Guanhao Feng

City University of Hong Kong (CityU)

Assistant Professor

83 Tat Chee Avenue

Hong Kong

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 5,757

SSRN RANKINGS

Top 5,757

in Total Papers Downloads

12,884

SSRN CITATIONS
Rank 3,680

SSRN RANKINGS

Top 3,680

in Total Papers Citations

438

CROSSREF CITATIONS

17

Ideas:
“  My research interests include Bayesian statistics, empirical asset pricing, machine learning in finance, and time-varying econometrics.  ”

Scholarly Papers (19)

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 4,078 (4,460)
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

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 50 Posted: 23 Sep 2018 Last Revised: 26 Jun 2023
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 2,506 (9,823)
Citation 20

Abstract:

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

3.
Downloads 840 (50,556)
Citation 2

Growing the Efficient Frontier on Panel Trees

Number of pages: 76 Posted: 27 Oct 2021 Last Revised: 30 Nov 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 833 (50,451)
Citation 1

Abstract:

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Characteristics, Decision Tree, Factors, Interpretable AI, Test Assets.

Asset Pricing with Panel Tree Under Global Split Criteria

NBER Working Paper No. w30805
Number of pages: 78 Posted: 02 Jan 2023 Last Revised: 14 Apr 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 7 (1,044,080)
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4.

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 840 (50,556)
Citation 1

Abstract:

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

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 668 (68,658)
Citation 3

Abstract:

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

6.
Downloads 537 (90,106)
Citation 1

Predicting Individual Corporate Bond Returns

Number of pages: 51 Posted: 30 Jun 2021 Last Revised: 13 Feb 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 361 (142,392)
Citation 2

Abstract:

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Bond Characteristics; Machine Learning; Aggregate Predictors; Return Predictability; Private Bonds.

Predicting Individual Corporate Bond Returns

Number of pages: 52 Posted: 01 Mar 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 176 (290,616)

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Bond Characteristics, machine learning, Aggregate Predictors, Return predictability, Private Bonds.

7.

Deep Tangency Portfolios

Number of pages: 55 Posted: 11 Mar 2022 Last Revised: 30 Sep 2023
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 477 (104,627)

Abstract:

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Tangency Portfolios, Deep Learning, Factor Models, Portfolio Optimization, Corporate Bonds.

8.

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

International Economic Review, Forthcoming
Number of pages: 50 Posted: 08 Apr 2021 Last Revised: 25 Oct 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 458 (109,279)

Abstract:

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

9.

Uncommon Factors and Asset Heterogeneity in the Cross Section and Time Series

Number of pages: 55 Posted: 29 Sep 2022 Last Revised: 26 Jun 2023
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 423 (119,952)

Abstract:

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Decision Tree, Bayesian Spike-and-Slab, Factor Selection, Heterogeneity, Structural Breaks.

10.

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 385 (133,642)

Abstract:

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

11.

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 334 (155,985)

Abstract:

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

12.

Time-Varying Factor Selection: A Sparse Fused GMM Approach

Number of pages: 54 Posted: 01 May 2023 Last Revised: 13 Aug 2023
City University of Hong Kong, City University of Hong Kong (CityU), Cornell University - Department of Economics and City University of Hong Kong (CityU) - Department of Economics & Finance
Downloads 288 (182,424)
Citation 1

Abstract:

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conditional asset pricing, heterogeneous structural breaks, macroeconomic regimes, sparsity, time-varying model specifications

13.

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 215 (243,000)

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

Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing

Number of pages: 48 Posted: 24 Jul 2023 Last Revised: 06 Sep 2023
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 187 (275,411)

Abstract:

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Asset Pricing, Bayesian Estimation, Clustering Tree, Factors, Heterogeneity, Panel Data, Sparsity, Spike-and-Slab, Structural Breaks

Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing

NBER Working Paper No. w31424
Number of pages: 49 Posted: 24 Jul 2023
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 11 (1,005,417)
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15.

Anomaly or Risk Factor? A Stepwise Evaluation

Number of pages: 48 Posted: 20 Jul 2023 Last Revised: 31 Jul 2023
Guanhao Feng, Wei Lan, Hansheng Wang and Jun Zhang
City University of Hong Kong (CityU), Southwestern University of Finance and Economics (SWUFE) - Statistical School and Center of Statistical Research, Peking University - Guanghua School of Management and School of Statistics
Downloads 189 (273,221)

Abstract:

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anomalies, factor efficiency, stepwise selection, GRS test, model comparison, Sharpe ratio

16.

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 156 (324,046)

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

17.

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 156 (324,046)
Citation 1

Abstract:

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

18.
Downloads 136 (359,814)
Citation 199

Taming the Factor Zoo: A Test of New Factors

NBER Working Paper No. w25481
Number of pages: 45 Posted: 30 Jan 2019 Last Revised: 15 Feb 2023
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 135 (362,760)
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 (1,093,101)
Citation 164
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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

19.

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