David Rapach

Saint Louis University - Richard A. Chaifetz School of Business

John Simon Endowed Chair in Economics and Professor

3674 Lindell Blvd

St. Louis, MO 63108-3397

United States

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 3,231

SSRN RANKINGS

Top 3,231

in Total Papers Downloads

10,422

CITATIONS
Rank 6,399

SSRN RANKINGS

Top 6,399

in Total Papers Citations

77

Scholarly Papers (13)

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 - Richard A. Chaifetz School of Business, University of Denver - Reiman School of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1,144 (15,423)
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
Saint Louis University - Richard A. Chaifetz School of Business, University of Denver - Reiman School of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 265 (103,502)
Citation 9

Abstract:

Loading...

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

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 - Richard A. Chaifetz School of Business, University of Denver - Reiman School of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1,231 (7,708)
Citation 49

Abstract:

Loading...

portfolio performance between advised and self-directed investors

3.

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 - Richard A. Chaifetz School of Business, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1,217 (2,748)

Abstract:

Loading...

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

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 - Richard A. Chaifetz School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 958 (11,469)
Citation 10

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 - Richard A. Chaifetz School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 602 (27,040)
Citation 5

Abstract:

Loading...

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

6.

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 - Richard A. Chaifetz School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 258 (56,704)
Citation 2

Abstract:

Loading...

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

7.

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 - Richard A. Chaifetz School of Business
Downloads 144 (153,176)
Citation 2

Abstract:

Loading...

Inflation, Dynamic latent factor model, Bayesian estimation

8.

The Rise and Decline of a University

Number of pages: 31 Posted: 03 Jun 2015
David Rapach and Bonnie Wilson
Saint Louis University - Richard A. Chaifetz School of Business and Saint Louis University - Department of Economics
Downloads 8 (461,810)

Abstract:

Loading...

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

9.

How Many Firm Characteristics Drive US Stock Returns?

Number of pages: 57 Posted: 13 Jun 2018
Yufeng Han, Ai He, David Rapach and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Emory University, Goizueta Business School, Department of Finance, Saint Louis University - Richard A. Chaifetz School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 0 (307,711)

Abstract:

Loading...

Firm characteristics, Cross-sectional expected stock returns, Combination forecast, Machine learning, Forecast encompassing

10.

Dynamic Return Dependencies Across Industries: A Machine Learning Approach

Number of pages: 50 Posted: 17 Feb 2018 Last Revised: 17 Mar 2018
David Rapach, Jack Strauss, Jun Tu and Guofu Zhou
Saint Louis University - Richard A. Chaifetz School of Business, 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
Downloads 0 (35,849)

Abstract:

Loading...

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

11.

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 - Richard A. Chaifetz School of Business
Downloads 0 (92,370)

Abstract:

Loading...

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 - Richard A. Chaifetz School of Business, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 0 (200,664)

Abstract:

Loading...

13.

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 - Richard A. Chaifetz School of Business

Abstract:

Loading...

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