Guanhao Feng

City University of Hong Kong (CityU)

Assistant Professor

83 Tat Chee Avenue

Kowloon Tong

Hong Kong

SCHOLARLY PAPERS

13

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SSRN CITATIONS
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Top 8,040

in Total Papers Citations

151

CROSSREF CITATIONS

11

Scholarly Papers (13)

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 3,648 (3,795)
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: 40 Posted: 23 Sep 2018 Last Revised: 22 Feb 2021
Guanhao Feng, Nick Polson and Jianeng Xu
City University of Hong Kong (CityU), University of Chicago - Booth School of Business and University of Chicago, Students
Downloads 1,753 (12,690)
Citation 6

Abstract:

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Alpha, Characteristics-Sorted Factor Models, Cross-Sectional Returns, Deep Learning, Firm Characteristics, Non-Arbitrage, Pricing Errors.

3.

Factor Investing: A Bayesian Hierarchical Approach

Journal of Econometrics, Forthcoming
Number of pages: 38 Posted: 06 Feb 2019 Last Revised: 04 Nov 2021
Guanhao Feng and Jingyu He
City University of Hong Kong (CityU) and City University of Hong Kong (CityU)
Downloads 602 (58,681)
Citation 1

Abstract:

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

4.

Asset Pricing with Panel Trees under Global Split Criteria

Number of pages: 53 Posted: 27 Oct 2021 Last Revised: 23 Nov 2021
Xin He, Lin William Cong, Guanhao Feng and Jingyu He
City University of Hong Kong (CityU), Cornell University - Samuel Curtis Johnson Graduate School of Management, City University of Hong Kong (CityU) and City University of Hong Kong (CityU)
Downloads 423 (91,095)

Abstract:

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CART, Cross-Sectional Returns, Latent Factor Model, Machine Learning, Panel Data, Stochastic Discount Factor, Tree Ensembles.

5.

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 341 (115,107)

Abstract:

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

6.

Real-Time Macro Information and Bond Return Predictability: Does Deep Learning Help?

Number of pages: 40 Posted: 03 Feb 2020 Last Revised: 25 Jan 2021
Guanhao Feng, Andras Fulop and Junye Li
City University of Hong Kong (CityU), ESSEC Business School and Fudan University - School of Management
Downloads 276 (144,188)
Citation 3

Abstract:

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Deep Learning, Machine Learning, Bond Return Predictability, Real-Time Macro Data, Overlapping and Non-overlapping Returns

7.

Predicting Individual Corporate Bond Returns

Number of pages: 35 Posted: 30 Jun 2021
Xin He, Guanhao Feng, Junbo Wang and Chunchi Wu
City University of Hong Kong (CityU), City University of Hong Kong (CityU), Dept. of Economics and Finance, City Univ. of HK and SUNY at Buffalo - School of Management
Downloads 204 (193,196)

Abstract:

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Bond Characteristics, Individual Corporate Bonds, Machine Learning, Private Company Bonds, Return Decomposition, Return Predictability

8.

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 118 (302,470)

Abstract:

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

9.

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 118 (302,470)
Citation 1

Abstract:

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

10.

Benchmarking Individual Corporate Bonds

Number of pages: 34 Posted: 12 Oct 2021 Last Revised: 05 Nov 2021
Xin He, Guanhao Feng, Junbo Wang and Chunchi Wu
City University of Hong Kong (CityU), City University of Hong Kong (CityU), Dept. of Economics and Finance, City Univ. of HK and SUNY at Buffalo - School of Management
Downloads 114 (309,908)

Abstract:

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Characteristic-based portfolios, high-dimensional sort, corporate bond risk premia, forecast combination, machine learning, return predictability

11.

Interpretable and Arbitrage-Free Deep Learning for Corporate Bond Pricing

Number of pages: 43
Guanhao Feng, Liang Jiang and Junye Li
City University of Hong Kong (CityU), Fudan University - Fanhai International School of Finance (FISF) and Fudan University - School of Management
Downloads 49

Abstract:

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Deep Learning, Firm Characteristics, Corporate Bonds, Bond Portfolios, Latent Factor Models, No Arbitrage

12.
Downloads 38 (547,687)
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: 16 Aug 2021
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 37 (565,400)
Citation 6

Abstract:

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Taming the Factor Zoo: A Test of New Factors

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 (849,034)
Citation 64
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Abstract:

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Elastic Net, Factors, Lasso, Machine Learning, PCA, Post-Selection Inference, Regularized Two-Pass Estimation, Stochastic discount factor, variable selection

13.

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