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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

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

An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns

Ferson, Wayne E. - 1993

This paper studies average and conditional expected returns in national equity markets, and their relation to a number of fundamental country attributes. The attributes are organized into three groups. The first is relative valuation ratios, such as price-to-book-value, cash-flow, earnings and...

Persistent link: https://www.econbiz.de/10012474345

Alpha and Performance Measurement : The Effects of Investor Disagreement and Heterogeneity

Ferson, Wayne E. - 2013

The literature has not unambiguously established that a positive alpha, as traditionally measured, means that an investor would want to buy a fund. However, when alpha is defined using the client's marginal utility function, a client faced with a positive alpha would generally want to buy. When...

Persistent link: https://www.econbiz.de/10012459312

The "Out of Sample" Performance of Long-run Risk Models

Ferson, Wayne E. - 2012

This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931-2009. The long-run risk models perform relatively well on the momentum effect. A cointegrated version of the model outperforms the classical, stationary version. Both the long-run and the...

Persistent link: https://www.econbiz.de/10012460810