David Rapach

Saint Louis University

Professor of Economics

3674 Lindell Blvd

St. Louis, MO 63108-3397

United States

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

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

17

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SSRN CITATIONS
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Top 4,001

in Total Papers Citations

239

CROSSREF CITATIONS

36

Scholarly Papers (17)

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 Ringgenberg and Guofu Zhou
Saint Louis University, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 4,147 (2,211)
Citation 24

Abstract:

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

2.

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
Saint Louis University, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 2,121 (6,851)
Citation 93

Abstract:

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portfolio performance between advised and self-directed investors

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
Saint Louis University, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,382 (13,570)
Citation 6

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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
Saint Louis University, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 295 (106,255)
Citation 45

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

4.

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, Saint Louis University, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,590 (11,125)
Citation 18

Abstract:

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

5.

Firm Characteristics and Expected Stock Returns

Number of pages: 62 Posted: 13 Jun 2018 Last Revised: 08 Aug 2019
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, Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,119 (19,093)
Citation 15

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Cross-sectional expected stock returns, Characteristic premia, Forecast combination, Lasso, Forecast encompassing, Fama-MacBeth regression

6.

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, Saint Louis University, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 953 (24,214)
Citation 19

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

7.

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
Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads 587 (47,114)

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

8.

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, Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads 516 (55,521)
Citation 3

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

9.

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 Saint Louis University
Downloads 448 (66,088)

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10.

Sparse Macro Factors

Number of pages: 49 Posted: 25 Oct 2018 Last Revised: 02 Feb 2019
David Rapach and Guofu Zhou
Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads 339 (91,667)

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Sparse Principal Component Aanalysis, FRED-MD, Risk Premia, Factor Mimicking Portfolio, Three-Pass Regression, Multifactor Models

11.

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 Saint Louis University
Downloads 187 (167,692)
Citation 12

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Inflation, Dynamic latent factor model, Bayesian estimation

12.

Appendix to 'Short Interest and Aggregate Stock Returns'

Number of pages: 7 Posted: 21 Oct 2015 Last Revised: 20 Feb 2016
David Rapach, Matthew Ringgenberg and Guofu Zhou
Saint Louis University, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 176 (177,095)
Citation 3

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13.

The Rise and Fall of the Carry Trade: Links to Exchange Rate Predictability

Number of pages: 52 Posted: 27 Sep 2019
Washington University in St. Louis - John M. Olin Business School, Saint Louis University, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 141 (213,507)

Abstract:

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Carry, Currency excess return, Panel predictive regression, Machine learning, Penalized regression, Short-horizon predictability, Global financial crisis

14.

The Rise and Decline of a University

Number of pages: 31 Posted: 03 Jun 2015
David Rapach and Bonnie Wilson
Saint Louis University and Saint Louis University - Department of Economics
Downloads 44 (424,378)

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

15.

Bayesian Estimation of Macro-Finance DSGE Models with Stochastic Volatility

Number of pages: 64 Posted: 23 Oct 2019
David Rapach and Fei Tan
Saint Louis University and Saint Louis University
Downloads 38 (448,591)

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Stochastic volatility, Gibbs sampler, Tailored proposal density, Affine solution, Equity risk premium, Risk-free rate, Structural shocks, Business cycle

16.

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
Saint Louis University, 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

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

17.

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 Saint Louis University

Abstract:

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