Guanhao Feng

City University of Hong Kong (CityU)

Assistant Professor

83 Tat Chee Avenue

Hong Kong

SCHOLARLY PAPERS

16

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10,182

SSRN CITATIONS
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SSRN RANKINGS

Top 8,000

in Total Papers Citations

151

CROSSREF CITATIONS

11

Ideas:
“  My research interests include Bayesian statistics, empirical asset pricing, financial technology, and machine learning in finance.  ”

Scholarly Papers (16)

1.

Taming the Factor Zoo: A Test of New Factors

Fama-Miller Working Paper, Chicago Booth Research Paper No. 17-04
Number of pages: 75 Posted: 20 Mar 2017 Last Revised: 29 Jul 2019
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityU), Yale School of Management and University of Chicago - Booth School of Business
Downloads 3,854 (4,179)
Citation 18

Abstract:

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Factors, Stochastic Discount Factor, Post-Selection Inference, Regularized Two-Pass Estimation, Variable Selection, Machine Learning, LASSO, Elastic Net, PCA

2.

Deep Learning in Characteristics-Sorted Factor Models

Number of pages: 50 Posted: 23 Sep 2018 Last Revised: 14 Dec 2022
Guanhao Feng, Jingyu He, Nick Polson and Jianeng Xu
City University of Hong Kong (CityU), City University of Hong Kong (CityU), University of Chicago - Booth School of Business and University of Chicago, Students
Downloads 2,193 (10,528)
Citation 7

Abstract:

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Cross-sectional Returns, Deep Learning, Latent Factors, Pricing Errors, Security Sorting.

3.

Factor Investing: A Bayesian Hierarchical Approach

Journal of Econometrics, Forthcoming
Number of pages: 38 Posted: 06 Feb 2019 Last Revised: 07 Oct 2022
Guanhao Feng and Jingyu He
City University of Hong Kong (CityU) and City University of Hong Kong (CityU)
Downloads 743 (51,969)
Citation 1

Abstract:

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Asset Allocation, Bayes, Hierarchical Prior, Estimation Risk, Characteristics, Macro Predictors, Risk Factor

Asset Pricing with Panel Tree Under Global Split Criteria

Number of pages: 77 Posted: 27 Oct 2021 Last Revised: 19 Dec 2022
Lin William Cong, Guanhao Feng, Jingyu He and Xin He
Cornell University - Samuel Curtis Johnson Graduate School of Management, City University of Hong Kong (CityU), City University of Hong Kong (CityU) and Hunan University - College of Finance and Statistics
Downloads 733 (52,197)

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Asset Pricing, Basis Asset, Explainable AI, Latent Factor, Machine Learning, SDF

Asset Pricing with Panel Tree Under Global Split Criteria

NBER Working Paper No. w30805
Number of pages: 78 Posted: 02 Jan 2023 Last Revised: 16 Jan 2023
Lin William Cong, Guanhao Feng, Jingyu He and Xin He
Cornell University - Samuel Curtis Johnson Graduate School of Management, City University of Hong Kong (CityU), City University of Hong Kong (CityU) and Hunan University - College of Finance and Statistics
Downloads 3 (970,154)
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5.

Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach

Number of pages: 60 Posted: 03 Feb 2020 Last Revised: 14 Dec 2022
Yinghua Fan, Guanhao Feng, Andras Fulop and Junye Li
City University of Hong Kong (CityU), City University of Hong Kong (CityU), ESSEC Business School and Fudan University - School of Management
Downloads 544 (77,658)
Citation 3

Abstract:

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Deep Learning, Bond Return Predictability, Real-Time Macro Data, News Topic Attentions.

6.

Does Higher-Frequency Data Always Help to Predict Longer-Horizon Volatility?

Journal of Risk, Forthcoming
Number of pages: 19 Posted: 25 Apr 2016 Last Revised: 25 May 2017
Ben Charoenwong and Guanhao Feng
National University of Singapore - Department of Finance and City University of Hong Kong (CityU)
Downloads 367 (123,585)

Abstract:

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Long-Horizon Volatility Forecast, Temporal Aggregation, Model Selection, Risk Management

7.

Predicting Individual Corporate Bond Returns

Number of pages: 50 Posted: 30 Jun 2021 Last Revised: 14 Oct 2022
Xin He, Guanhao Feng, Junbo Wang and Chunchi Wu
Hunan University - College of Finance and Statistics, City University of Hong Kong (CityU), Dept. of Economics and Finance, City Univ. of HK and SUNY at Buffalo - School of Management
Downloads 324 (141,509)

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Bond Characteristics, Individual Corporate Bonds, Macro Predictors, Return Predictability, Private Company Bonds.

8.

Deep Tangency Portfolios

Number of pages: 45 Posted: 11 Mar 2022 Last Revised: 18 Dec 2022
Guanhao Feng, Liang Jiang, Junye Li and Yizhi Song
City University of Hong Kong (CityU), Fudan University - Fanhai International School of Finance (FISF), Fudan University - School of Management and City University of Hong Kong (CityU)
Downloads 272 (170,413)

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Corporate Bond Returns, Deep Learning, Factor Models, Stochastic Discount Factor, Tangency Portfolios.

9.

Regularized GMM for Time-Varying Models with Applications to Asset Pricing

Number of pages: 40 Posted: 08 Apr 2021 Last Revised: 05 Jan 2023
Liyuan Cui, Guanhao Feng and Yongmiao Hong
City University of Hong Kong, City University of Hong Kong (CityU) and Cornell University - Department of Economics
Downloads 239 (192,937)

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GMM, ridge fusion penalty, stochastic discount factor, time-varying coefficient model.

10.

Uncommon Factors for Bayesian Asset Clusters

Number of pages: 68 Posted: 29 Sep 2022 Last Revised: 21 Nov 2022
Lin William Cong, Guanhao Feng, Jingyu He and Junye Li
Cornell University - Samuel Curtis Johnson Graduate School of Management, City University of Hong Kong (CityU), City University of Hong Kong (CityU) and Fudan University - School of Management
Downloads 203 (225,058)

Abstract:

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Bayesian Inference, Cross Section, Factor Selection, Self-Supervised Clustering, Spike-and-Slab.

11.

Corporate Bond Pricing via Benchmark Combination Model

Number of pages: 63 Posted: 12 Oct 2021 Last Revised: 04 Jan 2023
Xin He, Guanhao Feng, Junbo Wang and Chunchi Wu
Hunan University - College of Finance and Statistics, City University of Hong Kong (CityU), Dept. of Economics and Finance, City Univ. of HK and SUNY at Buffalo - School of Management
Downloads 198 (230,109)

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Characteristic-based benchmark; corporate bond pricing; forecast combination; machine learning; risk premia.

12.

Regularizing Bayesian Predictive Regressions

Number of pages: 35 Posted: 17 Aug 2016 Last Revised: 25 Oct 2021
Guanhao Feng and Nick Polson
City University of Hong Kong (CityU) and University of Chicago - Booth School of Business
Downloads 139 (310,206)
Citation 1

Abstract:

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Bayesian predictive regression; prior sensitivity analysis; maximum-a-posteriori; equity-premium predictability; bond risk premia; predictor selection.

13.

Estimating Asymmetric Price Impact

Number of pages: 42 Posted: 11 Dec 2022 Last Revised: 16 Dec 2022
Yinghua Fan, Guanhao Feng, Scott Au and Sayad Baronyan
City University of Hong Kong (CityU), City University of Hong Kong (CityU), Informa Financial Intelligence, EPFR and Informa Financial Intelligence, EPFR
Downloads 138 (311,950)

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Asymmetric price impact, ETFs, Firm characteristics, Inflow and outflow, Institutional investors, Mutual funds.

14.

Sparse Regularization in Marketing and Economics

Number of pages: 29 Posted: 20 Aug 2017 Last Revised: 10 Feb 2018
Guanhao Feng, Nick Polson, Yuexi Wang and Jianeng Xu
City University of Hong Kong (CityU), University of Chicago - Booth School of Business, University of Chicago, Students and University of Chicago, Students
Downloads 133 (320,922)

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Machine learning, Regularization, Proximal Algorithm, Nonconvex Optimization, Marketing Demand Forecasting

15.
Downloads 99 (395,537)
Citation 70

Taming the Factor Zoo: A Test of New Factors

NBER Working Paper No. w25481
Number of pages: 45 Posted: 30 Jan 2019 Last Revised: 17 Aug 2022
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityU), Yale School of Management and University of Chicago - Booth School of Business
Downloads 98 (401,169)
Citation 6

Abstract:

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Taming the Factor Zoo: A Test of New Factors

CEPR Discussion Paper No. DP14266
Number of pages: 49 Posted: 14 Jan 2020
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityU), Yale School of Management and University of Chicago - Booth School of Business
Downloads 1 (1,000,158)
Citation 64
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Elastic Net, Factors, Lasso, Machine Learning, PCA, Post-Selection Inference, Regularized Two-Pass Estimation, Stochastic discount factor, variable selection

16.

Does Higher-Frequency Data Always Help to Predict Longer-Horizon Volatility?

Journal of Risk, Forthcoming
Posted: 13 May 2017
Ben Charoenwong and Guanhao Feng
National University of Singapore - Department of Finance and City University of Hong Kong (CityU)

Abstract:

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long-horizon volatility, iterated forecasts, temporal aggregation, model selection, risk management, mixed data frequency