Hui Guo

University of Cincinnati - Department of Finance - Real Estate

Professor of Finance

College of Business

418 Carl H. Lindner Hall

Cincinnati, OH 45221

United States

http://homepages.uc.edu/~guohu/

SCHOLARLY PAPERS

43

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Scholarly Papers (43)

1.

Understanding Stock Return Predictability

FRB of St. Louis Working Paper No. 2006-019B
Number of pages: 60 Posted: 15 Apr 2006
Hui Guo and Robert Savickas
University of Cincinnati - Department of Finance - Real Estate and George Washington University - School of Business - Department of Finance
Downloads 1,002 (21,117)

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Stock Return Predictability, Average Idiosyncratic Variance, Stock Market Variance, Discount-Rate Shock, Cash-Flow Shock, CAPM, and ICAPM

2.

Good Jumps, Bad Jumps, and Conditional Equity Premium

Asian Finance Association (AsianFA) 2014 Conference Paper, PBCSF-NIFR Research Paper No. 14-05
Number of pages: 53 Posted: 27 Oct 2014 Last Revised: 18 Feb 2019
Hui Guo, Kent Wang and Hao Zhou
University of Cincinnati - Department of Finance - Real Estate, University of Queensland and Tsinghua University - PBC School of Finance
Downloads 939 (23,207)

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Realized Jump Risk, Good and Bad Jumps, Conditional Equity Premium, Downside Economic Uncertainty, Variance Risk Premium.

3.

Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns

AFA 2005 Philadelphia Meetings
Number of pages: 56 Posted: 08 Mar 2004
Hui Guo and Robert Savickas
University of Cincinnati - Department of Finance - Real Estate and George Washington University - School of Business - Department of Finance
Downloads 900 (24,751)

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Idiosyncratic stock volatility, stock market volatility, consumption-wealth ratio,stock return predictability, out-of-sample forecast, stock market timing strategies, and portfolio choices

4.

On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 50 Posted: 18 Aug 2010 Last Revised: 03 Jun 2014
University of Cincinnati - Department of Finance - Real Estate, Miami University and University of Cincinnati - Department of Finance - Real Estate
Downloads 634 (39,973)

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EGARCH, idiosyncratic volatility, cross-section of stock returns

5.

Relation between Time-Series and Cross-Sectional Effects of Idiosyncratic Variance on Stock Returns

FRB of St. Louis Working Paper No. 2006-036A
Number of pages: 48 Posted: 25 May 2006 Last Revised: 09 Apr 2010
Hui Guo and Robert Savickas
University of Cincinnati - Department of Finance - Real Estate and George Washington University - School of Business - Department of Finance
Downloads 595 (43,531)

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Stock return predictability, Average idiosyncratic variance, Stock market variance, Cross-section of stock returns, Value premium, CAPM

6.

Market Timing with Aggregate and Idiosyncratic Stock Volatilities

FRB St. Louis Working Paper No. 2005-073A
Number of pages: 22 Posted: 14 Dec 2005
Hui Guo and Jason Higbee
University of Cincinnati - Department of Finance - Real Estate and Federal Reserve Bank of St. Louis - Research Division
Downloads 589 (44,139)

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Stock return predictability, Market timing, Stock market volatility, Idiosyncratic volatility

7.

Equity Market Volatility and Expected Risk Premium

Federal Reserve Bank St. Louis Working Paper No. 2006-007
Number of pages: 40 Posted: 31 Jan 2006
Cheung Kong Graduate School of Business, University of Cincinnati - Department of Finance - Real Estate and Ohio State University - Fisher College of Business
Downloads 481 (57,092)

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Expected return, equity market volatility, systematic risk, yield spreads

8.
Downloads 468 ( 59,080)

Options-Implied Variance and Future Stock Returns

Journal of Banking and Finance, Volume 44, July 2014, Pages 93-113.
Number of pages: 77 Posted: 20 Aug 2011 Last Revised: 17 May 2014
Hui Guo and Buhui Qiu
University of Cincinnati - Department of Finance - Real Estate and University of Sydney Business School
Downloads 307 (96,085)

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stock return predictability, implied variance, realized variance, CAPM, and ICAPM

Options-Implied Variance and Future Stock Returns

Number of pages: 77 Posted: 21 Mar 2011 Last Revised: 17 May 2014
Hui Guo and Buhui Qiu
University of Cincinnati - Department of Finance - Real Estate and University of Sydney Business School
Downloads 161 (181,257)

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stock return predictability, implied variance, realized variance, CAPM and ICAPM

9.

On the Out-of-Sample Predictability of Stock Market Returns

Number of pages: 51 Posted: 25 Jun 2002
Hui Guo
University of Cincinnati - Department of Finance - Real Estate
Downloads 452 (61,662)

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Stock Return Predictability, Portfolio Choice

10.

Understanding the Risk-Return Tradeoff in the Stock Market

Number of pages: 51 Posted: 19 Dec 2001
Hui Guo
University of Cincinnati - Department of Finance - Real Estate
Downloads 415 (68,336)

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Risk-Return Tradeoff, Hedge Component of Excess Returns

11.

Foreign Exchange Rates Don't Follow a Random Walk

Number of pages: 48 Posted: 17 Mar 2005
Hui Guo and Robert Savickas
University of Cincinnati - Department of Finance - Real Estate and George Washington University - School of Business - Department of Finance
Downloads 398 (71,885)

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Exchange rate predictability, average idiosyncratic volatility, monetary model

12.

Is Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence

FRB of St. Louis Working Paper No. 2005-026B
Number of pages: 65 Posted: 17 Mar 2005
University of Cincinnati - Department of Finance - Real Estate, Texas A&M University, George Washington University - School of Business - Department of Finance and University of Colorado at Denver - Business School
Downloads 378 (76,291)

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CAPM, ICAPM, Fama and French Three Factors, Stock Market Return Predictability, Realized Volatility, and GARCH, Value Premium

Average Idiosyncratic Volatility in G7 Countries

FRB of St. Louis Working Paper No. 2004-027C
Number of pages: 62 Posted: 08 Nov 2004
Hui Guo and Robert Savickas
University of Cincinnati - Department of Finance - Real Estate and George Washington University - School of Business - Department of Finance
Downloads 366 (78,604)

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Idiosyncratic Volatility, Stock Market Volatility, Value Premium, Stock Return Predictability, ICAPM, Unit Root, Deterministic Trend, Granger Causality

Average Idiosyncratic Volatility in G7 Countries

The Review of Financial Studies, Vol. 21, Issue 3, pp. 1259-1296, 2008
Posted: 02 Jul 2008
Hui Guo and Robert Savickas
University of Cincinnati - Department of Finance - Real Estate and George Washington University - School of Business - Department of Finance

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G1

14.

IPO First-Day Return and Ex Ante Equity Premium

Number of pages: 49 Posted: 21 Mar 2008
Hui Guo
University of Cincinnati - Department of Finance - Real Estate
Downloads 352 (82,901)

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IPO, Equity Premium, Stock Return Predictability, Risk-Return Relation

15.

A Simple Model that Helps Explaining the Accruals Anomaly

Number of pages: 53 Posted: 04 Feb 2015 Last Revised: 11 May 2018
Hui Guo and Paulo F. Maio
University of Cincinnati - Department of Finance - Real Estate and Hanken School of Economics - Department of Finance and Statistics
Downloads 336 (87,456)

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Accruals anomaly; Asset pricing; Cross-section of stock returns; Term spread; Value spread; Intertemporal CAPM; Linear multifactor models; Predictability of stock returns; Fama-French factors; Investment and profitability factors

16.

Market Illiquidity and Conditional Equity Premium

Number of pages: 44 Posted: 24 Jan 2010 Last Revised: 09 Oct 2016
University of Cincinnati - Department of Finance - Real Estate, University of Alabama - Culverhouse College of Commerce & Business Administration, George Washington University - School of Business - Department of Finance and University of Memphis - Fogelman College of Business and Economics
Downloads 288 (103,515)

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liquidity, stock return predictability, conditional equity premium

17.

Limited Stock Market Participation and Asset Prices in a Dynamic Economy

EFMA 2003 Helsinki Meetings
Number of pages: 55 Posted: 12 Jun 2003
Hui Guo
University of Cincinnati - Department of Finance - Real Estate
Downloads 285 (104,661)

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limited stock market participation, borrowing constraints, uninsurable income risk, equity premium puzzle, excess volatility, stock return predictability, risk-return tradeoff in stock market, leverage effect, volatility feedback effect.

18.

Time-Varying Risk Premia and the Cross Section of Stock Returns

Number of pages: 66 Posted: 13 Aug 2002
Hui Guo
University of Cincinnati - Department of Finance - Real Estate
Downloads 285 (104,661)

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Stock Return Predictability, Time-varying Investment Opportunities, Asset Pricing, and Cross Section of Stock Returns

19.

Informed Trading, Earnings Surprises, and Stock Returns

2010 CRSP Forum
Number of pages: 72 Posted: 08 Nov 2009 Last Revised: 15 Mar 2012
Hui Guo and Buhui Qiu
University of Cincinnati - Department of Finance - Real Estate and University of Sydney Business School
Downloads 254 (118,158)

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Conditional Equity Premium and Aggregate Investment: Is the Stock Market a Sideshow?

8th Conference on Financial Markets and Corporate Governance (FMCG) 2017
Number of pages: 62 Posted: 21 Aug 2016 Last Revised: 02 May 2017
Hui Guo and Buhui Qiu
University of Cincinnati - Department of Finance - Real Estate and University of Sydney Business School
Downloads 166 (176,592)

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Investment-Based Asset Pricing Model, Aggregate Corporate Investment, Tobin’s q, Conditional Equity Premium, Market Variance, Aggregate Idiosyncratic Variance, Investor Sentiment

Conditional Equity Premium and Aggregate Investment: Is the Stock Market a Sideshow?

Number of pages: 62 Posted: 27 Mar 2017 Last Revised: 02 May 2017
Hui Guo and Buhui Qiu
University of Cincinnati - Department of Finance - Real Estate and University of Sydney Business School
Downloads 76 (312,212)

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Investment-Based Asset Pricing Model, Aggregate Corporate Investment, Tobin’s q, Conditional Equity Premium, Market Variance, Aggregate Idiosyncratic Variance, Investor Sentiment

21.
Downloads 242 (124,086)

Uncovering the Risk Return Relation in the Stock Market

NYU Working Paper No. SC-AM-03-06
Number of pages: 42 Posted: 04 Nov 2008
Hui Guo and Robert Whitelaw
University of Cincinnati - Department of Finance - Real Estate and New York University
Downloads 112 (242,159)

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Uncovering the Risk-Return Relation in the Stock Market

NYU Working Paper No. FIN-03-021
Number of pages: 43 Posted: 11 Nov 2008
Hui Guo and Robert Whitelaw
University of Cincinnati - Department of Finance - Real Estate and New York University
Downloads 53 (377,765)

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Uncovering the Risk-Return Relation in the Stock Market

NYU Working Paper No. S-MF-03-11
Number of pages: 42 Posted: 12 Nov 2008
Hui Guo and Robert Whitelaw
University of Cincinnati - Department of Finance - Real Estate and New York University
Downloads 39 (429,765)

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Uncovering the Risk-Return Relation in the Stock Market

NBER Working Paper No. w9927
Number of pages: 42 Posted: 25 Aug 2003 Last Revised: 04 Nov 2010
Hui Guo and Robert Whitelaw
University of Cincinnati - Department of Finance - Real Estate and New York University
Downloads 38 (434,140)

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22.

Stock Prices, Firm Size, and Changes in the Federal Funds Rate Target

FRB St. Louis Working Paper No. 2002-004A
Number of pages: 30 Posted: 20 Feb 2002
Hui Guo
University of Cincinnati - Department of Finance - Real Estate
Downloads 239 (125,673)

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monetary transmission, credit market imperfection, changes in federal funds rate target

23.

Time-Varying Beta and the Value Premium: A Single-Index Varying-Coefficient Model Approach

Number of pages: 48 Posted: 06 Mar 2015
Hui Guo, Chaojiang Wu and Yan Yu
University of Cincinnati - Department of Finance - Real Estate, Drexel University and University of Cincinnati - Department of Business Analytics
Downloads 221 (135,747)

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Conditional CAPM, Penalized Splines, Single-Index Models, Value Premium, Variable Selection

24.

A Novel Measure of Conditional Value Premium

Number of pages: 57 Posted: 19 Aug 2010 Last Revised: 31 Jul 2015
Qing Bai and Hui Guo
Dickinson College and University of Cincinnati - Department of Finance - Real Estate
Downloads 219 (136,950)

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Value premium, stock split, present-value relation, and stock return predictability

25.

On the Cross Section of Conditionally Expected Stock Returns

Number of pages: 44 Posted: 08 Mar 2004
Hui Guo and Robert Savickas
University of Cincinnati - Department of Finance - Real Estate and George Washington University - School of Business - Department of Finance
Downloads 213 (140,636)

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Stock Return Predictability, Cross Section of Stock Returns, Size Premium, Value Premium, and Momentum Profit

26.

Is Foreign Exchange Delta Hedging Risk Priced?

FRB of St. Louis Working Paper No. 2004-029A
Number of pages: 47 Posted: 13 Jan 2005
Hui Guo and Christopher J. Neely
University of Cincinnati - Department of Finance - Real Estate and Federal Reserve Bank of St. Louis - Research Division
Downloads 210 (142,574)

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Exchange rate, option, implied volatility, realized volatility, asset pricing

27.

Accruals and Conditional Equity Premium*

AAA 2009 Financial Accounting and Reporting Section (FARS) Paper
Number of pages: 56 Posted: 13 Sep 2008 Last Revised: 26 Jan 2010
Hui Guo and Xiaowen Jiang
University of Cincinnati - Department of Finance - Real Estate and Western Connecticut State University - Ancell School of Business
Downloads 198 (150,542)

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Accruals, Conditional equity premium, Asset pricing

28.

A Better Measure of Institutional Informed Trading

Contemporary Accounting Research, Forthcoming
Number of pages: 57 Posted: 14 Dec 2012 Last Revised: 18 Jul 2014
Hui Guo and Buhui Qiu
University of Cincinnati - Department of Finance - Real Estate and University of Sydney Business School
Downloads 194 (153,546)

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PC_NII, Informed Trading, Earnings Surprises, Stock Returns

29.

Time-Varying Risk-Return Tradeoff in the Stock Market

Forthcoming at JMCB
Number of pages: 45 Posted: 08 Aug 2006 Last Revised: 29 Oct 2012
Hui Guo, Zijun Wang and Jian Yang
University of Cincinnati - Department of Finance - Real Estate, Texas A&M University and University of Colorado at Denver - Business School
Downloads 183 (161,819)

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Habit Formation, Time-Varying Risk Aversion, Countercyclical Sharpe Ratio, Limited Stock Market Participation, Illiquidity Premium, ICAPM, Conditional CAPM, Nonparametric and Semiparametric Models

30.

Is Foreign Exchange Volatility Risk Priced?

FRB of St. Louis Working Paper No. 2004-029C
Number of pages: 42 Posted: 27 May 2006
University of Cincinnati - Department of Finance - Real Estate, Federal Reserve Bank of St. Louis - Research Division and Federal Reserve Bank of St. Louis - Research Division
Downloads 175 (168,484)

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exchange rate, option, implied volatility, realized volatility, asset pricing

31.

Investigating the Intertemporal Risk-Return Relation in International Stock Markets with the Component GARCH Model

Federal Reserve Bank St. Louis Working Paper No. 2006-006
Number of pages: 24 Posted: 31 Jan 2006
Hui Guo and Christopher J. Neely
University of Cincinnati - Department of Finance - Real Estate and Federal Reserve Bank of St. Louis - Research Division
Downloads 170 (172,849)

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GARCH-in-mean, Component GARCH, Risk-return relation, International stock market returns

32.

Idiosyncratic Volatility, Economic Fundamentals, and Foreign Exchange Rates

FRB of St. Louis Working Paper No. 2005-025B
Number of pages: 53 Posted: 17 May 2006
Hui Guo and Robert Savickas
University of Cincinnati - Department of Finance - Real Estate and George Washington University - School of Business - Department of Finance
Downloads 165 (177,332)

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exchange rate predictability, average idiosyncratic volatility, monetary model, bootstrap, data mining

33.

Foreign Exchange Volatility is Priced in Equities

FRB of St. Louis Working Paper No. 2004-029E
Number of pages: 39 Posted: 24 Jul 2006
University of Cincinnati - Department of Finance - Real Estate, Federal Reserve Bank of St. Louis - Research Division and Federal Reserve Bank of St. Louis - Research Division
Downloads 134 (210,458)

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exchange rate, option, implied volatility, realized volatility, asset pricing

34.

Is the Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 51 Posted: 24 Oct 2006
University of Cincinnati - Department of Finance - Real Estate, Texas A&M University, George Washington University - School of Business - Department of Finance and University of Colorado at Denver - Business School
Downloads 129 (216,952)

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ICAPM, value premium, stock return predictability, realized variance, and GARCH

35.
Downloads 123 (224,838)

Risk and Return: Some New Evidence

NYU Working Paper No. S-AM-00-05
Number of pages: 43 Posted: 13 Nov 2008
Hui Guo and Robert Whitelaw
University of Cincinnati - Department of Finance - Real Estate and New York University
Downloads 59 (358,415)

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Risk and Return: Some New Evidence.

NYU Working Paper No. FIN-00-020
Number of pages: 43 Posted: 04 Nov 2008
Hui Guo and Robert Whitelaw
University of Cincinnati - Department of Finance - Real Estate and New York University
Downloads 34 (451,597)

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Risk and Return: Some New Evidence

NYU Working Paper No. S-MF-00-08
Number of pages: 43 Posted: 12 Nov 2008
Hui Guo and Robert Whitelaw
University of Cincinnati - Department of Finance - Real Estate and New York University
Downloads 30 (470,969)

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36.

International Transmission of Inflation Among G-7 Countries: A Data-Determined VAR Analysis

Journal of Banking and Finance, Forthcoming
Number of pages: 37 Posted: 29 Jul 2005
Jian Yang, Hui Guo and Zijun Wang
University of Colorado at Denver - Business School, University of Cincinnati - Department of Finance - Real Estate and Texas A&M University
Downloads 116 (234,983)

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Inflation transmission, directed acyclic graphs, forecast error variance decomposition, recursive estimation, impulse responses

37.

Accruals and Conditional Equity Premium

Journal of Accounting Research, Forthcoming
Number of pages: 45 Posted: 24 Jan 2010 Last Revised: 19 Oct 2010
Hui Guo and Xiaowen Jiang
University of Cincinnati - Department of Finance - Real Estate and Western Connecticut State University - Ancell School of Business
Downloads 112 (240,887)

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Accruals, Earnings, Stock Return Predictability, Market Efficiency

38.

Aggregate Distress Risk and Equity Returns

Number of pages: 44 Posted: 01 Aug 2015
Hui Guo and Xiaowen Jiang
University of Cincinnati - Department of Finance - Real Estate and Western Connecticut State University - Ancell School of Business
Downloads 107 (248,870)

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financial distress risk; default probability; conditional equity premium; stock market return predictability; idiosyncratic risk; and financial leverage

39.

On the Risk-Return Relation in International Stock Markets, Forthcoming

FRB of St. Louis Working Paper No. 2003-012C
Number of pages: 34 Posted: 23 May 2006
Hui Guo
University of Cincinnati - Department of Finance - Real Estate
Downloads 81 (297,689)

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Capital market integration, stock return predictability, out-of-sample forecasts

40.

On the Stock Market Variance-Return or Price Relations: A Tale Of Two Variances

Number of pages: 80 Posted: 26 Mar 2018 Last Revised: 08 Feb 2019
Hui Guo, Qian Lin and Yu-Jou Pai
University of Cincinnati - Department of Finance - Real Estate, Wuhan University - School of Economics and Management and University of Cincinnati Department of Finance
Downloads 74 (313,888)

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Stock Market Variance, Good Variance, Bad Variance, Conditional Equity Premium, Stock Market Return Predicability, and Anomalies

41.

Uncovering China's Stock Market Risk Return Relation: Crazy Casino Punters or Risk Averse Investors?

Number of pages: 60 Posted: 12 Sep 2018
Hang Cheng, Hui Guo and Yongdong Shi
Research Center of Applied Finance, University of Cincinnati - Department of Finance - Real Estate and Dongbei University of Finance and Economics (DUFE)
Downloads 65 (336,686)

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China's stock market; Risk-Return Tradeoff; Time-Varying Equity Premium; Time-Varying Stock Market Variance; Limited Stock Market Participation; A Shares; B Shares; H Shares

The Risk-Return Relation in International Stock Markets

The Financial Review, Vol. 41, No. 4, pp. 565-587, November 2006
Number of pages: 23 Posted: 20 Nov 2006
Hui Guo
University of Cincinnati - Department of Finance - Real Estate
Downloads 26 (492,810)
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The Risk-Return Relation in International Stock Markets

Financial Review, Vol. 41, No. 4, November 2006
Posted: 16 Aug 2006
Hui Guo
University of Cincinnati - Department of Finance - Real Estate

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capital market integration, stock return predictability, out-of-sample forecasts

43.

Data Revisions and Out-of-Sample Stock Return Predictability

Economic Inquiry, Vol. 47, Issue 1, pp. 81-97, January 2009
Number of pages: 17 Posted: 26 Jan 2009
Hui Guo
University of Cincinnati - Department of Finance - Real Estate
Downloads 3 (616,585)
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