My guest today is Dave Rapach, an internationally renowned researcher in the area of asset return forecasting. His research is highly cited and published in leading scholarly and practitioner journals in Finance and Economics. Rapach is a Professor of Economics and holds the John Simon Endowed Chair in Economics at the Saint Louis University Chaifetz School of Business.
The topic is Trend Following.
In this episode of Trend Following Radio we discuss:
- Why trend following works from an academic standpoint
- “Publish or perish” and the difficulty of publishing scholarly articles on trend following
- Early research on trend following, the random walk theory, and Burton Malkiel’s “A Random Walk Down Wall Street”
- Warren Buffett, Bill Dunn, and survivorship bias
- A paper that Rapach traces to the reintroduction of trend following and technical analysis to the academic community
- Measuring systematic risk
- Eugene Fama’s recent nobel prize
- How the trend following world has been neglected by the academic community
- How Rapach found his way into the academic finance world
- Covel’s experience digging in to trend following research in the early to mid 1990’s
- Some of Rapach’s recent papers
- Why recessions are good for trend following
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