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

21

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25,178

SSRN CITATIONS
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Top 2,613

in Total Papers Citations

457

CROSSREF CITATIONS

44

Scholarly Papers (21)

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 5,384 (2,135)
Citation 59

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
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 2,625 (7,303)
Citation 155

Abstract:

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portfolio performance between advised and self-directed investors

3.

Expected Stock Returns and Firm Characteristics: E-LASSO, Assessment, and Implications

Number of pages: 68 Posted: 13 Jun 2018 Last Revised: 11 Sep 2021
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 2,352 (8,652)
Citation 41

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Cross-sectional expected stock returns, Characteristic premia, Shrinkage, LASSO, Forecast combination, Forecast encompassing

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 2,100 (10,474)
Citation 4

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

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 1,766 (13,611)
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
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 315 (134,953)
Citation 71

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

6.

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 1,854 (12,787)
Citation 21

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

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
Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 1,807 (13,327)
Citation 1

Abstract:

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

8.

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 1,228 (23,986)
Citation 50

Abstract:

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

9.

Out-of-Sample Exchange Rate Prediction: A Machine Learning Perspective

Number of pages: 66 Posted: 27 Sep 2019 Last Revised: 06 Apr 2022
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 958 (34,265)

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Short-horizon exchange rate predictability, Panel predictive regression, Elastic net, Deep neural network, Variable importance, Partial dependence plot, Individual conditional expectation curves, Carry trade

10.

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 854 (40,228)
Citation 4

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

11.

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 824 (42,273)
Citation 3

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

12.

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 759 (47,137)
Citation 3

Abstract:

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

13.

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 639 (59,145)

Abstract:

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

14.

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 549 (71,578)

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15.

Boosting Cryptocurrency Return Prediction

Number of pages: 40 Posted: 01 Sep 2021
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 522 (76,214)

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Bitcoin, Ethereum, Out-of-sample return prediction, Machine learning, XGBoost, SHAP values

16.

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 244 (175,809)
Citation 4

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17.

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 202 (210,039)
Citation 24

Abstract:

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Inflation, Dynamic latent factor model, Bayesian estimation

18.

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 143 (281,039)

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

19.

The Rise and Decline of a University

Number of pages: 31 Posted: 03 Jun 2015
David Rapach and Bonnie Wilson
Research Department, Federal Reserve Bank of Atlanta and Saint Louis University - Department of Economics
Downloads 53 (512,345)

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

20.

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

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

21.

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:

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