Welcome to Dave Rapach's Homepage

David E. Rapach (rapachde@slu.edu)
John Simon Endowed Chair in Economics
Professor of Economics, Chaifetz School of Business

Fields of Specialization: Financial Economics, Asset Pricing, Dynamic Asset Allocation, Applied Time Series Econometrics, Forecasting, International Finance, Macroeconomics, Monetary Economics

Mailing Address: Department of Economics, Saint Louis University, 3674 Lindell Boulevard, St. Louis, MO 63108-3397; Telephone: 314-977-3601; Fax: 314-977-1478

Research (papers, data/program files)


I have new working paper, “What Firm Characteristics Drive US Stock Returns?” (co-authored with Yufeng Han, Ai He, and Guofu Zhou), which has been accepted for the program of the American Finance Association 2019 Annual Meeting; slides for a presentation at the 2018 International Symposium on Forecasting are available herethe paper is available here

I presented my paper, “Dynamic Return Dependencies Across Industries: A Machine Learning Approach” (co-authored with Jack K. StraussJun Tu, and Guofu Zhou) at the 2018 Alliance Bernstein Boston Quantitative Finance Conference; slides for the presentation are available here; the paper is available here

I have new working paper, “Asset Pricing with Recursive Preferences and Stochastic Volatility: A Bayesian DSGE Analysis” (co-authored with Fei Tan); the paper is available here; slides for a presentation at the National University of Singapore Department of Finance are available here

I delivered a pair of invited lectures, “Forecasting Asset Returns: The State of the Art,” at CEMA/CUFE on July 12/13, 2016; the slides are available here and here

Together with Maria Arias and Charles Gascon of the St. Louis Fed, I developed monthly economic activity indices for the 50 largest US MSAs beginning in 1990; the indices are regularly updated and available on FRED; the indices are described in detail in our paper, Metro Business Cycles,” which appears in the July 2016 issue of the Journal of Urban Economics; the paper is featured in July 19, 2016 Forbes column by Adam Millsap and a June 9, 2016 Citylab column (from The Atlantic) by Richard Florida; the St. Louis index is featured in a November 19, 2015 St. Louis Post Dispatch story by Jim Gallagher (with a “boring” quote from yours truly)

I was invited to write a post on asset return forecasting for the Superforecasting in Action blog; the blog corresponds to Superforecasting: The Art and Science of Prediction, the New York Times bestselling book by Philip Tetlock and Dan Gardner

I gave an invited presentation at the  CFA Montreal Asset Management Forum on October 8, 2015, and the slides are available here; the other presenters were Andrew AngMark CarhartCraig Bodenstab, and Philip Tetlock; an August 2016 CFA Research Foundation Brief, Portfolio Structuring and the Value of Forecasting,” provides summaries of the presentations

My investiture ceremony as the Simon Endowed Chair in Economics was on September 23, 2015, and my remarks (“Many Thanks to Many People, Keeping a Promise to Myself, and a Dedication”) are available here

ECON 312o Intermediate Macroeconomics, Fall 2017 Materials

ECON 6520 Forecasting Macroeconomic and Financial Variables, Spring 2018 Materials
ECON 6550 Applied Optimization Methods for Financial Economics, Summer 2018 Materials