Guanhao Feng

City University of Hong Kong (CityU)

Associate Professor

Hong Kong

  • City University of Hong Kong (CityU)

SCHOLARLY PAPERS

22

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SSRN RANKINGS

Top 4,709

in Total Papers Downloads

17,134

TOTAL CITATIONS
Rank 3,051

SSRN RANKINGS

Top 3,051

in Total Papers Citations

288

Ideas:
“  Guanhao Feng focuses on developing methodological solutions, including machine learning, Bayesian statistics, and financial econometrics, to address big data challenges in empirical asset pricing.  ”

  • City University of Hong Kong (CityU)

Scholarly Papers (22)

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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 4,336 (4,844)
Citation 18

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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 2,905 (9,227)
Citation 39

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

3.

Growing the Efficient Frontier on Panel Trees

Downloads 1,060 (43,550)
Citation 5

Growing the Efficient Frontier on Panel Trees

Journal of Financial Economics, Forthcoming
Number of pages: 73 Posted: 27 Oct 2021 Last Revised: 05 Nov 2024
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 University of Science and Technology of China (USTC)
Downloads 1,002 (46,304)
Citation 2

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Decision Tree, Efficient Frontier, Factors, Interpretable AI, Test Assets

Growing the Efficient Frontier on Panel Trees

NBER Working Paper No. w30805
Number of pages: 77 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 University of Science and Technology of China (USTC)
Downloads 58 (747,373)
Citation 3
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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: 21 Nov 2024
Guanhao Feng and Jingyu He
City University of Hong Kong (CityU) and City University of Hong Kong (CityU)
Downloads 962 (49,863)
Citation 1

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

5.

Predicting Individual Corporate Bond Returns

Downloads 884 (56,015)
Citation 4

Predicting Individual Corporate Bond Returns

Journal of Banking and Finance, Forthcoming
Number of pages: 65 Posted: 30 Jun 2021 Last Revised: 14 Dec 2024
Guanhao Feng, Xin He, Yanchu Wang and Chunchi Wu
City University of Hong Kong (CityU), University of Science and Technology of China (USTC), School of Finance - Shanghai University of Finance and Economics and The State University of New York (SUNY) at Buffalo - School of Management
Downloads 440 (134,289)
Citation 4

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Aggregate Predictors, Bond Characteristics, Forecast-implied Investment Gains, Machine Learning, Time-varying Return Predictability

Predicting Individual Corporate Bond Returns

Number of pages: 52 Posted: 01 Mar 2023
Xin He, Guanhao Feng, Junbo Wang and Chunchi Wu
University of Science and Technology of China (USTC), City University of Hong Kong (CityU), Dept. of Economics and Finance, City Univ. of HK and The State University of New York (SUNY) at Buffalo - School of Management
Downloads 290 (213,392)

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

Predicting Individual Corporate Bond Returns

Number of pages: 67 Posted: 06 Apr 2024
Guanhao Feng, Xin He, Yanchu Wang and Chunchi Wu
City University of Hong Kong (CityU), University of Science and Technology of China (USTC), School of Finance - Shanghai University of Finance and Economics and The State University of New York (SUNY) at Buffalo - School of Management
Downloads 154 (389,597)

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Aggregate Predictors, Bond Characteristics, Forecast-implied Investment Gains, Machine Learning; Time-varying Return Predictability., Time-varying Return Predictability

6.

Deep Tangency Portfolio

Number of pages: 53 Posted: 11 Mar 2022 Last Revised: 13 Nov 2024
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 805 (63,609)
Citation 1

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Deep Tangency Portfolio, Deep Learning, Corporate Bonds, IPCA, RP-PCA

7.

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 794 (64,737)
Citation 3

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

8.

Mosaics of Predictability

Number of pages: 56 Posted: 06 Jun 2024 Last Revised: 23 Dec 2024
Lin William Cong, Guanhao Feng, Jingyu He and Yuanzhi Wang
Cornell University - Samuel Curtis Johnson Graduate School of Management, City University of Hong Kong (CityU), City University of Hong Kong (CityU) and City University of Hong Kong (CityU)
Downloads 668 (81,009)

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Anomaly, Characteristics, Heterogeneous Predictability, Regime Switches, Goal-oriented Clustering

9.

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 628 (87,614)
Citation 2

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

10.

Time-Varying Factor Selection: A Sparse Fused GMM Approach

Number of pages: 35 Posted: 01 May 2023 Last Revised: 21 Nov 2024
Liyuan Cui, Guanhao Feng, Yongmiao Hong and Jiangshan Yang
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 610 (90,943)
Citation 1

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SCAD, structural breaks, stochastic discount factor, time-varying coefficient model, variable selection

11.

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 584 (96,128)
Citation 1

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

12.

Institutional Granular Impact is Benign on Asset Sales and Price Efficiency

Number of pages: 50 Posted: 11 Dec 2022 Last Revised: 10 Dec 2024
Yinghua Fan, Guanhao Feng, Xiao Qiao and Sayad Baronyan
City University of Hong Kong (CityU), City University of Hong Kong (CityU), City University of Hong Kong (CityU) and Informa Financial Intelligence, EPFR
Downloads 495 (117,903)

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Common shocks, fire sales, granularity, herding, institutional investors, price impact

13.

Currency Return Dynamics: What Is the Role of U.S. Macroeconomic Regimes? 

Number of pages: 62 Posted: 12 Jul 2024 Last Revised: 14 Jan 2025
Guanhao Feng, Jingyu He, Junye Li, Lucio Sarno and Qianshu Zhang
City University of Hong Kong (CityU), City University of Hong Kong (CityU), Fudan University - School of Management, University of Cambridge - Judge Business School and City University of Hong Kong (CityU)
Downloads 452 (131,497)

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Business Cycles, Currency Returns, Panel Tree, Regime Shifts, Risk Premia

14.

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
INSEAD and City University of Hong Kong (CityU)
Downloads 412 (146,629)

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

15.

Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing

Downloads 323 (191,687)

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 309 (199,365)

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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 14 (1,167,118)
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16.

Anomaly or Risk Factor? A Stepwise Evaluation

Number of pages: 54 Posted: 20 Jul 2023 Last Revised: 20 Sep 2024
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 Southwestern University of Finance and Economics (SWUFE)
Downloads 254 (245,875)

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asset pricing test, factor efficiency, stepwise selection, model comparison, Sharpe ratio

17.

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
University of Science and Technology of China (USTC), City University of Hong Kong (CityU), Dept. of Economics and Finance, City Univ. of HK and The State University of New York (SUNY) at Buffalo - School of Management
Downloads 231 (269,915)

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

18.

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 217 (286,486)

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

19.

Taming the Factor Zoo: A Test of New Factors

Downloads 195 (316,549)
Citation 212

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 193 (318,606)
Citation 6

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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 2 (1,313,342)
Citation 206
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Elastic Net, Factors, Lasso, Machine Learning, PCA, Post-Selection Inference, Regularized Two-Pass Estimation, Stochastic discount factor, variable selection

20.

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 175 (348,997)
Citation 1

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

21.

Can news predict firm bankruptcy? 

Number of pages: 44 Posted: 13 Dec 2024
Siyu Bie, Guanhao Feng, Naixin GUO and Jingyu He
City University of Hong Kong (CityU), City University of Hong Kong (CityU), City University of Hong Kong (CityU) and City University of Hong Kong (CityU)
Downloads 133 (437,939)

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Bankruptcy, ChatGPT, Generative AI, News Data, Sentiment JEL Classification: C53, G11, G17, G33

22.

Can News Predict Firm Bankruptcy?

Number of pages: 45 Posted: 14 Dec 2024
Siyu Bie, Guanhao Feng, naixin guo and Jingyu He
City University of Hong Kong (CityU), City University of Hong Kong (CityU), affiliation not provided to SSRN and City University of Hong Kong (CityU)
Downloads 11 (1,165,506)

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Bankruptcy, ChatGPT, Generative AI, News Data, Sentiment