Wayne E. Ferson

CURRENT APPOINTMENT:
Full Professor and Endowed Chair, Marshall School of Business, University of Southern California and Research Associate, National Bureau of Economic Research.

PREVIOUS APPOINTMENTS:
John L. Collins S.J. Chair in Finance, Carroll School of Management, Boston College (2001-2006), Pigott-PACCAR Professor of Finance, School of Business, University of Washington (1992-2001), Visiting Scholar: Arizona State University (1994, 1995, 1998), Institute for Advanced Studies/University of Vienna (1999), University of South Carolina (1998), University of Miami (1998). Associate and Assistant Professor of Finance, Graduate School of Business, University of Chicago (1983-1992). Visiting Assistant Professor of Finance, Graduate School of Business, Stanford University (1987-1988). Assistant Professor of Finance, The Wharton School of the University of Pennsylvania (1981-1985). Lecturer, Graduate School of Business, University of Santa Clara, California. (1978-1979). Instructor, School of Business, University of Texas at Arlington, Texas (Statistics and Management Science, 1974-1975). Manufacturing engineer, Martin Marietta Corporation, Orlando, Florida (1972-1973).

EDUCATION:
Ph.D. in Finance, 1982, Graduate School of Business, Stanford University [M.A. Degree in Economics, 1979. Candidacy for M.S. Degree in Statistics, 1979]. MBA degree, 1974, Southern Methodist University [B.S. Degree, Industrial Engineering, 1972].

PROFESSIONAL ACTIVITIES:
Editor: Journals of Empirical Finance (2004-2006), Review of Financial Studies (1996-99). President: Western Finance Association (2000-2001);Program Chair (2000), Society of Financial Studies (2005-2008) Vice President: Society of Financial Studies (2002-2005); Western Finance Association (1998-99). Director: American Finance Association (1997-99); Western Finance Association (1993-96). Executive Committee: European Finance Association (1999-2002). Associate editor: Journal of Empirical Finance (2002-); Journal of Financial and Quantitative Analysis (1992-), Journal of Financial Research (1999-), Journal of International Financial Markets, Institutions and Money (1996-), Management Science (1992-), Review of Financial Studies (1992-94), Review of Quantitative Finance and Accounting (1990-), Seoul Business Journal (1996-). Nominations Committees: American Finance Association (1996), Society of Financial Studies (2002, 2004), Western Finance Assocation (1999-2001). Program Committees: American Finance Association (1995, 1999, 2001), Conference on Financial Economics and Accounting (1996), European Finance Association (2003-2006), Financial Research Association (2005-2006), National Bureau of Economic Research (1998), Nippon Finance Association/Asia Pacific Finance Association (1998), Portguese Finance Network (2004), Western Finance Association (1988-1998, 2000, 2006-07), Financial Management Association (1992-94, 1996-97, 2004), Utah Winter Finance Conference (1993-2007). Panel Member: Hong Kong Research Grants Council (1999-2003). Referee: services for more than 60 academic journals and publishers, including the leading journals in Finance, Economics and Econometrics. More than 190 research workshops at leading universities. Over 130 presentations at the top academic conferences. External faculty reviews for more than 50 institutions. Thesis supervision for more than 35 Ph.D. students. Consultant: Frank Russell Company (1996-2002).

HONORS AND AWARDS:
Best Discussant Award, Financial Research Association (2005). AIMR grant, 2002. Q-group grant, 2002. Guttman Center award, 2002. Bernstein Fabozzi/Jacobs Levy Award, 2000. Dean's Research Award, University of Washington, 1997. New York Stock Exchange award for the best paper on equity trading, 1993 Western Finance Association. Graham and Dodd Scroll, 1991. Prudential Fellowship in Fixed Income Research. Prudential Inflation Research grant. American Assembly of Collegiate Schools of Business dissertation grant.

PERSONAL:
Born June 25, 1951. U.S. Citizen raised in Massachusetts, Texas and New York. Married to Nancy K. Ferson. Two step sons. Avocations include hiking, in-line skating, skiing, travel and dining. Private pilot, instrument rated.

SELECTED PUBLICATIONS

(For downloads and more, see unabridged vita.)

JOURNAL ARTICLES:
"Asset Pricing Models with Conditional Alphas and Betas: The Effects of Data Snooping and Spurious Regression," with Timothy Simin and Sergei Sarkissian, 2006 Journal of Financial and Quantitative Analysis (forthcoming).

"Evaluating Government Bond Fund Performance with Stochastic Discount Factors," 2005, with Darren Kisgen and Tyler Henry, Review of Financial Studies 19, 423-456.

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

"Mimicking Portfolios with Conditioning Information," 2005, with Andrew Siegel and Tracy Xu, Journal of Financial and Quantitative Analysis 41, 607-636.

"Is Stock Return Predictability Spurious?" 2003, with Timothy Simin and Sergei Sarkissian, Journal of Investment Management 1, no.3, 10-19.

"Spurious Regressions in Financial Economics?" 2003, with Timothy Simin and Sergei Sarkissian, Journal of Finance 58, 1393-1414.

"Stochastic Discount Factor Bounds with Conditioning Information," 2003, with Andrew F. Siegel, Review of Financial Studies 16, 567-595.

"Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds" 2002, with Kenneth Khang, Journal of Financial Economics 65, 249-282 (August).

"Performance Evaluation with Stochastic Discount Factors," with Heber Farnsworth, David Jackson, and Steven Todd, 2002, Journal of Business 75, 473-504 (July).

"The efficient use of Conditioning Information in Portfolios," with Andrew F. Siegel, 2001, Journal of Finance 56, 967-982 (June).

"Conditioning Variables and Cross-section of Stock Returns, with Campbell R. Harvey, 1999, Journal of Finance 54, 1325-1360.

"Economic, Financial and Fundamental Global Risk In and Out of EMU," with Campbell R. Harvey, 1999 Swedish Economic Policy Review v6 n1, 123-184.

"Performance Evaluation using Conditional alphas and betas," with Jon A. Christopherson and Andrew L. Turner, 1999, Journal of Portfolio Management 26, 59-72.

"The Alpha Factor Asset Pricing Model: A Parable," with Sergei Sarkissian and Timothy Simin, 1999, Journal of Financial Markets 2, 49-68 (February).

"Conditional Market Timing with Benchmark Investors," with Connie Becker, David Myers and Michael Schill, (1998) Journal of Financial Economics 52, 119-148.

"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, no. 1, 111-142.

"Cost of Capital Estimation without CAPM: Analysis of Sources of Error," with Dennis H. Locke, 1998, Management Science 44, no.4, 485-500 (April).

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

"Evaluating Fund Performance in a Dynamic Market," with Vincent A. Warther, 1996, Financial Analysts Journal 52, no.6, pp.20-28.

"Measuring fund strategy and performance in changing economic conditions, with Rudi W. Schadt, 1996, Journal of Finance 51, 425-462: Smith-Breeden prize nominee for 1996.

"Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?" with Robert A. Korajczyk, 1995, Journal of Business 68, 309-349 (July).

"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.

"Sources of Risk and Expected Returns in Global Equity Markets," with Campbell R. Harvey, 1994, Journal of Banking and Finance 18, 775-803.

"The Risk and Predictability of International Equity Returns," with Campbell R. Harvey, 1993, Review of Financial Studies 6, 527-566.

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

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

"Seasonality and Consumption-Based Asset Pricing," with Campbell R. Harvey, Journal of Finance 47, 511-552 (June, 1992): Smith-Breeden prize nominee for 1992.

"Habit Persistence and Durability in Aggregate Consumption: Empirical Tests," with George M. Constantinides, Journal of Financial Economics 29, 199-240 (October, 1991).

"The Variation of Economic Risk Premiums," with Campbell R. Harvey, Journal of Political Economy 99, 385-415 (April, 1991).

"Sources of Predictability in Portfolio Returns," with Campbell R. Harvey, Financial Analysts Journal No.3, 49-56 (May/June 1991).

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

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

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

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

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

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

OTHER SELECTED PUBLICATIONS:

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

"Theory and Emipirical 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.

"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.

"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.

"Warning: Attribute-sorted Portfolios Can be Hazardous to Your Research," 1996, in Saitou, S., K. Sawaki and K. Kubota, editors, Modern Finance Theory and its Applications Center for Academic Societies, Osaka, Japan ISBN 4-906417-10-2 c3033 P6000E, pp. 21-32.

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

"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.

"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.

"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.

"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).