Guanhao Feng

City University of Hong Kong (CityUHK)

Assistant Professor

83 Tat Chee Avenue

Kowloon Tong

Hong Kong

SCHOLARLY PAPERS

8

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Scholarly Papers (8)

1.

Taming the Factor Zoo: A Test of New Factors

Fama-Miller Working Paper, Chicago Booth Research Paper No. 17-04
Number of pages: 74 Posted: 20 Mar 2017 Last Revised: 10 Feb 2019
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 2,672 (4,322)

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 Asset Pricing

Number of pages: 33 Posted: 23 Sep 2018 Last Revised: 09 Feb 2019
Guanhao Feng, Nick Polson and Jianeng Xu
City University of Hong Kong (CityUHK), University of Chicago - Booth School of Business and University of Chicago, Students
Downloads 459 (60,529)

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Alpha, Cross-Sectional Returns, Deep Learning, Firm Characteristics, Machine Learning, Risk Factors, Security Sorting.

3.

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 (CityUHK)
Downloads 257 (116,711)

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

4.

Factor Investing: Hierarchical Ensemble Learning

Number of pages: 29 Posted: 06 Feb 2019
Guanhao Feng and Jingyu He
City University of Hong Kong (CityUHK) and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 185 (160,231)

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Hierarchical Model, Firm Characteristics, Market Timing, Portfolio Efficiency, Return Predictability, Risk Anomalies, Seemingly Unrelated Regressions

5.

Regularizing Bayesian Predictive Regressions

Number of pages: 35 Posted: 17 Aug 2016 Last Revised: 15 Sep 2017
Guanhao Feng and Nick Polson
City University of Hong Kong (CityUHK) and University of Chicago - Booth School of Business
Downloads 72 (318,714)

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

6.

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 (CityUHK), University of Chicago - Booth School of Business, University of Chicago, Students and University of Chicago, Students
Downloads 67 (331,394)

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

7.

Taming the Factor Zoo: A Test of New Factors

NBER Working Paper No. w25481
Number of pages: 45 Posted: 30 Jan 2019
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 8 (583,215)
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8.

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 (CityUHK)

Abstract:

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