David Rapach

Saint Louis University - John Cook School of Business

3674 Lindell Blvd

St. Louis, MO 63108-3397

United States

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 3,394

in Total Papers Downloads

9,527

CITATIONS
Rank 6,358

SSRN RANKINGS

Top 6,358

in Total Papers Citations

78

Scholarly Papers (12)

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 - John Cook School of Business, University of Denver - Reiman School of Finance and Washington University in St. Louis - Olin School of Business
Downloads 1,075 (15,803)
Citation 9

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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 - John Cook School of Business, University of Denver - Reiman School of Finance and Washington University in St. Louis - Olin School of Business
Downloads 252 (103,316)
Citation 9

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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 - John Cook School of Business, University of Denver - Reiman School of Finance and Washington University in St. Louis - Olin School of Business
Downloads 1,231 (7,985)
Citation 50

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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 - John Cook School of Business, University of Utah - Department of Finance and Washington University in St. Louis - Olin School of Business
Downloads 1,217 (3,054)

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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 - John Cook School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 958 (11,892)
Citation 10

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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.

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 - John Cook School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 602 (28,793)
Citation 5

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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 - John Cook School of Business and Washington University in St. Louis - Olin School of Business
Downloads 258 (57,473)
Citation 2

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

7.

Industry Interdependencies and Cross-Industry Return Predictability

Number of pages: 49 Posted: 19 Feb 2015 Last Revised: 13 Dec 2015
David Rapach, Jack Strauss, Jun Tu and Guofu Zhou
Saint Louis University - John Cook 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 - Olin School of Business
Downloads 217 (34,527)

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Complex industry interdependencies; Predictive regression; Adaptive LASSO;Central node; Industry-rotation portfolio; Business cycle; Multifactor model; Principal components; Target-relevant factors

8.

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 - John Cook School of Business
Downloads 144 (148,230)
Citation 2

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Inflation, Dynamic latent factor model, Bayesian estimation

9.

The Rise and Decline of a University

Number of pages: 31 Posted: 03 Jun 2015
David Rapach and Bonnie Wilson
Saint Louis University - John Cook School of Business and Saint Louis University - Department of Economics
Downloads 8 (463,277)

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

10.

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 - John Cook School of Business
Downloads 0 (122,407)

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11.

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 - John Cook School of Business, University of Utah - Department of Finance and Washington University in St. Louis - Olin School of Business
Downloads 0 (210,677)

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12.

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 - John Cook School of Business

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