Wayne Ferson

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Wayne Ferson
WayneFerson.jpg
Nationality American
Alma mater Stanford University
Occupation Academic
Editor of Review of Asset Pricing Studies
Years active Since 2007
Employer University of Southern California
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
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

  1. "Bernstein Fabozzi/Jacobs Levy Awards". http://www.jacobslevy.com/bf_jl_awards.htm. Retrieved December 21, 2015.
  2. Christopherson, Jon A., Ferson, Wayne E., Turner Andrew L. (2001). Performance Evaluation using Conditional Alphas and Betas. The CFA Digest. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=4pKOgR4AAAAJ&cstart=20&pagesize=80&sortby=pubdate&citation_for_view=4pKOgR4AAAAJ:ns9cj8rnVeAC.
  3. "Graham and Dodd Award Winners". http://www.cfapubs.org/page/faj/all-graham-dodd-winners. Retrieved December 14, 2015.
  4. 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. http://scholar.google.com/citations?view_op=view_citation&hl=en&user=4pKOgR4AAAAJ&cstart=100&pagesize=100&sortby=pubdate&citation_for_view=4pKOgR4AAAAJ:8k81kl-MbHgC.
  5. 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. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=4pKOgR4AAAAJ&citation_for_view=4pKOgR4AAAAJ:u5HHmVD_uO8C.
  6. 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. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=4pKOgR4AAAAJ&citation_for_view=4pKOgR4AAAAJ:u-x6o8ySG0sC.
  7. 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. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=4pKOgR4AAAAJ&citation_for_view=4pKOgR4AAAAJ:d1gkVwhDpl0C.
  8. 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. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=4pKOgR4AAAAJ&citation_for_view=4pKOgR4AAAAJ:9yKSN-GCB0IC.
  9. 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. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=4pKOgR4AAAAJ&citation_for_view=4pKOgR4AAAAJ:UeHWp8X0CEIC.
  10. 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. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=4pKOgR4AAAAJ&citation_for_view=4pKOgR4AAAAJ:Y0pCki6q_DkC.
  11. 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. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=4pKOgR4AAAAJ&citation_for_view=4pKOgR4AAAAJ:zYLM7Y9cAGgC.
  12. Ferson, Wayne E., Warther, Vincent A. (1996). Evaluating fund performance in a dynamic market. Financial Analysts Journal: JSTOR. pp. 20-28. http://www.jstor.org/stable/4479957.
  13. 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. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=4pKOgR4AAAAJ&citation_for_view=4pKOgR4AAAAJ:W7OEmFMy1HYC.

External links