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

  • Saint Louis University

SCHOLARLY PAPERS

19

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SSRN CITATIONS
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Top 2,720

in Total Papers Citations

452

CROSSREF CITATIONS

43

Scholarly Papers (19)

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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 C. 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 4,901 (2,084)
Citation 58

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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 2,374 (7,199)
Citation 146

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portfolio performance between advised and self-directed investors

3.

International Stock Return Predictability: What is the Role of the United States?

Downloads 1,886 ( 10,488)
Citation 71

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 1,578 (13,663)
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 308 (120,983)
Citation 69

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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.

Cross-Sectional Out-of-Sample Stock Return Prediction with Many Characteristics

Number of pages: 67 Posted: 13 Jun 2018 Last Revised: 29 Jun 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, Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,745 (11,888)
Citation 41

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

5.

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
Christopher J. Neely, David Rapach, Jun Tu and Guofu Zhou
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 1,725 (12,121)
Citation 22

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

6.

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 1,303 (18,777)
Citation 1

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

7.

Anomalies and the Expected Market Return

Journal of Finance, Forthcoming
Number of pages: 59 Posted: 07 Apr 2020 Last Revised: 30 Apr 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, Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,077 (24,902)
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

8.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Number of pages: 35 Posted: 21 Mar 2011 Last Revised: 10 Mar 2014
Christopher J. Neely, David Rapach, Jun Tu and Guofu Zhou
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 1,060 (25,530)
Citation 49

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

9.

Exchange Rate Prediction with Machine Learning and a Smart Carry Portfolio

Number of pages: 61 Posted: 27 Sep 2019 Last Revised: 06 Jul 2021
Ilias Filippou, David Rapach, Mark P. Taylor and Guofu Zhou
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 646 (50,433)

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Short-horizon exchange rate predictability, Panel predictive regression, Elastic net, Deep neural network, Carry trade

10.

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 557 (60,946)
Citation 3

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

11.

Sparse Macro Factors

Number of pages: 53 Posted: 25 Oct 2018 Last Revised: 01 Feb 2021
David Rapach and Guofu Zhou
Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads 551 (61,757)
Citation 4

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

12.

Portfolio Structuring and the Value of Forecasting

CFA Institute Research Foundation 2016B - 4
Number of pages: 40 Posted: 31 May 2017
Jacques Lussier, Andrew Ang, Mark M. Carhart, Craig Bodenstab, Philip Tetlock, Warren Hatch and David Rapach
CFA Institute, BlackRock, Inc, Kepos Capital LP, Orbis Investment Management Limited, University of Pennsylvania, Good Judgment Inc. and Saint Louis University
Downloads 504 (68,980)

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13.

Mixed-Frequency Machine Learning: Now- and Backcasting Weekly Initial Claims with Daily Internet Search-Volume Data

Number of pages: 52 Posted: 13 Sep 2020 Last Revised: 29 Jul 2021
Daniel Borup, David Rapach and Erik Christian Montes Schütte
Aarhus University, CREATES, DFI, Saint Louis University and Aarhus University - CREATES
Downloads 485 (74,181)
Citation 2

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

14.

Appendix to 'Short Interest and Aggregate Stock Returns'

Number of pages: 7 Posted: 21 Oct 2015 Last Revised: 20 Feb 2016
David Rapach, Matthew C. 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 223 (168,509)
Citation 4

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15.

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 195 (190,937)
Citation 23

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Inflation, Dynamic latent factor model, Bayesian estimation

16.

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
Saint Louis University and Saint Louis University
Downloads 122 (280,835)

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

17.

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 53 (457,276)

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

18.

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

19.

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

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