Last revised: September, 2009
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WORKING PAPERS:
"Alpha and the Problem of Performance Measurement," September 2009. [download pdf]


"Measuring the Timing Ability of Fixed Income Funds," 2009, with Yong Chen and Helen Peters, Journal of Financial Economics (forthcoming) [download pdf]


"The "out of Sample" Performance of Long Run Risk Models," with Suresh Nallareddy and Biqin Xie, July, 2009. [download pdf]


"When Can Market Timers Time?" with Meijun Qian, October, 2006.


JOURNAL ARTICLES:
2009 "Testing Portfolio Efficiency with Conditioning Information," with Andrew F. Siegel, 2009, Review of Financial Studies 22 (7), 2735-2758. [download pdf]


2008 "Asset Pricing Models with Conditional Alphas and Betas: The Effects of Data Snooping and Spurious Regression," with Timothy Simin and Sergei Sarkissian, 2008, Journal of Financial and Quantitative Analysis 43, 331-354. [download pdf]


2006a "Mimicking Portfolios with Conditioning Information" with Andrew Siegel and Tracy Xu, 2006, Journal of Financial and Quantitative Analysis 41, 607-636. [download pdf]


2006b "Evaluating Government Bond Fund Performance with Stochastic Discount Factors," with Darren Kisgen and Tyler Henry, 2006, Review of Financial Studies 19, 423-456. [download pdf]


2005 "Weak and Semi-strong Form Stock Return Predictability Revisited" with Andrea Heuson and Tie Su, 2005, Management Science 51, 1582-1592. [download pdf]


2003a "Is Stock Return Predictability Spurious?" with Timothy Simin and Sergei Sarkissian, 2003, Journal of Investment Management vol. 1, no. 3, 10-19 [go to JOIM]


2003b "Spurious regressions in Financial Economics?" with Timothy Simin and Sergei Sarkissian, 2003, Journal of Finance 58, 1393-1414 (August). [download pdf] Smith Breeden prize nominee for 2003.


2003c "Stochastic Discount Factor Bounds with Conditioning Information," with Andrew F. Siegel, 2003 Review of Financial Studies 16, 567-595. [prepublication version download pdf]


2002a "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds," with Kenneth Khang, 2002, Journal of Financial Economics 65, 249-282 (August). Summarized in the CFA Digest, vol. 33, no. 1 (February, 2003) [prepublication version download pdf]


2002b "Performance Evaluation with Stochastic Discount Factors," with Heber Farnsworth, David Jackson, and Steven Todd, 2002, Journal of Business 75, 473-504 (July). [prepublication version download pdf]


2001 "The efficient use of Conditioning Information in Portfolios," with Andrew F. Siegel, 2001, Journal of Finance 56, 967-982 (June). Smith Breeden prize nominee for 2001. Summarized in "Fund Manager Investor Relationships: Asset Allocation, Benchmark and Performance Measurement," Institute for Quantitative Investment Research, 1997. [prepublication version download pdf]


2000a "Using Time-varying Alphas and Betas in Performance Evaluation," with Jon A. Christopherson and Andrew Turner, 2001, Journal of Investment Consulting 2, 2-12.


2000b "Performance Evaluation of Tactical Asset Allocation Managers," with Jon A. Christopherson, Tom Goodwin and Andrew Turner, 2001, Journal of Performance Measurement 4, no. 2.


1999a "Conditioning Variables and Cross-section of Stock Returns", 1999, with Campbell R. Harvey, Journal of Finance 54, 1325-1360. Reprinted in: Asset Pricing Theory and Tests, Robert Grauer (ed.), Edward Elgar Publishing Ltd., Cheltenham, UK. [prepublication version download pdf]


1999b "Conditional Market Timing with Benchmark Investors," with Connie Becker, David Myers and Michael Schill, 1999, Journal of Financial Economics 52, 119-148. [download pdf]


1999c "The Alpha Factor Asset Pricing Model: A Parable," with Sergei Sarkissian and Timothy Simin, 1999, Journal of Financial Markets 2, 49-68 (February). Summarized in the CFA Digest 30, no. 2, 17-18 (Spring 2000). [download pdf]


1999d "Performance Evaluation using Conditional Alphas and Betas," with Jon A. Christopherson and Andrew L. Turner, 1999, Journal of Portfolio Management 26, 59-72. Bernstein Fabozzi/Jacobs Levy Award, for 1999-2000. Summarized in the CFA Digest 30, no. 2, 29-30 (Spring 2000). Reprinted with Commentary in the Bernstein Fabozzi/Jacobs Levy Awards, volume 1, 46-60 (2006). [download pdf]


1999e "Economic, Financial and Fundamental Global Risk In and Out of EMU," with Campbell R. Harvey, 1999, Swedish Economic Policy Review 6, 123-184. [download pdf]


1998a "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," with Jon A. Christopherson and Debra A. Glassman, 1998, Review of Financial Studies vol. 11, 111-142 (Spring). [download pdf]


1998b "Estimating the Cost of Capital Through Time: An Analysis of the Sources of Error," with Dennis H. Locke, 1998, Management Science 44, 485-500, No. 4 (April). [download pdf]


1997 "Fundamental Determinants of National Equity Market Returns: A perspective on Conditional asset pricing," with Campbell R. Harvey, 1998, Journal of Banking and Finance 21, 1625-1665. [prepublication version download pdf]


1996a "Evaluating Fund Performance in a Dynamic Market," with Vincent A. Warther, 1996, Financial Analysts Journal 52, no. 6, pp.20-28. Summarized in the CFA Digest vol. 27, no.3, 70-72 (Summer, 1997). [download pdf]


1996b "Measuring fund strategy and performance in changing economic conditions, with Rudi W. Schadt, 1996, Journal of Finance 51, 425-462 (June). Smith Breeden prize nominee for 1996. Reprinted in: Asset Pricing Models and Portfolio Performance: Models, Strategy and Performance Metrics, Robert A. Korajczyk, ed., Risk Books, London, June, 1999, pp.335-360, ISBN 1 899332 367. [download pdf]


1995 "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?" with Robert A. Korajczyk, 1995, Journal of Business 68, 309-349 (July). Reprinted in: Forecasting Financial Markets, Terrence C. Mills (ed.), Edward Elgar Publishing, Ltd., Cheltenham, UK., June 2002. [download pdf]


1994a "Finite Sample Properties of the Generalized Methods of Moments Tests of Conditional Asset Pricing Models," with Stephen R. Foerster, 1994, Journal of Financial Economics 36, 29-56 (August). Journal of Financial Economics "All star" paper for 1974-1995. [download pdf]


1994b "Sources of Risk and Expected Returns in Global Equity Markets," with Campbell R. Harvey, 1994, Journal of Banking and Finance 18, 775-803. [prepublication version download pdf]


1993a "The Risk and Predictability of International Equity Returns," with Campbell R. Harvey, 1993, Review of Financial Studies 6, 527-566. Summarized in International Society of Financial Analysts Digest 6, no. 1: 41-42. Reprinted in: International Capital Markets, Rene M. Stultz and G. Andrew Karolyi (eds.), Edward Elgar Publishing Ltd., Cheltenham, U.K. (forthcoming). [prepublication version download pdf]


1993b "Time Nonseparability in Aggregate Consumption: International Evidence," with Philip Braun and George Constantinides, 1993, European Economic Review 37, 897-920 (June). [download pdf]


1993c "Tests of General Latent Variable Models and Mean Variance Spanning," with Stephen R. Foerster and Donald B. Keim, 1993, Journal of Finance 48, 131-156 (March). Smith Breeden prize nominee for 1993. [download pdf]


1992 "Seasonality and Consumption-Based Asset Pricing," with Campbell R. Harvey, 1992, Journal of Finance 47, 511-552 (June). Smith-Breeden prize nominee for 1992. [download pdf] [download not seasonally adjusted consumption data]


1991a "Habit Persistence and Durability in Aggregate Consumption: Empirical Tests," with George M. Constantinides, 1991, Journal of Financial Economics 29, 199-240 (October).Journal of Financial Economics "All Star" Paper for 1974-1995. [download pdf]


1991b "The Variation of Economic Risk Premiums," with Campbell R. Harvey, 1991, Journal of Political Economy 99, 385-415 (April). Reprinted in: Asset Pricing Models and Portfolio Performance: Models, Strategy and Performance Metrics, Robert A. Korajczyk, ed., Risk Books, London, June, 1999, pp. 193-212. ISBN# 889332 367. [download pdf]


1991c "Sources of Predictability in Portfolio Returns," with Campbell R. Harvey, 1991, Financial Analysts Journal No.3, 49-56 (May/June). Graham and Dodd Scroll Award for 1991. [download pdf]


1990 "Are the Latent Variables in Time-varying Expected Returns Compensation for Consumption Risk?" 1990 Journal of Finance 45, 397-430 (June). [download pdf]


1989 "Changes in Expected Security Returns, Risk and the Level of Interest Rates," 1989, Journal of Finance 44, 1191-1217 (December). [download pdf]


1987a "Non-Stationarity and Stage of the Business Cycle Effects in Consumption-based Asset Pricing Relations", with John J. Merrick, 1987, Journal of Financial Economics 18, 127-146 (March). [download pdf]


1987b "Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas," with Shmuel Kandel and Robert Stambaugh, 1987, Journal of Finance 42, 201-220 (June). Lead article. [download pdf]


1985a "Testing Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio," with Michael R. Gibbons, 1985, Journal of Financial Economics 14, 216-236 (June). [download pdf]


1983 "Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests," 1983, Journal of Financial and Quantitative Analysis 18, 477-497 (December). [download pdf]


BOOK CHAPTERS AND MONOGRAPHS:

2009 "Spurious Regression and Data Mining in Conditional Asset Pricing Models," with Sergei Sarkissian and Timothy Simin, Ch. 66 in the Handbook of Quantitative Finance, C.F. Lee and Alice C. Lee, eds. (forthcoming) [download pdf]


2008 "Portfolio Performance Evaluation," 2008, with George Aragon, Jr. Foundations and Trends in Finance, Now Publishers vol. 2, No. 2 (2006) 83-190. [download pdf]


2007a "Stock Price Predictability," 2007, in the New Palgrave Dictionary of Economics, 2nd Edition, edited by Steven Durlaf and Larry Blume, Palgave MacMillon publishers (forthcoming). [download pdf]


2007b "Market Efficiency and Forecasting," 2007, in Forecasting Expected Returns in the Financial Markets, Stephen Satchell (ed.), Academic Press/Elsevier, ISBN# 978-0-7506-8321-0, pp. 1-16. [download pdf]


2006a "Fixed Income Fund Performance Across Economic States," 2006, with Darren Kisgen and Tyler Henry, Research In Finance 23, 1-62. JAI Press, Oxford, UK. ISBN-13: 978-0-7623-1346-7. [download pdf]


2006b "Asset Pricing Models," 2006, Chapter 8 in the Encyclopedia of Finance, Cheng-few Lee, Ed., Springer Science and Business, New York, ISBN-10:0-387-26284-9, pp 364-375. [download pdf]


2006c "Conditional Asset Pricing," 2006, Chapter 9 in the Encyclopedia of Finance, Cheng-few Lee, Ed., Springer Science and Business, New York, ISBN-10:0-387-26284-9, pp 376-383. [download pdf]


2006d "Conditional Performance Evaluation," 2006, Chapter 10 in the Encyclopedia of Finance, Cheng-few Lee, Ed., Springer Science and Business, New York, ISBN-10:0-387-26284-9, pp. 384-392. [download pdf]


2004 "Conditional Performance Evaluation Revisited," with Meijun Qian, 2004, in Research Foundation Monograph of the CFA Institue (formerly, AIMR), ISBN 0-943205-69-7, 84 pages. [download pdf]


2002 "Tests of Mulitfactor Pricing Models, Volatility Bounds and Portfolio Performance," 2003. Chapter 12 in George M. Constantinides, Milton Harris and Rene M. Stultz, Editors: Handbook of the Economics of Finance, Elsevier Science Publishers, North Holland, pp. 743-800 ISBN: 0-444-5136-9. [download pdf]


1998 "Conditional Measures of Performance and Persistence for Pension Funds", with with Jon A. Christopherson and Debra A. Glassman, 1998, in Research in Finance, vol. 16, JAI Press. Stamford, Ct. ISBN: 0-7623-0328-X; pp. 1-46.


1996a "Econometric Evaluation of Asset Pricing Models," with Ravi Jagannathan, 1996, Chapter 1 (pp.1-30) in the Handbook of Statistics: vol. 14: Statistical Methods in Finance, G.S. Maddala and C.R. Rao (editors), North Holland ISBBN: 0-444-81964-9.


1996b "Warning: Attribute-sorted Portfolios Can be Hazardous to Your Research," 1996, in Modern Portfolio Theory and its Applications, edited by Saitou, S., K. Sawaki and K. Kubota, Center for Academic Societies, Osaka Japan ISBN 4-906417-10-2 c3033 p6000E, pp. 21-32.


1995a "Predictability and Time-varying Risk in World Equity Markets," with Campbell R. Harvey, 1995, in Research in Finance, volume 13, 25-85, JAI Press. [download pdf]


1995b "Further Results on the Small-sample Properties of the Generalized Method of Moments: Tests of Latent Variable Models," with Stephen R. Foerster, 1995, in Research in Finance, volume 13, 91-144, JAI Press.


1995c "Theory and Empirical Testing of Asset Pricing Models," 1995, Chapter 5 in Finance, Handbooks in Operations Research and Management Science, by Jarrow, Maksimovic and Ziemba (editors), Elsevier, 145-200.


1994a "An Exploratory Investigation of the Fundamental Determinants of International Equity Market Returns," with Campbell R. Harvey, 1994, in Internationalization of Equity Markets, edited by Jeffrey A. Frankel, University of Chicago Press, pp.59-148, (ISBN 0-226-26001-1).


1994b "Asset Pricing Models," 1994, in the McGraw-Hill Encyclopedia of Economics, by Douglas Greenwald (editor), second edition, 47-52.


1993a "Explaining the Predictability of Asset Returns," with Campbell R. Harvey, 1993, in Research in Finance, volume 11, 65-106, JAI Press (ISBN: 1-55938-651-7). [download pdf]


1993b "Seasonality and Heteroskedasticity in Consumption-based Asset Pricing: An Analysis of Linear Models," with Campbell R. Harvey, 1993, in Research in Finance, volume 11, 1-35, JAI Press (ISBN: 1-55938-651-7). [download pdf]