James Tengyu Guo

London School of Economics & Political Science, Department of Finance

Ph.D. Candidate in Finance, Graduate Teaching Assistant

London

Great Britain

SCHOLARLY PAPERS

4

DOWNLOADS

193

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Decomposing Momentum Spread

Number of pages: 42 Posted: 14 Jun 2019 Last Revised: 16 Sep 2019
James Tengyu Guo
London School of Economics & Political Science, Department of Finance
Downloads 134 (214,196)

Abstract:

Loading...

Momentum, Return Spread, Underreaction and Overreaction, Destabilizing Mechanism of Excessive Arbitrage

2.

Anomaly Investing: Out-of-Sample Performance and Intertemporal Considerations

Number of pages: 37 Posted: 05 Aug 2019
James Tengyu Guo
London School of Economics & Political Science, Department of Finance
Downloads 36 (440,772)

Abstract:

Loading...

Portfolio Strategy, Diversification, Machine Learning, Hedging Demand of Sophisticated Investors

3.

CoAnomaly: Correlation Risk in Stock Market Anomalies

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 58 Posted: 27 Jan 2018 Last Revised: 06 Aug 2019
James Tengyu Guo
London School of Economics & Political Science, Department of Finance
Downloads 21 (516,292)

Abstract:

Loading...

Stock Market Anomalies, Time-Varying Correlation Risk, Hedging Demand of Sophisticated Investors.

4.

A Dynamic Model of Endogenous Bank Capital Buffer

Number of pages: 41 Posted: 26 Aug 2019
James Tengyu Guo
London School of Economics & Political Science, Department of Finance
Downloads 2 (639,931)

Abstract:

Loading...

Banking Regulation, Basel Capital Requirements, Capital Market Frictions, Credit Rationing, Loan Defaults, Relationship Banking