Jingyu He

City University of Hong Kong (CityU)

Assistant Professor

83 Tat Chee Avenue

Hong Kong

Hong Kong

SCHOLARLY PAPERS

6

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Top 18,114

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5,048

SSRN CITATIONS
Rank 31,706

SSRN RANKINGS

Top 31,706

in Total Papers Citations

25

CROSSREF CITATIONS

7

Scholarly Papers (6)

1.

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
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 2,582 (9,729)
Citation 24

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

2.
Downloads 863 (50,646)
Citation 2

Growing the Efficient Frontier on Panel Trees

Number of pages: 76 Posted: 27 Oct 2021 Last Revised: 30 Nov 2023
Cornell University - Samuel Curtis Johnson Graduate School of Management, City University of Hong Kong (CityU), City University of Hong Kong (CityU) and Hunan University
Downloads 856 (50,472)
Citation 1

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Characteristics, Decision Tree, 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
Cornell University - Samuel Curtis Johnson Graduate School of Management, City University of Hong Kong (CityU), City University of Hong Kong (CityU) and Hunan University
Downloads 7 (1,079,248)
Citation 1
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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 855 (51,396)
Citation 1

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

4.

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
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 438 (119,470)
Citation 1

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

Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing

Number of pages: 48 Posted: 24 Jul 2023 Last Revised: 06 Sep 2023
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 (265,207)

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
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 (1,039,472)
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6.

Regularization and Confounding in Linear Regression for Treatment Effect Estimation

Bayesian Analysis Volume 13, Number 1 (2018), 163-182. https://projecteuclid.org/euclid.ba/1484103680
Number of pages: 20 Posted: 08 Feb 2016 Last Revised: 15 Oct 2018
Arizona State University (ASU) - School of Mathematical and Statistical Sciences, University of Texas at Austin - Red McCombs School of Business, City University of Hong Kong (CityU) and University of Texas at Austin - Red McCombs School of Business
Downloads 96 (482,345)
Citation 7

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linear regression, regularization, treatment effect estimation, shrinkage