#### Filter Results:

- Full text PDF available (131)

#### Publication Year

1984

2016

- This year (0)
- Last 5 years (22)
- Last 10 years (56)

#### Publication Type

#### Co-author

#### Journals and Conferences

#### Key Phrases

Learn More

- Mitchell A. Petersen, Robert Chirinko, +23 authors Sungjoon Park
- 2004

In corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these data sets, the residuals may be correlated across firms or across time, and OLS standard errors can be biased. Historically, the two literatures have used different solutions to this problem. Corporate finance has relied on clustered standard… (More)

- Geert Bekaert, Campbell R. Harvey, Warren Bailey, Bernard Dumas, Wayne Ferson, Steve Grenadier
- 1999

We propose a measure of capital market integration arising from a conditional regime-switching model. Our measure allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. We find that a number of emerging markets exhibit time-varying integration.… (More)

- Geert Bekaert, Christian Lundblad, +6 authors Michael Pagano
- 2001

We show that equity market liberalizations, on average, lead to a one percent increase in annual real economic growth over a five-year period. The effect is robust to alternative definitions of liberalization and does not reflect variation in the world business cycle. The effect also remains intact when an exogenous measure of growth opportunities is… (More)

- Campbell R. Harvey, Warren Bailey, +9 authors Rudi Shadt

The emergence of new equity markets in Europe, Latin America, Asia, the Mideast and Africa provides a new menu of opportunities for investors. These markets exhibit high expected returns as well as high volatility. Importantly, the low correlations with developed countries’ equity markets significantly reduces the unconditional portfolio risk of a world… (More)

- Ulrike Malmendier, Stefan Nagel, +6 authors Nelli Oster
- 2007

We investigate whether individual experiences of macroeconomic shocks affect financial risk taking, as often suggested for the generation that experienced the Great Depression. Using data from the Survey of Consumer Finances from 1960-2007, we find that individuals who have experienced low stock-market returns throughout their lives so far report lower… (More)

- Wayne E. Ferson
- 1993

We investigate predictability in national equity market returns, and its relation to global economic risks. We show how to consistently estimate the fraction of the predictable variation that is captured by an assetpricing modelfor the expected returns. We use a model in which conditional betas of the national equity markets depend on local information… (More)

Previous studies identify predetermined variables that predict stock and bond returns through time. This paper shows that loadings on the same variables provide significant cross-sectional explanatory power for stock portfolio returns. The loadings are significant given the three factors advocated by Fama and French ~1993! and the four factors of Elton,… (More)

We study the properties of unconditional minimum-variance portfolios in the presence of conditioning information. Such portfolios attain the smallest variance for a given mean among all possible portfolios formed using the conditioning information. We provide explicit solutions for n risky assets, either with or without a riskless asset. Our solutions… (More)

- Jon A. Christopherson, Frank Russell Company, Wayne E. Ferson, Debra A. Glassman
- 1998

This article presents evidence on persistence in the relative investment performance of large, institutional equity managers. Similar to existing evidence for mutual funds, we find persistent performance concentrated in the managers with poor prior-period performance measures. A conditional approach, using time-varying measures of risk and abnormal… (More)

- KENT D. DANIEL, DAVID HIRSHLEIFER, +11 authors Matt Spiegel
- 2001

This paper offers a model in which asset prices ref lect both covariance risk and misperceptions of firms’ prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures ~e.g., fundamental0price ratios!. With many securities, mispricing of idiosyncratic value… (More)