Details about David Chapman

Access statistics for papers by David Chapman.

Last updated 2025-01-06. Update your information in the RePEc Author Service.

Short-id: pch85

Working Papers

2015

1. Asset Return Predictability in a Heterogeneous Agent Equilibrium Model
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
   See also Journal Article Asset Return Predictability in a Heterogeneous Agent Equilibrium Model, Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd. (2015) View citations (2) (2015)

2006

2. Linear Approximations and Tests of Conditional Pricing Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   See also Journal Article Linear Approximations and Tests of Conditional Pricing Models*, Review of Finance, European Finance Association (2018) View citations (1) (2018)

1998

3. Is the Short Rate Drift Actually Nonlinear?
   Finance, University Library of Munich, Germany View citations (51)
   See also Journal Article Is the Short Rate Drift Actually Nonlinear?, Journal of Finance, American Finance Association (2000) View citations (116) (2000)
4. Using Proxies for the Short Rate: When are Three Months Like an Instant?
   Finance, University Library of Munich, Germany View citations (7)
   See also Journal Article Using Proxies for the Short Rate: When Are Three Months Like an Instant?, The Review of Financial Studies, Society for Financial Studies (1999) View citations (63) (1999)

1996

5. Approximating the Asset Pricing Kernel
   Working Papers, Rochester, Business - Financial Research and Policy Studies View citations (15)
   See also Journal Article Approximating the Asset Pricing Kernel, Journal of Finance, American Finance Association (1997) View citations (60) (1997)

1992

6. Bond Yields, returns, and Aggregate Activity
   Working Papers, Rochester, Business - Ph.D., View citations (1)
7. Cotrending and the Stationarity of the Real Interest Rate
   RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (2)
   See also Journal Article Cotrending and the stationarity of the real interest rate, Economics Letters, Elsevier (1993) View citations (13) (1993)

Journal Articles

2018

1. Aggregate Tail Risk and Expected Returns
   The Review of Asset Pricing Studies, 2018, 8, (1), 36-76 View citations (3)
2. Linear Approximations and Tests of Conditional Pricing Models*
   (A new approach to international arbitrage pricing)
   Review of Finance, 2018, 22, (2), 455-489 View citations (1)
   See also Working Paper Linear Approximations and Tests of Conditional Pricing Models, NBER Working Papers (2006) View citations (6) (2006)

2017

3. Specification Error, Estimation Risk, and Conditional Portfolio Rules
   International Review of Finance, 2017, 17, (2), 263-288

2015

4. Asset Return Predictability in a Heterogeneous Agent Equilibrium Model
   Quarterly Journal of Finance (QJF), 2015, 05, (02), 1-45 View citations (2)
   See also Working Paper Asset Return Predictability in a Heterogeneous Agent Equilibrium Model, CEPR Discussion Papers (2015) View citations (2) (2015)

2011

5. Risk Attitudes Toward Small and Large Bets in the Presence of Background Risk
   Review of Finance, 2011, 15, (4), 909-927 View citations (3)

2009

6. First‐Order Risk Aversion, Heterogeneity, and Asset Market Outcomes
   Journal of Finance, 2009, 64, (4), 1863-1887 View citations (23)

2004

7. Why constrain your mutual fund manager?
   Journal of Financial Economics, 2004, 73, (2), 289-321 View citations (175)

2002

8. Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?
   Review of Economic Dynamics, 2002, 5, (3), 618-645 View citations (6)

2001

9. Recent Advances in Estimating Term-Structure Models
   Financial Analysts Journal, 2001, 57, (4), 77-95

2000

10. Is the Short Rate Drift Actually Nonlinear?
    Journal of Finance, 2000, 55, (1), 355-388 View citations (116)
    See also Working Paper Is the Short Rate Drift Actually Nonlinear?, Finance (1998) View citations (51) (1998)

1999

11. Using Proxies for the Short Rate: When Are Three Months Like an Instant?
    The Review of Financial Studies, 1999, 12, (4), 763-806 View citations (63)
    See also Working Paper Using Proxies for the Short Rate: When are Three Months Like an Instant?, Finance (1998) View citations (7) (1998)

1998

12. Habit Formation and Aggregate Consumption
    Econometrica, 1998, 66, (5), 1223-1230 View citations (41)

1997

13. Approximating the Asset Pricing Kernel
    Journal of Finance, 1997, 52, (4), 1383-1410 View citations (60)
    See also Working Paper Approximating the Asset Pricing Kernel, Working Papers (1996) View citations (15) (1996)
14. The cyclical properties of consumption growth and the real term structure
    Journal of Monetary Economics, 1997, 39, (2), 145-172 View citations (27)

1993

15. Cotrending and the stationarity of the real interest rate
    Economics Letters, 1993, 42, (2-3), 133-138 View citations (13)
    See also Working Paper Cotrending and the Stationarity of the Real Interest Rate, RCER Working Papers (1992) View citations (2) (1992)