Publications

( * indicates our supervised PhD student or postdoctoral fellow)

Finance

Deep Tangency Portfolio with Yizhi Song*, Liang Jiang, Junye Li, and Yuanzhi Wang* Accepted, Management Science (2026+).

Mean-variance efficiencyStochastic discount factorFixed incomeFinancial machine learningLatent factor models
Selecting and Testing Asset Pricing Models: A Stepwise Approach with Wei Lan, Hansheng Wang, and Jun Zhang* Accepted, Management Science (2026+).

Asset pricing testsMean-variance efficiencyFactor zooModel comparisonSparsityObservable factor models
Growing the Efficient Frontier on Panel Trees with Will Cong, Jingyu He, and Xin He* Journal of Financial Economics, 2025, 167, 104024. 2022 INQUIRE Europe Research Grant Award 2024 IQAM Research Prize

Mean-variance efficiencyStochastic discount factorLatent factor modelsPanel treeFinancial machine learning
Deep Learning in Characteristics-Sorted Factor Models with Jingyu He, Nick Polson, and Jianeng Xu Journal of Financial and Quantitative Analysis, 2024, 59(7), 3001-3036. Unigestion Alternative Risk Premia Research Grant Award Second Prize, 2019 Crowell Prize 2019 INQUIRE Europe Research Grant Award Media Coverage: Chicago Booth Review, BNP PARIBAS, PR Newswire

Empirical asset pricingStochastic discount factorLatent factor modelsFinancial machine learningAnomalies
Taming the Factor Zoo: A Test of New Factors with Stefano Giglio and Dacheng Xiu Journal of Finance, 2020, 75(3), 1327-1370. 2018 AQR Insight Award, First Prize PwC 3535 Finance Forum Annual Best Paper Award Media Coverage: Chicago Booth Review, Pensions & Investments, AQR Insight Award, 知乎

Factor zooAnomaliesAsset pricing testsStochastic discount factorSparsityObservable factor models
Can news predict firm bankruptcy? with Siyu Bie*, Naixin Guo*, and Jingyu He Journal of Financial Markets, 2026, 79, 101002.

LLM in FinanceFinancial machine learningReturn predictabilityModel comparison
Institutional Granular Impact is Benign on Asset Sales and Price Efficiency with Yinghua Fan*, Xiao Qiao, and Sayad Baronyan Journal of Financial Markets, 2025, 75, 100987.

Institutional investorsEmpirical asset pricingFinancial machine learning
Predicting Individual Corporate Bond Returns with Xin He*, Yanchu Wang, and Chunchi Wu Journal of Banking & Finance, 2025, 171, 107372.

Fixed incomeReturn predictabilityFinancial machine learning

Econometrics & Statistics

Heterogeneous Predictability on Mutual Fund Alphas: A Sparse Clustering GMM Approach with Liyuan Cui and Jiangshan Yang* Accepted, Journal of Econometrics (2026+).

Regularized GMMSparsityReturn predictability
Testing Alphas in Linear Factor Models: A Portfolio Approach with Jun Zhang*, Dan Pu, and Wei Lan Conditionally Accepted, Journal of Business & Economic Statistics (2026+).

Asset pricing testsObservable factor modelsHigh-dimensional inferenceSparsityModel comparison
Regularized GMM for Time-Varying Models with Applications to Asset Pricing with Liyuan Cui and Yongmiao Hong International Economic Review, 2024, 65(2), 851-883.

Regularized GMMStructural breaksRegime detectionObservable factor modelsConditional asset pricingStochastic discount factor
Factor Investing: A Bayesian Hierarchical Approach with Jingyu He Journal of Econometrics, 2022, 230(1), 183-200.

Bayesian methodsSparsityMean-variance efficiencyReturn predictability
Regularizing Bayesian Predictive Regressions with Nicholas Polson Journal of Asset Management, 2020, 21(7), 591-608.

Bayesian methodsSparsityReturn predictability
Does higher-frequency data always help to predict longer-horizon volatility? with Ben Charoenwong Journal of Risk, 2017, 19(5), 55-75.

VolatilityModel comparison
The Market for English Premier League (EPL) Odds with Nicholas Polson and Jianeng Xu Journal of Quantitative Analysis in Sports, 2017, 12(4), 167-178. Media Coverage: Chicago Booth Review

Email: gavinfeng702@outlook.com / gavin.feng@cityu.edu.hk

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