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David Chapman

Personal Details

First Name:David
Middle Name:
Last Name:Chapman
Suffix:
RePEc Short-ID:pch85
https://sites.google.com/view/david-chapman-home
McIntire School of Commerce University of Virginia 140 Hospital Drive Charlottesville, VA 22901
Bluesky: @dchap29.bsky.social

Affiliation

Finance Department
Wallace E. Carroll School of Management
Boston College

Chestnut Hill, Massachusetts (United States)
https://www.bc.edu/content/bc-web/schools/carroll-school/academic-departments/finance.html
RePEc:edi:fdbocus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Kaniel, Ron & Yan, Hong & Carlson, Murray & Chapman, David A., 2015. "Asset Return Predictability in a Heterogeneous Agent Equilibrium Model," CEPR Discussion Papers 10328, C.E.P.R. Discussion Papers.
  2. Michael W. Brandt & David A. Chapman, 2006. "Linear Approximations and Tests of Conditional Pricing Models," NBER Working Papers 12513, National Bureau of Economic Research, Inc.
  3. David A. Chapman & Neil D. Pearson, 1998. "Is the Short Rate Drift Actually Nonlinear?," Finance 9808005, University Library of Munich, Germany.
  4. David A. Chapman & John B. Long Jr. & Neil D. Pearson, 1998. "Using Proxies for the Short Rate: When are Three Months Like an Instant?," Finance 9808004, University Library of Munich, Germany, revised 07 Oct 1998.
  5. Chapman, D.A., 1996. "Approximating the Asset Pricing Kernel," Papers 96-02, Rochester, Business - Financial Research and Policy Studies.
  6. Chapman, D.A., 1992. "Bond Yields, returns, and Aggregate Activity," Papers 53, Rochester, Business - Ph.D.,.
  7. Chapman, D.A., 1992. "Cotrending and the Stationarity of the Real Interest Rate," RCER Working Papers 330, University of Rochester - Center for Economic Research (RCER).

Articles

  1. Michael W Brandt & David A Chapman, 2018. "Linear Approximations and Tests of Conditional Pricing Models [A new approach to international arbitrage pricing]," Review of Finance, European Finance Association, vol. 22(2), pages 455-489.
  2. David A Chapman & Michael F Gallmeyer & J Spencer Martin, 2018. "Aggregate Tail Risk and Expected Returns," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 8(1), pages 36-76.
  3. Weidong Tian & Murray Carlson & David A. Chapman & Ron Kaniel & Hong Yan, 2017. "Specification Error, Estimation Risk, and Conditional Portfolio Rules," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 263-288, June.
  4. Murray Carlson & David A. Chapman & Ron Kaniel & Hong Yan, 2015. "Asset Return Predictability in a Heterogeneous Agent Equilibrium Model," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-45.
  5. David A. Chapman & Valery Polkovnichenko, 2011. "Risk Attitudes Toward Small and Large Bets in the Presence of Background Risk," Review of Finance, European Finance Association, vol. 15(4), pages 909-927.
  6. David A. Chapman & Valery Polkovnichenko, 2009. "First‐Order Risk Aversion, Heterogeneity, and Asset Market Outcomes," Journal of Finance, American Finance Association, vol. 64(4), pages 1863-1887, August.
  7. Almazan, Andres & Brown, Keith C. & Carlson, Murray & Chapman, David A., 2004. "Why constrain your mutual fund manager?," Journal of Financial Economics, Elsevier, vol. 73(2), pages 289-321, August.
  8. David A. Chapman, 2002. "Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(3), pages 618-645, July.
  9. David A. Chapman & Neil D. Pearson, 2001. "Recent Advances in Estimating Term-Structure Models," Financial Analysts Journal, Taylor & Francis Journals, vol. 57(4), pages 77-95, July.
  10. David A. Chapman & Neil D. Pearson, 2000. "Is the Short Rate Drift Actually Nonlinear?," Journal of Finance, American Finance Association, vol. 55(1), pages 355-388, February.
  11. Chapman, David A & Long, John B, Jr & Pearson, Neil D, 1999. "Using Proxies for the Short Rate: When Are Three Months Like an Instant?," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 763-806.
  12. David A. Chapman, 1998. "Habit Formation and Aggregate Consumption," Econometrica, Econometric Society, vol. 66(5), pages 1223-1230, September.
  13. Chapman, David A., 1997. "The cyclical properties of consumption growth and the real term structure," Journal of Monetary Economics, Elsevier, vol. 39(2), pages 145-172, July.
  14. Chapman, David A, 1997. "Approximating the Asset Pricing Kernel," Journal of Finance, American Finance Association, vol. 52(4), pages 1383-1410, September.
  15. Chapman, David A. & Ogaki, Masao, 1993. "Cotrending and the stationarity of the real interest rate," Economics Letters, Elsevier, vol. 42(2-3), pages 133-138.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (3) 1998-10-08 1998-10-08 2006-09-30
  2. NEP-ETS: Econometric Time Series (1) 1998-10-02
  3. NEP-FIN: Finance (1) 2006-09-30
  4. NEP-IFN: International Finance (1) 1998-10-02
  5. NEP-MAC: Macroeconomics (1) 2015-02-05
  6. NEP-UPT: Utility Models and Prospect Theory (1) 2015-02-05

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