Citations

BibTeX entries for my papers. Click Copy to take an entry.

Publications

@article{feng2026deep,
  author  = {Feng, Guanhao and Jiang, Liang and Li, Junye and Song, Yizhi and Wang, Yuanzhi},
  title   = {{Deep Tangency Portfolio}},
  journal = {Management Science},
  year    = {2026},
  note    = {Forthcoming},
  url     = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3971274}
}

@article{feng2026selecting,
  author  = {Feng, Guanhao and Lan, Wei and Wang, Hansheng and Zhang, Jun},
  title   = {{Selecting and Testing Asset Pricing Models: A Stepwise Approach}},
  journal = {Management Science},
  year    = {2026},
  pages   = {mnsc.2024.07804},
  note    = {Forthcoming},
  doi     = {10.1287/mnsc.2024.07804}
}

@article{bie2026news,
  author  = {Bie, Siyu and Feng, Guanhao and Guo, Naixin and He, Jingyu},
  title   = {{Can news predict firm bankruptcy?}},
  journal = {Journal of Financial Markets},
  year    = {2026},
  volume  = {79},
  pages   = {101002},
  doi     = {10.1016/j.finmar.2025.101002}
}

@article{cong2025growing,
  author  = {Cong, Lin William and Feng, Guanhao and He, Jingyu and He, Xin},
  title   = {{Growing the Efficient Frontier on Panel Trees}},
  journal = {Journal of Financial Economics},
  year    = {2025},
  volume  = {167},
  pages   = {104024},
  doi     = {10.1016/j.jfineco.2025.104024}
}

@article{fan2025institutional,
  author  = {Fan, Yinghua and Feng, Guanhao and Qiao, Xiao and Baronyan, Sayad},
  title   = {{Institutional Granular Impact is Benign on Asset Sales and Price Efficiency}},
  journal = {Journal of Financial Markets},
  year    = {2025},
  volume  = {75},
  pages   = {100987},
  doi     = {10.1016/j.finmar.2025.100987}
}

@article{feng2025predicting,
  author  = {Feng, Guanhao and He, Xin and Wang, Yanchu and Wu, Chunchi},
  title   = {{Predicting Individual Corporate Bond Returns}},
  journal = {Journal of Banking \& Finance},
  year    = {2025},
  volume  = {171},
  pages   = {107372},
  doi     = {10.1016/j.jbankfin.2024.107372}
}

@article{feng2024deep,
  author  = {Feng, Guanhao and He, Jingyu and Polson, Nicholas G. and Xu, Jianeng},
  title   = {{Deep Learning in Characteristics-Sorted Factor Models}},
  journal = {Journal of Financial and Quantitative Analysis},
  year    = {2024},
  volume  = {59},
  number  = {7},
  pages   = {3001--3036},
  doi     = {10.1017/S0022109023000893}
}

@article{doh2024renegotiable,
  author  = {Doh, Hyun Soo and Feng, Guanhao},
  title   = {{Renegotiable Debt, Liquidity Injections, and Financial Instability}},
  journal = {Journal of Derivatives and Quantitative Studies},
  year    = {2024},
  volume  = {32},
  number  = {3},
  pages   = {182--199},
  doi     = {10.1108/JDQS-01-2024-0003}
}

@article{feng2020taming,
  author  = {Feng, Guanhao and Giglio, Stefano and Xiu, Dacheng},
  title   = {{Taming the Factor Zoo: A Test of New Factors}},
  journal = {Journal of Finance},
  year    = {2020},
  volume  = {75},
  number  = {3},
  pages   = {1327--1370},
  doi     = {10.1111/jofi.12883}
}

@article{fan2026real,
  author  = {Fan, Yinghua and Feng, Guanhao and Fulop, Andras and Li, Junye},
  title   = {{Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach}},
  journal = {Journal of Financial Econometrics},
  year    = {2026},
  note    = {Forthcoming},
  url     = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3517081}
}

@article{zhang2026testing,
  author  = {Zhang, Jun and Pu, Dan and Lan, Wei and Feng, Guanhao},
  title   = {{Testing Alphas in Linear Factor Models: A Portfolio Approach}},
  journal = {Journal of Business \& Economic Statistics},
  year    = {2026},
  pages   = {1--30},
  note    = {Forthcoming},
  doi     = {10.1080/07350015.2026.2734092}
}

@article{zhang2026testing,
  author  = {Zhang, Jun and Lan, Wei and Feng, Long and Feng, Guanhao},
  title   = {{Testing Asset Pricing Factor Models: An Out-of-Sample Perspective}},
  journal = {Journal of Econometrics},
  year    = {2026},
  volume  = {258},
  pages   = {106335},
  doi     = {10.1016/j.jeconom.2026.106335}
}

@article{cui2026heterogeneous,
  author  = {Cui, Liyuan and Feng, Guanhao and Yang, Jiangshan},
  title   = {{Heterogeneous Predictability on Mutual Fund Alphas: A Sparse Clustering GMM Approach}},
  journal = {Journal of Econometrics},
  year    = {2026},
  volume  = {257},
  pages   = {106300},
  doi     = {10.1016/j.jeconom.2026.106300}
}

@article{cui2024regularized,
  author  = {Cui, Liyuan and Feng, Guanhao and Hong, Yongmiao},
  title   = {{Regularized GMM for Time-Varying Models with Applications to Asset Pricing}},
  journal = {International Economic Review},
  year    = {2024},
  volume  = {65},
  number  = {2},
  pages   = {851--883},
  doi     = {10.1111/iere.12678}
}

@article{feng2022factor,
  author  = {Feng, Guanhao and He, Jingyu},
  title   = {{Factor Investing: A Bayesian Hierarchical Approach}},
  journal = {Journal of Econometrics},
  year    = {2022},
  volume  = {230},
  number  = {1},
  pages   = {183--200},
  doi     = {10.1016/j.jeconom.2021.11.001}
}

@article{feng2020regularizing,
  author  = {Feng, Guanhao and Polson, Nicholas},
  title   = {{Regularizing Bayesian Predictive Regressions}},
  journal = {Journal of Asset Management},
  year    = {2020},
  volume  = {21},
  number  = {7},
  pages   = {591--608},
  doi     = {10.1057/s41260-020-00186-x}
}

@article{charoenwong2017does,
  author  = {Charoenwong, Ben and Feng, Guanhao},
  title   = {{Does higher-frequency data always help to predict longer-horizon volatility?}},
  journal = {Journal of Risk},
  year    = {2017},
  note    = {Forthcoming},
  doi     = {10.21314/JOR.2017.360}
}

@article{feng2017market,
  author  = {Feng, Guanhao and Polson, Nicholas and Xu, Jianeng},
  title   = {{The Market for English Premier League (EPL) Odds}},
  journal = {Journal of Quantitative Analysis in Sports},
  year    = {2017},
  volume  = {12},
  number  = {4},
  doi     = {10.1515/jqas-2016-0039}
}

Working Papers

@unpublished{feng2026forecasting,
  author = {Feng, Guanhao and He, Jingyu and Schwarzenbrunner, Gregor and Wang, Yuanzhi},
  title  = {{Forecasting Corporate-Bond Liquidity: The Value of Segmentation}},
  year   = {2026},
  note   = {Working paper},
  url    = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7393179}
}

@unpublished{feng2026priced,
  author = {Feng, Guanhao and He, Jingyu and Liu, Yunting and Wang, Yirou},
  title  = {{Priced Between Announcements: News Categories and Treasury Yields}},
  year   = {2026},
  note   = {Working paper},
  url    = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7477639}
}

@unpublished{feng2026active,
  author = {Feng, Guanhao and He, Jingyu and Wang, Yirou and Xiao, Shuhua},
  title  = {{Active Mutual Fund Co-Holdings and the Buy-Side Peer Network}},
  year   = {2026},
  note   = {Working paper},
  url    = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7000179}
}

@unpublished{fan2026inelastic,
  author = {Fan, Yinghua and Feng, Guanhao and Huang, Dashan and Qiao, Xiao},
  title  = {{Inelastic Integration: The Price of Market Access}},
  year   = {2026},
  note   = {Working paper},
  url    = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7011858}
}

@unpublished{bie2026news,
  author = {Bie, Siyu and Feng, Guanhao and Guo, Naixin and He, Jingyu},
  title  = {{One News, Two Markets: LLM-Derived Sentiment and Trading Volume}},
  year   = {2026},
  note   = {Working paper},
  url    = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5994158}
}

@unpublished{fan2025modeling,
  author = {Fan, Yinghua and Feng, Guanhao and Huang, Dashan},
  title  = {{Modeling Institutional Investors in China}},
  year   = {2026},
  note   = {Working paper},
  url    = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5821662}
}

@unpublished{chib2025beyond,
  author = {Chib, Siddhartha and Feng, Guanhao and He, Jingyu and Zhang, Qianshu},
  title  = {{Beyond Beta Pricing: Stochastic Discount Factor Selection from Euler-Restricted Traded--Nontraded Factor-Return Models}},
  year   = {2026},
  note   = {Working paper},
  url    = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5290174}
}

@unpublished{cong2026mosaics,
  author = {Cong, Lin William and Feng, Guanhao and He, Jingyu and Wang, Yuanzhi},
  title  = {{Mosaics of Predictability}},
  year   = {2026},
  note   = {Working paper},
  url    = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6705515}
}

@unpublished{cui2025breaks,
  author = {Cui, Liyuan and Feng, Guanhao and Ma, Jianxin and Su, Yinan},
  title  = {{Breaks and Trends in Factor Premia}},
  year   = {2026},
  note   = {Working paper},
  url    = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5330449}
}

@unpublished{cong2022asset,
  author = {Cong, Lin William and Feng, Guanhao and He, Jingyu and Li, Junye and Zhang, Qianshu},
  title  = {{Asset Heterogeneity and Uncommon Factors}},
  year   = {2026},
  note   = {Working paper},
  url    = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4219905}
}

@unpublished{feng2024currency,
  author = {Feng, Guanhao and He, Jingyu and Li, Junye and Sarno, Lucio and Zhang, Qianshu},
  title  = {{Currency Return Dynamics: What Is the Role of U.S. Macroeconomic Regimes?}},
  year   = {2026},
  note   = {Working paper},
  url    = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4888163}
}

@unpublished{cui2023asset,
  author = {Cui, Liyuan and Feng, Guanhao and Hong, Yongmiao and Yang, Jiangshan},
  title  = {{Do asset pricing models change over time?}},
  year   = {2026},
  note   = {Working paper},
  url    = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4431543}
}

@unpublished{avramov2025schrodingers,
  author = {Avramov, Doron and Feng, Guanhao and He, Jingyu and Xiao, Shuhua},
  title  = {{Schr{\"o}dinger's Sparsity in the Cross Section of Stock Returns}},
  year   = {2025},
  note   = {Working paper},
  url    = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5370960}
}

@unpublished{feng2025growing,
  author = {Feng, Guanhao and He, Jingyu and Ma, Jianxin and Robotti, Cesare},
  title  = {{Growing Mimicking Portfolios: Estimating Nontraded Factor Risk Premia}},
  year   = {2025},
  note   = {Working paper},
  url    = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5758302}
}

@unpublished{cui2025estimation,
  author = {Cui, Liyuan and Feng, Guanhao and Han, Yuefeng and Li, Jiayan},
  title  = {{Estimation of Coupled Vector-Tensor Group Factor Model}},
  year   = {2026},
  note   = {Working paper},
  url    = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5984015}
}

@unpublished{zhang2026hierarchical,
  author = {Zhang, Jun and Wu, Yongqiang and Pu, Dan and Lan, Wei and Feng, Guanhao},
  title  = {{A Hierarchical Group Factor Model with Observable Global and Local Factors}},
  year   = {2026},
  note   = {Working paper}
}

@unpublished{cong2023sparse,
  author = {Cong, Lin William and Feng, Guanhao and He, Jingyu and Li, Junye},
  title  = {{Sparse Modeling Under Grouped Heterogeneity with Applications to Asset Pricing}},
  year   = {2025},
  note   = {Working paper},
  url    = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4511953}
}