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

15

DOWNLOADS
Rank 2,808

SSRN RANKINGS

Top 2,808

in Total Papers Downloads

12,702

CITATIONS
Rank 4,779

SSRN RANKINGS

Top 4,779

in Total Papers Citations

171

Scholarly Papers (15)

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 3,889 (2,316)
Citation 7

Abstract:

Loading...

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 - Reiman School of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 2,049 (6,843)
Citation 12

Abstract:

Loading...

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 - Reiman School of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1,336 (13,555)
Citation 5

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
Saint Louis University, University of Denver - Reiman School of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 288 (104,235)
Citation 8

Abstract:

Loading...

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 1,544 (10,996)
Citation 14

Abstract:

Loading...

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

5.

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 915 (24,494)
Citation 8

Abstract:

Loading...

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

6.

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 - Department of Finance, Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads 910 (24,692)
Citation 9

Abstract:

Loading...

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

7.

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 504 (54,492)
Citation 3

Abstract:

Loading...

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

8.

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 417 (68,822)

Abstract:

Loading...

9.

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 274 (110,546)

Abstract:

Loading...

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

10.

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 191 (157,574)

Abstract:

Loading...

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

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 184 (163,014)
Citation 1

Abstract:

Loading...

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 159 (185,222)
Citation 2

Abstract:

Loading...

13.

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 42 (414,699)

Abstract:

Loading...

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

14.

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 - Reiman School of Finance, 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

15.

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:

Loading...

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