Wayne Ferson : Citation Profile


Are you Wayne Ferson?

Boston College

15

H index

17

i10 index

2238

Citations

RESEARCH PRODUCTION:

6

Articles

30

Papers

1

Chapters

RESEARCH ACTIVITY:

   31 years (1982 - 2013). See details.
   Cites by year: 72
   Journals where Wayne Ferson has often published
   Relations with other researchers
   Recent citing documents: 133.    Total self citations: 15 (0.67 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfe32
   Updated: 2018-12-15    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 (18)

Sousa, Ricardo (18)

Vaihekoski, Mika (17)

Robotti, Cesare (16)

Christoffersen, Peter (16)

Cites to:

Harvey, Campbell (46)

Hansen, Lars (45)

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 (2018 and 2017)


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

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

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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 ; Erdos, Peter ; Zibriczky, David . 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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2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). 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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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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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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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). Pettenuzzo, Davide. In: Working Papers. RePEc:brd:wpaper:116.

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

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

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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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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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2017Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons. (2017). Chevillon, Guillaume. In: ESSEC Working Papers. RePEc:ebg:essewp:dr-17010.

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

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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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2018Maximal predictability under long-term mean reversion. (2018). Hjalmarsson, Erik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:269-282.

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

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

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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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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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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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2018Forecasting the CNY-CNH pricing differential: The role of investor attention. (2018). Yin, Libo ; Han, Liyan ; Xu, Yang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:232-247.

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

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

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

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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: European Journal of Economics and Business Studies Articles. RePEc:eur:ejesjr:184.

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2018Country Risk and Expected Returns Across Global Equity Markets. (2018). Zaremba, Adam. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:68:y:2018:i:4:p:374-398.

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

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2018Multi-Factor Asset-Pricing Models under Markov Regime Switches: Evidence from the Chinese Stock Market. (2018). Chen, Jieting ; Kawaguchi, Yuichiro. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:54-:d:148049.

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2018Alpha Beta Risk and Stock Returns—A Decomposition Analysis of Idiosyncratic Volatility with Conditional Models. (2018). Fu, Chengbo . In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:124-:d:178727.

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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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2018FLEXIBLE OPTIMAL MODELS FOR PREDICTING STOCK MARKET RETURNS. (2018). Jeong, Jin-Gil ; Mukherji, Sandip . In: The International Journal of Business and Finance Research. RePEc:ibf:ijbfre:v:12:y:2018:i:2:p:39-48.

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

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2017Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes. (2017). Yang, Zihui ; Zhou, Yinggang . In: Management Science. RePEc:inm:ormnsc:v:63:y:2017:i:2:p:333-354.

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

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2018Information Uncertainty and Momentum Phenomenon Amidst Market Swings: Evidence From the Chinese Class A Share Market. (2018). Wu, Yuan ; Choudhry, Taufiq. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:25:y:2018:i:2:d:10.1007_s10690-018-9241-x.

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

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

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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). Horenstein, Alex ; Ahn, Seung C. In: Working Papers. RePEc:mia:wpaper:2017-12.

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

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

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

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

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

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

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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
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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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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paper1
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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paper233
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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paper131
1996Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance In: NBER Working Papers.
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paper116
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: 116
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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paper5
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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paper270
2002Stochastic Discount Factor Bounds with Conditioning Information In: NBER Working Papers.
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paper15
2003Stochastic Discount Factor Bounds with Conditioning Information.(2003) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 15
article
2002Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds In: NBER Working Papers.
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paper59
2002Performance Evaluation with Stochastic Discount Factors In: NBER Working Papers.
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paper38
2002Spurious Regressions in Financial Economics? In: NBER Working Papers.
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paper175
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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article0
1993The Risk and Predictability of International Equity Returns. In: Review of Financial Studies.
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article358
1995Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? In: The Journal of Business.
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article125
1991The Variation of Economic Risk Premiums. In: Journal of Political Economy.
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article531

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