Wayne Ferson
Wayne Ferson | |
---|---|
Nationality | American |
Alma mater | Stanford University |
Occupation | Academic Editor of Review of Asset Pricing Studies |
Years active | Since 2007 |
Employer | University of Southern California |
Known for | Investment performance evaluation Mutual funds Asset pricing Empirical methods |
Website | Ferson at Southern Cal |
Wayne Ferson is the Ivadelle and Theodore Johnson Chair of Banking and Finance, Marshall School of Business, University of Southern California and Research Associate, National Bureau of Economic Research (since 1995). Specialties include investment performance evaluation, mutual funds, asset pricing, empirical methods.
Papers
Ferson is a winner of the Bernstein Fabozzi/Jacobs Levy Award for 1999-2000[1] as co-author of Performance Evaluation using Conditional Alphas and Betas.[2] He received a 1991 Graham and Dodd Scroll Award[3] as co-author of Sources of Predictability in Portfolio Returns.[4]
Year | Study |
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1991 | The variation of economic risk premiums[5] |
1996 | Measuring fund strategy and performance in changing economic conditions[6] |
1993 | The risk and predictability of international equity returns[7] |
1998 | Conditioning variables and the cross section of stock returns[8] |
1998 | Conditioning manager alphas on economic information: Another look at the persistence of performance[9] |
1994 | Sources of risk and expected returns in global equity markets[10] |
1995 | Do arbitrage pricing models explain the predictability of stock returns?[11] |
1996 | Evaluating fund performance in a dynamic market[12] |
1995 | Changes in expected security returns, risk, and the level of interest rates[13] |
See also
References
- ↑ "Bernstein Fabozzi/Jacobs Levy Awards". Jacob Levy Equity Management. Retrieved December 21, 2015.
- ↑ Christopherson, Jon A.; Ferson, Wayne E.; Turner, Andrew L. (2001). Performance Evaluation using Conditional Alphas and Betas. The CFA Digest.
- ↑ "Graham and Dodd Award Winners". CFA Institute. Retrieved December 14, 2015.
- ↑ Ferson, Wayne E.; Harvey, Campbell R. (1991). Sources of Predictability in Portfolio Returns. Financial Analysts Journal: Association for Investment Management and Research. pp. 49–56.
- ↑ Ferson, Wayne E.; Harvey, Campbell R. (1991). The variation of economic risk premiums. Journal of Political Economy: The University of Chicago Press. pp. 385–415.
- ↑ Ferson, Wayne E.; Schadt, Rudi W. (1996). Measuring fund strategy and performance in changing economic condition. Journal of Finance: American Finance Association. pp. 425–461.
- ↑ Ferson, Wayne E; Harvey, Campbell R. (1993). The risk and predictability of international equity return. Review of Financial Studies: Oxford University Press. pp. 527–566.
- ↑ Ferson, Wayne E.; Harvey, Campbell R. (1998). Conditioning variables and the cross section of stock returns. The Journal of Finance: Blackwell Publishers, Inc. pp. 1325–1360.
- ↑ Christopherson, Jon A.; Ferson, Wayne E.; Glassman, Debra A. (1998). Conditioning manager alphas on economic information: Another look at the persistence of performance. Review of Financial Studies: Oxford University Press. pp. 111–142.
- ↑ Ferson, Wayne E.; Harvey, Campbell R. (1994). Sources of risk and expected returns in global equity markets. Journal of Banking & Finance: North-Holland. pp. 775–803.
- ↑ Ferson, Wayne E.; Korajczyk, Robert A. (1994). Do arbitrage pricing models explain the predictability of stock returns?. Journal of Business: University of Chicago Press. pp. 309–349.
- ↑ Ferson, Wayne E.; Warther, Vincent A. (1996). Evaluating fund performance in a dynamic market. Financial Analysts Journal: JSTOR. pp. 20–28.
- ↑ Ferson, Wayne E. (1995). Changes in expected security returns, risk, and the level of interest rate. The Journal of Finance: Blackwell Publishing Ltd. pp. 1191–1217.
External links
- Home page
- Author page, Academic search (beta)
- Wayne Ferson : Citation Profile, CitEc
- Google Scholar page
- Author page, NBER
- IDEAS, RePEc
- Author page,SSRN