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Performance evaluation with stochastic discount factors

Farnsworth, Heber K.; Ferson, Wayne E.; Jackson, David; … - 2002

Persistent link: https://www.econbiz.de/10001650680

Performance Evaluation with Stochastic Discount Factors

Farnsworth, Heber - 2002

We study the use of stochastic discount factor (SDF) models in evaluating the investment performance of portfolio managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF models. We find that the measures of performance are not...

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

Changes in expected security returns, risk, and the level of interest rates

Ferson, Wayne E. - In: The journal of finance : the journal of the American … 44 (1989) 5, pp. 1191-1217

Persistent link: https://www.econbiz.de/10001080362

Economic, financial, and fundamental global risk inside and outside the EMU

Ferson, Wayne E.; Harvey, Campbell R. - In: Swedish economic policy review 6 (1999) 1, pp. 123-184

Persistent link: https://www.econbiz.de/10001403943

Sources of risk and expected returns in global equity markets

Ferson, Wayne E.; Harvey, Campbell R. - 1994

Persistent link: https://www.econbiz.de/10000881184

An exploratory investigation of the fundamental determinants of national equity market returns

Ferson, Wayne E. - In: The internationalization of equity markets, (pp. 59-138). 1994

Persistent link: https://www.econbiz.de/10001291053

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

Ferson, Wayne E. - In: Journal of banking & finance 21 (1997) 11, pp. 1625-1665

Persistent link: https://www.econbiz.de/10001236726

Conditioning manager alphas on economic information : another look at the persistence of performance

Christopherson, Jon A. - In: The review of financial studies 11 (1998) 1, pp. 111-142

Persistent link: https://www.econbiz.de/10001239331

Economic, financial, and fundamental global risk in and out of the EMU

Ferson, Wayne E.; Harvey, Campbell R. - 1999

Persistent link: https://www.econbiz.de/10001370322

Conditioning variables and the cross-section of stock returns

Ferson, Wayne E.; Harvey, Campbell R. - 1999

Persistent link: https://www.econbiz.de/10001375822

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