David Rapach

Research Department, Federal Reserve Bank of Atlanta

1000 Peachtree Street N.E.

Atlanta, GA 30309-4470

United States

Washington University in St. Louis

Visiting Professor of Finance

One Brookings Drive

Campus Box 1133

St. Louis, MO 63130-4899

United States

http://https://sites.google.com/slu.edu/daverapach

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 1,432

SSRN RANKINGS

Top 1,432

in Total Papers Downloads

34,738

SSRN CITATIONS
Rank 1,994

SSRN RANKINGS

Top 1,994

in Total Papers Citations

789

CROSSREF CITATIONS

37

Scholarly Papers (24)

1.

Short Interest and Aggregate Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 51 Posted: 02 Aug 2014 Last Revised: 20 Feb 2016
Research Department, Federal Reserve Bank of Atlanta, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 6,221 (2,256)
Citation 153

Abstract:

Loading...

Equity risk premium; Predictive regression; Short interest; Asset allocation

2.

Cross-Sectional Expected Returns: New Fama-MacBeth Regressions in the Era of Machine Learning

Number of pages: 57 Posted: 13 Jun 2018 Last Revised: 30 Apr 2023
Yufeng Han, Ai He, David Rapach and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, University of South Carolina - Darla Moore School of Business, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 3,229 (6,873)
Citation 41

Abstract:

Loading...

Penalized regression, Forecast combination, Forecast Encompassing, Random features, Characteristic payoffs, Cross-sectional out-of-sample R-squared statistic

3.

Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

Number of pages: 62 Posted: 27 Aug 2008 Last Revised: 10 Apr 2009
David Rapach, Jack Strauss and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 3,021 (7,614)
Citation 265

Abstract:

Loading...

portfolio performance between advised and self-directed investors

4.

Anomalies and the Expected Market Return

Journal of Finance, Forthcoming
Number of pages: 60 Posted: 07 Apr 2020 Last Revised: 16 Nov 2021
Xi Dong, Yan Li, David Rapach and Guofu Zhou
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Southwestern University of Finance and Economics (SWUFE) - School of Accounting, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 2,992 (7,703)
Citation 57

Abstract:

Loading...

Out-of-sample predictability, Market excess return, Long-short anomaly portfolio return, Machine learning, Limits of arbitrage, Mispricing correction persistence

5.

Time-Series and Cross-Sectional Stock Return Forecasting: New Machine Learning Methods

Number of pages: 37 Posted: 01 Aug 2019
David Rapach and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 2,494 (10,260)
Citation 1

Abstract:

Loading...

Expected stock returns, Time series, Cross section, Forecast combination, Shrinkage, Elastic net

International Stock Return Predictability: What is the Role of the United States?

Journal of Finance, Forthcoming
Number of pages: 46 Posted: 19 Nov 2009 Last Revised: 23 May 2012
David Rapach, Jack Strauss and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 2,018 (14,198)
Citation 9

Abstract:

Loading...

Equity premium, Predictive regression model, Combination forecast, Information diffusion, Granger causality, Business cycle, Global financial crisis

International Stock Return Predictability: What is the Role of the United States?

Number of pages: 41 Posted: 19 Mar 2010
David Rapach, Jack Strauss and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 347 (153,882)
Citation 42

Abstract:

Loading...

Out-of-sample equity premium predictability, Predictive regression model, Combination forecast, Information diffusion, Granger causality, Business cycle, Global financial crisis

7.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Federal Reserve Bank of St. Louis Working Paper No. 2010-008H
Number of pages: 48 Posted: 11 Mar 2010 Last Revised: 03 Feb 2014
Federal Reserve Bank of St. Louis - Research Division, Research Department, Federal Reserve Bank of Atlanta, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 2,005 (14,609)
Citation 33

Abstract:

Loading...

equity risk premium predictability, macroeconomic variables, moving-average rules, momentum, volume, sentiment, out-of-sample forecasts, asset allocation, business cycle

8.

Asset Pricing: Time-Series Predictability

Oxford Research Encyclopedia of Economics and Finance
Number of pages: 45 Posted: 12 Oct 2021 Last Revised: 24 Mar 2022
David Rapach and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 1,901 (15,874)

Abstract:

Loading...

Market excess return, Out-of-sample tests, Utility gains, Forecast combination, Principal component regression, Partial least squares, LASSO, Elastic net

9.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Number of pages: 35 Posted: 21 Mar 2011 Last Revised: 10 Mar 2014
Federal Reserve Bank of St. Louis - Research Division, Research Department, Federal Reserve Bank of Atlanta, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,638 (20,054)
Citation 104

Abstract:

Loading...

Equity Risk Premium Predictability, Macroeconomic Variables, Moving-Average Rules, Momentum, Volume, Out-of-Sample Forecasts, Asset Allocation

10.

Economic Fundamentals and Short-Run Exchange Rate Prediction: A Machine Learning Perspective

Number of pages: 50 Posted: 27 Sep 2019 Last Revised: 19 Dec 2023
Washington University in St. Louis - John M. Olin Business School, Research Department, Federal Reserve Bank of Atlanta, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1,514 (22,529)
Citation 1

Abstract:

Loading...

Economic fundamentals, Exchange rate forecasting, Panel predictive regression, Elastic net, Deep neural network, Asset allocation, Conditional price of risk

11.

Sparse Macro Factors

Number of pages: 53 Posted: 25 Oct 2018 Last Revised: 01 Feb 2021
David Rapach and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 1,219 (31,047)
Citation 2

Abstract:

Loading...

Sparse principal component analysis, FRED-MD, Risk premia, Factor-mimicking portfolio, Three-pass regression, Multifactor models

12.

The Anatomy of Machine Learning-Based Portfolio Performance

Number of pages: 57 Posted: 29 Nov 2023 Last Revised: 07 Dec 2023
Université du Québec à Montréal - Département des Sciences Économiques, Research Department, Federal Reserve Bank of Atlanta, Aarhus UniversityAarhus University - CREATES and Aarhus University - Department of Economics and Business Economics
Downloads 1,026 (39,827)

Abstract:

Loading...

Asset return predictability, Machine learning, Out-of-sample forecast, Portfolio construction, Economic value, Shapley value, XGBoost

13.

Mixed-Frequency Machine Learning: Nowcasting and Backcasting Weekly Initial Claims with Daily Internet Search-Volume Data

International Journal of Forecasting, Forthcoming
Number of pages: 54 Posted: 13 Sep 2020 Last Revised: 13 Jun 2022
Aarhus University, CREATES, DFI, Research Department, Federal Reserve Bank of Atlanta and Aarhus UniversityAarhus University - CREATES
Downloads 1,020 (40,090)
Citation 4

Abstract:

Loading...

Mixed-frequency data, LASSO, Elastic net, Neural network, Unemployment insurance, Internet search, Variable importance

14.

Which Hedge Fund Styles Hedge Against Bad Times?

Number of pages: 55 Posted: 18 Aug 2013 Last Revised: 24 Feb 2015
Charles Cao, David Rapach and Guofu Zhou
Pennsylvania State University, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 946 (44,585)
Citation 3

Abstract:

Loading...

Asset-based style factors, Multifactor model, Regime switching, Financial stress,Threshold regression, Portfolio performance

15.

Portfolio Structuring and the Value of Forecasting

CFA Institute Research Foundation 2016B - 4
Number of pages: 40 Posted: 31 May 2017
CFA Institute, BlackRock, Inc, Kepos Capital LP, Orbis Investment Management Limited, University of Pennsylvania, Good Judgment Inc. and Research Department, Federal Reserve Bank of Atlanta
Downloads 628 (76,681)

Abstract:

Loading...

16.

Cryptocurrency Return Predictability: A Machine-Learning Analysis

Number of pages: 67 Posted: 01 Sep 2021 Last Revised: 10 Sep 2023
Washington University in St. Louis - John M. Olin Business School, Research Department, Federal Reserve Bank of Atlanta and Aarhus University - Department of Economics and Business Economics
Downloads 605 (80,294)
Citation 1

Abstract:

Loading...

Out-of-sample return prediction, Random forest, XGBoost, Deep neural network, Network value, Network activity, Time-series momentum, Investor attention, Shapley values

17.

Forecasting Stock Returns

Number of pages: 78 Posted: 12 Apr 2023
David Rapach and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 599 (81,838)

Abstract:

Loading...

Equity premium; Economic variables; Technical indicators; Forecast combination; Diffusion index; Regime shifts; Asset pricing model; Asset allocation; Business cycle

18.

The Anatomy of Out-of-Sample Forecasting Accuracy

FRB Atlanta Working Paper No. 2022-16
Number of pages: 54 Posted: 16 Nov 2022
Aarhus University, CREATES, DFI, Université du Québec à Montréal - Département des Sciences Économiques, Research Department, Federal Reserve Bank of Atlanta, Aarhus UniversityAarhus University - CREATES and Aarhus University - Department of Economics and Business Economics
Downloads 544 (91,877)

Abstract:

Loading...

variable importance, out-of-sample performance, Shapley value, loss function, machine learning, inflation

19.

Appendix to 'Short Interest and Aggregate Stock Returns'

Number of pages: 7 Posted: 21 Oct 2015 Last Revised: 20 Feb 2016
Research Department, Federal Reserve Bank of Atlanta, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 282 (193,027)
Citation 6

Abstract:

Loading...

20.

International Comovements in Inflation Rates and Country Characteristics

Federal Reserve Bank of St. Louis Working Paper No. 2008-025F
Number of pages: 38 Posted: 03 Aug 2008 Last Revised: 17 Jun 2011
Christopher J. Neely and David Rapach
Federal Reserve Bank of St. Louis - Research Division and Research Department, Federal Reserve Bank of Atlanta
Downloads 225 (241,202)
Citation 30

Abstract:

Loading...

Inflation, Dynamic latent factor model, Bayesian estimation

21.

Bayesian Estimation of Macro-Finance DSGE Models with Stochastic Volatility

Number of pages: 48 Posted: 23 Oct 2019 Last Revised: 23 Mar 2020
David Rapach and Fei Tan
Research Department, Federal Reserve Bank of Atlanta and Saint Louis University
Downloads 195 (276,477)

Abstract:

Loading...

Stochastic volatility, Affine solution, Gibbs sampler, Equity risk premium, Structural shocks, Business cycle

22.

The Rise and Decline of a University

Power and Protest at an American University: No Confidence, No Fear. Eds., Ellen Carnaghan and Kathryn E. Kuhn. 2021. Routledge
Number of pages: 31 Posted: 03 Jun 2015 Last Revised: 27 Jul 2023
David Rapach and Bonnie Wilson
Research Department, Federal Reserve Bank of Atlanta and Saint Louis University - Department of Economics
Downloads 69 (584,756)

Abstract:

Loading...

Saint Louis University, Economic growth theory, Capital accumulation, New Institutional Economics, Inclusive and extractive institutions, Critical juncture, Elites

23.

Industry Return Predictability: A Machine Learning Approach

Posted: 17 Feb 2018 Last Revised: 21 May 2019
David Rapach, Jack Strauss, Jun Tu and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta, University of Denver - Daniels College of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School

Abstract:

Loading...

Predictive regression; LASSO; Post-selection inference; Network analysis; Industry-rotation portfolio; Multifactor model; Gradual information dffusion

24.

Real Interest Rate Persistence: Evidence and Implications

Posted: 25 Jun 2008
Christopher J. Neely and David Rapach
Federal Reserve Bank of St. Louis - Research Division and Research Department, Federal Reserve Bank of Atlanta

Abstract:

Loading...

Real interest rate, Consumption-based asset pricing model, Neoclassical growth model