. In: CREATES Research Papers. RePEc:aah:create:2017-13.

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2018The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-02.

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2019House prices and tourism development in Cyprus: A contemporary perspective. (2019). Asongu, Simplice ; Alola, Uju V. In: Research Africa Network Working Papers. RePEc:abh:wpaper:19/067.

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2017Wave after Wave: Contagion Risk from Commodity Markets. (2017). Leccadito, Arturo ; Algieri, Bernardina. In: Discussion Papers. RePEc:ags:ubzefd:257801.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:449-479.

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

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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). , Brice ; Laurent, Sabine ; Yao, Jinglun. In: Papers. RePEc:arx:papers:1710.00859.

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2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2018Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas?. (2018). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1884.

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2019Financial Frictions, Durable Goods and Monetary Policy. (2019). Michelis, Leo ; Emenogu, Ugochi. In: Staff Working Papers. RePEc:bca:bocawp:19-31.

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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.

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2017Risk Control: Who Cares?. (2017). Taylor, Nick. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:1:p:153-179.

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2018Yes, the Composition of the Market Portfolio Matters: The Estimated Cost of Equity. (2018). Kamara, Avraham ; Young, Lance . In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:4:p:911-929.

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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.

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2019THE REACTIVE BETA MODEL. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien. In: Journal of Financial Research. RePEc:bla:jfnres:v:42:y:2019:i:1:p:71-113.

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

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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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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.

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

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2018Forecasting Stock Returns: A Predictor-Constrained Approach. (2018). Wang, Yudong ; Pettenuzzo, Davide ; Pan, Zhiyuan. In: Working Papers. RePEc:brd:wpaper:116r.

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2018Mutual Fund Flows and Seasonalities in Stock Returns. (2018). Margaritis, Dimitris ; Lee, John Byong-Tek ; Wagner, Moritz. In: Working Papers in Economics. RePEc:cbt:econwp:18/17.

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2019Asymmetries in Risk Premia, Macroeconomic Uncertainty and Business Cycles. (2019). Yeromonahos, Mallory ; Gortz, Christoph. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7959.

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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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2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

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2018Conditional dynamics and the multi-horizon risk-return trade-off. (2018). Chernov, Mikhail ; Lundeby, Stig ; Lochstoer, Lars . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13365.

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2019The Low-Minus-High Portfolio and the Factor Zoo. (2019). Fournier, Mathieu ; Cujean, Julien ; Andrei, Daniel. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14153.

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

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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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2018Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2018). Chowdhury, Biplob ; Dungey, Mardi ; JEYASREEDHARAN, NAGARATNAM . In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:29-47.

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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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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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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.

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2018Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?. (2018). Fletcher, Jonathan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:114-129.

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2020What do movements in financial traders’ net long positions reveal about aggregate stock returns?. (2020). Dunbar, Kwamie ; Jiang, Jing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303474.

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2019A diagnostic criterion for approximate factor structure. (2019). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:503-521.

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2020Nonparametric assessment of hedge fund performance. (2020). Garcia, René ; Ardison, Kym ; Almeida, Caio. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:349-378.

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2019Pricing sin stocks: Ethical preference vs. risk aversion. (2019). Gioffré, Alessandro ; Curatola, Giuliano ; Colonnello, Stefano ; Gioffre, Alessandro. In: European Economic Review. RePEc:eee:eecrev:v:118:y:2019:i:c:p:69-100.

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

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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.

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2018Forecasting stock market returns by summing the frequency-decomposed parts. (2018). Verona, Fabio ; Faria, Gonalo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:228-242.

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2018Macroeconomic determinants of stock market betas. (2018). Gonzalez, Mariano ; Rubio, Gonzalo ; Nave, Juan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:26-44.

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2018World output gap and global stock returns. (2018). Atanasov, Victoria . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:181-197.

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2018CAPM, components of beta and the cross section of expected returns. (2018). Cenesizoglu, Tolga ; Reeves, Jonathan J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:223-246.

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2018Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds. (2018). Cai, Biqing ; Yan, Cheng ; Cheng, Tingting. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:81-106.

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2020Forecasting stock returns: A predictor-constrained approach. (2020). Wang, Yudong ; Pettenuzzo, Davide ; Pan, Zhiyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:200-217.

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2020Is the presidential premium spurious?. (2020). al Zaman, Ashraf ; Sy, Oumar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:56:y:2020:i:c:p:94-104.

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

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2018Oil price shocks and the financial performance patterns of logistics service providers. (2018). Hofmann, Erik ; Zinn, Martin ; Toyli, Juuso ; Solakivi, Tomi. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:290-306.

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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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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.

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2018The influence of terrorism risk on stock market integration: Evidence from eight OECD countries. (2018). Narayan, Seema ; LE, Thai-Ha ; Sriananthakumar, S ; Le, T.-H., . In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:247-259.

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2018Investor sentiment: Does it augment the performance of asset pricing models?. (2018). Bredin, Don ; Bathia, Deven. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:290-303.

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2019Currency carry trades and the conditional factor model. (2019). Sakemoto, Ryuta. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:198-208.

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2019Model comparison tests of linear factor models in U.K. stock returns. (2019). Fletcher, Jonathan. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:281-291.

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2019Consumption volatility ambiguity and risk premium’s time-variation. (2019). Posch, Peter N ; Muller, Janis. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:336-339.

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2019Extending the Hansen–Jagannathan distance measure of model misspecification. (2019). Yao, Xiangkun ; Xu, Yuewu . In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:384-392.

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2019Conditional pricing of earnings quality. (2019). ZHANG, MINGSHAN. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:306-313.

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2019Asymmetric effect of style comovement on momentum. (2019). Chen, Miao-Ling ; Hsu, Ching-Chi. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:146-154.

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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.

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2018Cyclicality of growth opportunities and the value of cash holdings. (2018). Ahrends, Meike ; Puhan, Tatjana Xenia ; Drobetz, Wolfgang. In: Journal of Financial Stability. RePEc:eee:finsta:v:37:y:2018:i:c:p:74-96.

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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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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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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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2018Economic activity and momentum profits: Further evidence. (2018). Maio, Paulo ; Philip, Dennis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:466-482.

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2018Real estate as a common risk factor in bank stock returns. (2018). Carmichael, Benoit ; Coen, Alain. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:118-130.

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2018Oil volatility risk and expected stock returns. (2018). Christoffersen, Peter ; Pan, Xuhui . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:5-26.

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2019Habit formation and activity persistence: Evidence from gym equipment. (2019). Kessler, Lawrence M ; Harris, Matthew C. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:166:y:2019:i:c:p:688-708.

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2018Non-myopic betas. (2018). Vilkov, Grigory ; Malamud, Semyon. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:2:p:357-381.

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2018Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity. (2018). Chen, Yong ; Paye, Bradley S ; Eaton, Gregory W. In: Journal of Financial Economics. RePEc:eee:jfinec:v:130:y:2018:i:1:p:48-73.

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2019In search of preference shock risks: Evidence from longevity risks and momentum profits. (2019). Yang, Bowen ; Chen, Zhanhui . In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:1:p:225-249.

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2019Characteristics are covariances: A unified model of risk and return. (2019). Su, Yinan ; Pruitt, Seth ; Kelly, Bryan T. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:501-524.

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2020Time-varying inflation risk and stock returns. (2020). Duarte, Fernando ; Szymanowska, Marta ; De Roon, Frans ; Boons, Martijn. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:444-470.

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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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2018The impact of oil-market shocks on stock returns in major oil-exporting countries. (2018). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:264-280.

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2019On the global financial market integration “swoosh” and the trilemma. (2019). Mehl, Arnaud ; Bekaert, Geert. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:94:y:2019:i:c:p:227-245.

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2019The world predictive power of U.S. equity market skewness risk. (2019). Jiang, Fuwei ; Chen, Jian ; Yao, Jiaquan ; Xue, Shuyu. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:96:y:2019:i:c:p:210-227.

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

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2019Oil subsidies and the risk exposure of oil-user stocks: Evidence from net oil producers. (2019). Hassan, M. Kabir ; Basher, Syed ; Alhassan, Abdulrahman. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:461-472.

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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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2018Return dispersion and conditional momentum returns: International evidence. (2018). Docherty, Paul ; Hurst, Gareth . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:50:y:2018:i:c:p:263-278.

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2019Informed trading around earnings announcements in Australia. (2019). Yin, Xiangkang ; Zhao, Jing ; Le, Anh. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x19305049.

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2020Aggregate profit instability and time variations in momentum returns: Evidence from China. (2020). Wei, YA ; Yin, Libo. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x19303683.

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2019Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis. (2019). Ferreira, Paulo ; Pereira, Hernane Borges ; da Silva, Marcus Fernandes ; de Area, Eder Johson. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:86-96.

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2020The relationship between oil prices and the Brazilian stock market. (2020). Ferreira, Paulo ; Silva, Marcus ; Pereira, Eder. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119320874.

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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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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.

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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.

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2018Decomposing the predictive power of local and global financial valuation ratios. (2018). Lawrenz, Jochen ; Zorn, Josef. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:137-149.

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2019Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach. (2019). Mokni, Khaled ; Youssef, Manel . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:72:y:2019:i:c:p:14-33.

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2020European equity markets: Who is the truly representative investor?. (2020). Pozo, Ricardo Ferrero ; Alonso, Ana Belen ; Suarez, Javier Rojo. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:325-346.

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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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paper4
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
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1994An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns In: NBER Chapters.
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chapter20
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: 20
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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
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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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paper5
2006Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression In: NBER Working Papers.
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paper17
2009Measuring the Timing Ability and Performance of Bond Mutual Funds In: NBER Working Papers.
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paper2
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
1991Habit Persistence and Durability in Aggregate Consumption: Empirical Tests In: NBER Working Papers.
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paper241
1992Time Nonseparability in Aggregate Consumption: International Evidence In: NBER Working Papers.
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paper55
1994Sources of Risk and Expected Returns in Global Equity Markets In: NBER Working Papers.
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paper139
1996Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance In: NBER Working Papers.
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paper130
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: 130
article
1996Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing In: NBER Working Papers.
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paper32
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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paper14
1999Conditioning Variables and the Cross-Section of Stock Returns In: NBER Working Papers.
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paper296
2002Stochastic Discount Factor Bounds with Conditioning Information In: NBER Working Papers.
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paper19
2003Stochastic Discount Factor Bounds with Conditioning Information.(2003) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 19
article
2002Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds In: NBER Working Papers.
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paper63
2002Performance Evaluation with Stochastic Discount Factors In: NBER Working Papers.
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paper46
2002Spurious Regressions in Financial Economics? In: NBER Working Papers.
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paper81
2003Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance In: NBER Working Papers.
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paper18
2002Asset Pricing, John H. Cochrane. Princeton, NJ: Princeton University Press, 2001. 530 pp. ISBN 0-691-07498-4 In: Review of Financial Studies.
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1993The Risk and Predictability of International Equity Returns. In: Review of Financial Studies.
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article379
1995Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? In: The Journal of Business.
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article129
1991The Variation of Economic Risk Premiums. In: Journal of Political Economy.
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article561

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