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Research Page for David A. Chapman


Working Papers

  1. “Household Consumption and Portfolio Choice in Response to Social Security Policy Risk,’’ November 2013. [Available online soon!]
  2. “The Portfolio Choices of Young and Old Active Mutual Fund Managers,” (Joint with Richard Evans ), November 2013. [Available online soon!]
  3. Linear Approximations and Tests of Conditional Pricing Models,” (Joint with Michael W. Brandt), July 2013. 
  4. “Comparing Multifactor Models of the Term Structure,” (Joint with Michael Brandt), January 2005.

Published Papers

  1. Risk Attitudes Toward Small and Large Bets in the Presence of Background Risk,” (Joint with Valery Polkovnichenko), Review of Finance, 15 (2011), pages 909-927.
  2. First-Order Risk Aversion, Heterogeneity, and Asset Market Outcomes,” (Joint with Valery Polkovnichenko), Journal of Finance, 64(4) (2009), pages 1863-1887.
  3. Why Constrain Your Mutual Fund Manager?” (Joint with Andres Almazan, Keith C. Brown and Murray Carlson), Journal of Financial Economics, 73(2) (2004), pages 289-321.
  4. Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?” Review of Economic Dynamics, 5 (2002), pages 618-645.
  5. Recent Advances in Estimating Term-Structure Models,” (Joint with Neil Pearson), Financial Analysts Journal, 57(4) (2001), pages 77-95.
  6. Is the Short Rate Drift Actually Nonlinear?” (with Neil D. Pearson), Journal of Finance 55(1) (2000), pages 355-388. Reprinted in Model Risk, published by Risk Books, May 2000.
  7. Using Proxies for the Short-Rate: When are Three Months Like an Instant?” (with John B. Long, Jr. and Neil D. Pearson), Review of Financial Studies, 12(4) (1999), pages 763-806.
  8. Habit Formation and Aggregate Consumption,” Econometrica, 66(5) (1998), pages 1223-1230.
  9. Approximating the Asset Pricing Kernel,” Journal of Finance, 52 (1997), pages 1383-1410.
  10. The Cyclical Properties of Consumption Growth and the Real Term Structure,” Journal of Monetary Economics, 39 (1997), pages 145-172.
  11. Cotrending and the Stationarity of the Real Interest Rate,” (with Masao Ogaki) Economic Letters, 42 (1993), pages 133-138.


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