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

  • Research Department, Federal Reserve Bank of Atlanta

  • Washington University in St. Louis

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 1,300

SSRN RANKINGS

Top 1,300

in Total Papers Downloads

42,056

TOTAL CITATIONS
Rank 1,572

SSRN RANKINGS

Top 1,572

in Total Papers Citations

992

Scholarly Papers (27)

Actions:
Email selected abstracts
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
David Rapach, Matthew C. Ringgenberg and Guofu Zhou
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 6,809 (2,285)
Citation 170

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

Review of Finance, forthcoming
Number of pages: 41 Posted: 13 Jun 2018 Last Revised: 08 Aug 2024
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 4,328 (5,003)
Citation 41

Abstract:

Loading...

Penalized regression, Forecast combination, Forecast encompassing, Characteristic payoff, Cross-sectional out-of-sample R-squared statistic

3.

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 3,549 (6,934)
Citation 91

Abstract:

Loading...

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

4.

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 3,444 (7,297)
Citation 340

Abstract:

Loading...

portfolio performance between advised and self-directed investors

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 3,042 (8,858)
Citation 1

Abstract:

Loading...

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

6.

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

Downloads 2,674 (10,857)
Citation 67

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 2,270 (13,845)
Citation 13

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 404 (152,539)
Citation 54

Abstract:

Loading...

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

7.

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 2,501 (12,108)

Abstract:

Loading...

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

8.

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
Christopher J. Neely, David Rapach, Jun Tu and Guofu Zhou
Federal Reserve Bank of St. Louis - Research Division, Research Department, Federal Reserve Bank of Atlanta, Shanghai Jiao Tong University (SJTU), Antai College of Economics and Management, Students and Washington University in St. Louis - John M. Olin Business School
Downloads 2,128 (15,638)
Citation 83

Abstract:

Loading...

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

9.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Number of pages: 35 Posted: 21 Mar 2011 Last Revised: 10 Mar 2014
Christopher J. Neely, David Rapach, Jun Tu and Guofu Zhou
Federal Reserve Bank of St. Louis - Research Division, Research Department, Federal Reserve Bank of Atlanta, Shanghai Jiao Tong University (SJTU), Antai College of Economics and Management, Students and Washington University in St. Louis - John M. Olin Business School
Downloads 2,080 (16,258)
Citation 143

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: 53 Posted: 27 Sep 2019 Last Revised: 31 Jan 2025
Ilias Filippou, David Rapach, Mark P. Taylor and Guofu Zhou
Florida State University, 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 1,888 (18,970)
Citation 1

Abstract:

Loading...

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

11.

The Anatomy of Machine Learning-Based Portfolio Performance

Number of pages: 61 Posted: 29 Nov 2023 Last Revised: 19 Feb 2025
Philippe Goulet Coulombe, David Rapach, Erik Christian Montes Schütte, Erik Christian Montes Schütte and Sander Schwenk-Nebbe
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 1,668 (22,943)

Abstract:

Loading...

Asset return predictability, Machine learning, Out-of-sample forecast, Economic value, Shapley value, XGBoost, Firm characteristics

12.

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 1,345 (31,625)
Citation 1

Abstract:

Loading...

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

13.

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 1,272 (34,357)

Abstract:

Loading...

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

14.

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
Daniel Borup, David Rapach, Erik Christian Montes Schütte and Erik Christian Montes Schütte
Aarhus University, CREATES, DFI, Research Department, Federal Reserve Bank of Atlanta and Aarhus UniversityAarhus University - CREATES
Downloads 1,102 (42,411)
Citation 9

Abstract:

Loading...

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

15.

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 1,054 (45,115)
Citation 3

Abstract:

Loading...

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

16.

The Anatomy of Out-of-Sample Forecasting Accuracy

Downloads 859 (59,798)
Citation 1

The Anatomy of Out-of-Sample Forecasting Accuracy

FRB Atlanta Working Paper No. 2022-16
Number of pages: 54 Posted: 16 Nov 2022
Daniel Borup, Philippe Goulet Coulombe, David Rapach, Erik Christian Montes Schütte, Erik Christian Montes Schütte and Sander Schwenk-Nebbe
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 723 (74,185)

Abstract:

Loading...

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

The Anatomy of Out-of-Sample Forecasting Accuracy

FRB Atlanta Working Paper No. 2022-16B
Number of pages: 36 Posted: 23 Feb 2024
Daniel Borup, Philippe Goulet Coulombe, David Rapach, Erik Christian Montes Schütte, Erik Christian Montes Schütte and Sander Schwenk-Nebbe
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 136 (444,335)
Citation 1

Abstract:

Loading...

model interpretation, Shapley value, predictor importance, loss function, machine learning, inflation

17.

Portfolio Structuring and the Value of Forecasting

CFA Institute Research Foundation 2016B - 4
Number of pages: 40 Posted: 31 May 2017
Jacques Lussier, Andrew Ang, Mark M. Carhart, Craig Bodenstab, Philip Tetlock, Warren Hatch and David Rapach
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 681 (81,137)

Abstract:

Loading...

18.

Cryptocurrency Return Predictability: A Machine-Learning Analysis

Number of pages: 61 Posted: 01 Sep 2021 Last Revised: 26 Feb 2024
Ilias Filippou, David Rapach and Christoffer Thimsen
Florida State University, Research Department, Federal Reserve Bank of Atlanta and Aarhus University - Department of Economics and Business Economics
Downloads 675 (82,111)
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

19.

Appendix to 'Short Interest and Aggregate Stock Returns'

Number of pages: 7 Posted: 21 Oct 2015 Last Revised: 20 Feb 2016
David Rapach, Matthew C. Ringgenberg and Guofu Zhou
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 318 (200,181)
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 249 (257,839)
Citation 34

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 - Department of Economics
Downloads 226 (283,366)

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 79 (645,502)

Abstract:

Loading...

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

23.

Improving Hedge Fund Return Prediction: Dealing with Missing Data via Deep Learning

Number of pages: 57 Posted: 19 Mar 2025
Ilias Filippou, Ioannis Psaradellis, David Rapach and Lazaros Zografopoulos
Florida State University, University of Edinburgh Business School, Research Department, Federal Reserve Bank of Atlanta and University of St Andrews
Downloads 43 (884,047)

Abstract:

Loading...

machine learning, missing values, BRITS, imputation

24.

Anomalies and Links to Market Return Predictability: Supranational Evidence Based on New Market Efficiency Measures

Number of pages: 42 Posted: 04 Aug 2021 Last Revised: 26 Feb 2025
Xi Dong, Yan Li, Yanran 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, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 41 (920,321)

Abstract:

Loading...

Cross-sectional anomaly returns, Market return predictability, International market efficiency, Mispricing, Limits of arbitrage

25.

Is the Last Mile More Arduous?

FRB Atlanta Policy Hub Paper No. 2024-01, https://doi.org/10.29338/ph2024-1
Number of pages: 7 Posted: 24 Mar 2025
David Rapach
Research Department, Federal Reserve Bank of Atlanta
Downloads 1 (1,302,240)

Abstract:

Loading...

monetary policy; disinflation; Phillips curve; price stickiness; inflation expectations; soft landing

26.

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, Shanghai Jiao Tong University (SJTU), Antai College of Economics and Management, Students 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

27.

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