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Conditioning Variables and the Cross-Section of Stock Returns

Ferson, Wayne E. - 1999

Previous studies have identified predetermined variables that have some power to explain the time series of stock and bond returns. This paper shows that loadings on the same variables also provide significant cross-sectional explanatory power for stock portfolio returns. These loadings are...

Persistent link: https://www.econbiz.de/10012471791

Economic, Financial, and Fundamental Global Risk In and Out of the EMU

Ferson, Wayne E. - 1999

We explore the different factors that drive expected returns in world markets. Our research offers two innovations. First, the introduction of the Euro currency unit greatly reduces the complexity of including foreign exchange risk in asset pricing models. We use a synthetic Euro excess return...

Persistent link: https://www.econbiz.de/10012471840

Weak and Semi-Strong Form Stock Return Predictability Revisited

Ferson, Wayne E. - 2005

This paper makes indirect inference about the time-variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and no evidence that predictability has...

Persistent link: https://www.econbiz.de/10012467666

Weak and Semi-Strong Form Stock Return Predictability, Revisited

Ferson, Wayne E. - 2004

Persistent link: https://www.econbiz.de/10012468002

Spurious Regressions in Financial Economics?

Ferson, Wayne E. - 2002

Even though stock returns are not highly autocorrelated, there is a spurious regression bias in predictive regressions for stock returns related to the classic studies of Yule (1926) and Granger and Newbold (1974). Data mining for predictor variables interacts with spurious regression bias. The...

Persistent link: https://www.econbiz.de/10012469566

Performance Evaluation with Stochastic Discount Factors

Farnsworth, Heber - 2002

managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF …

Persistent link: https://www.econbiz.de/10012469924

Stochastic Discount Factor Bounds with Conditioning Information

Ferson, Wayne E. - 2002

Hansen and Jagannathan (HJ, 1991) describe restrictions on the volatility of stochastic discount factors (SDFs) that price a given set of asset returns. This paper compares the sampling properties of different versions of HJ bounds that use conditioning information in the form of a given set of...

Persistent link: https://www.econbiz.de/10012469926

Fundamental Determinants of National Equity Market Returns : A Perspective on Conditional Asset Pricing

Ferson, Wayne E. - 1996

This paper provides a global asset pricing perspective on the debate over the relation between predetermined attributes of common stocks, such as ratios of price-to-book-value, cash-flow, earnings, and other variables to the future returns. Some argue that such variables may be used to find...

Persistent link: https://www.econbiz.de/10012472968

Conditioning Manager Alphas on Economic Information : Another Look at the Persistence of Performance

Christopherson, Jon A. - 1996

This paper evaluates persistence in the performance of institutional equity managers. We build on recent work on … investment performance of pension fund managers persists over time. A conditional approach is able to better detect this … especially concentrated in the managers with negative prior-period conditional alphas. " …

Persistent link: https://www.econbiz.de/10012472998

Sources of Risk and Expected Returns in Global Equity Markets

Ferson, Wayne E. - 1994

This paper empirically examines multifactor asset pricing models for the returns and expected returns on eighteen national equity markets. The factors are chosen to measure global economic risks. Although previous studies do not reject the unconditional mean- variance efficiency of a world...

Persistent link: https://www.econbiz.de/10012474312