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Fundamental determinants of national equity market returns: A perspective on conditional asset pricing

Ferson, Wayne E.; Harvey, Campbell R. - In: Journal of Banking & Finance 21 (1997) 11-12, pp. 1625-1665

Persistent link: https://www.econbiz.de/10005212993

Sources of risk and expected returns in global equity markets

Ferson, Wayne E.; Harvey, Campbell R. - In: Journal of Banking & Finance 18 (1994) 4, pp. 775-803

Persistent link: https://www.econbiz.de/10005213020

Alpha and performance measurement : the effects of investor disagreement and heterogeneity

Ferson, Wayne E.; Lin, Jerchern - 2013

Persistent link: https://www.econbiz.de/10010126665

The "out of sample" performance of long-run risk models

Ferson, Wayne E.; Nallareddy, Suresh K.; Xie, Biqin - 2012

Persistent link: https://www.econbiz.de/10009516812

A panel regression approach to holdings-based fund performance measures

Ferson, Wayne E.; Wang, Junbo L. - In: Review of asset pricing studies : RAPS 11 (2021) 4, pp. 695-734

Persistent link: https://www.econbiz.de/10012694388

Performance measurement with selectivity, market and volatility timing

Ferson, Wayne E.; Mo, Haitao - In: Journal of financial economics 121 (2016) 1, pp. 93-110

Persistent link: https://www.econbiz.de/10011590678

Non-stationarity and stage-of-the-business-cycle effects in consumption-based asset pricing relations

Ferson, Wayne E.; Merrick, John Jr. - In: Journal of Financial Economics 18 (1987) 1, pp. 127-146

Persistent link: https://www.econbiz.de/10005362750

Finite sample properties of the generalized method of moments in tests of conditional asset pricing models

Ferson, Wayne E.; Foerster, Stephen R. - In: Journal of Financial Economics 36 (1994) 1, pp. 29-55

Persistent link: https://www.econbiz.de/10005376645

Habit persistence and durability in aggregate consumption: Empirical tests

Ferson, Wayne E.; Constantinides, George M. - In: Journal of Financial Economics 29 (1991) 2, pp. 199-240

Persistent link: https://www.econbiz.de/10005376789

Tests of multifactor pricing models, volatility bounds and portfolio performance

Ferson, Wayne E. - In: Handbook of the Economics of Finance

Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...

Persistent link: https://www.econbiz.de/10005221086

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