Guanhao (Gavin) Feng 冯冠豪

Publications

( * indicates our supervised PhD student or postdoctoral fellow)

Finance

  1. 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
  2. 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 comparisonObservable factor models
  3. 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
  4. 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
  5. 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 investorsFinancial machine learning
  6. Predicting Individual Corporate Bond Returns# with Xin He*, Yanchu Wang, and Chunchi Wu Journal of Banking & Finance, 2025, 171, 107372.
    Fixed incomeReturn predictabilityFinancial machine learningCredit risk
  7. 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
    Stochastic discount factorLatent factor modelsFinancial machine learningAnomalies
  8. Renegotiable Debt, Liquidity Injections, and Financial Instability# with Hyunsoo Doh Journal of Derivatives and Quantitative Studies, 2024, 32(3), 182-199.
    Fixed incomeCredit risk
  9. 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 zooAsset pricing testsStochastic discount factorSparsityObservable factor models

Econometrics & Statistics

  1. Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach# with Yinghua Fan*, Andras Fulop, and Junye Li Accepted, Journal of Financial Econometrics (2026+).
    Return predictabilitySparsityFinancial machine learningHigh-dimensional inference
  2. 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 inferenceModel comparison
  3. Heterogeneous Predictability on Mutual Fund Alphas: A Sparse Clustering GMM Approach# with Liyuan Cui and Jiangshan Yang* Journal of Econometrics, 2026, 257, 106300.
    Regularized GMMSparsityReturn predictabilityHigh-dimensional inference
  4. 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 breaksObservable factor modelsConditional asset pricingStochastic discount factor
  5. Factor Investing: A Bayesian Hierarchical Approach# with Jingyu He Journal of Econometrics, 2022, 230(1), 183-200.
    Bayesian methodsSparsityMean-variance efficiencyReturn predictability
  6. Regularizing Bayesian Predictive Regressions# with Nicholas Polson Journal of Asset Management, 2020, 21(7), 591-608.
    Bayesian methodsSparsityReturn predictability
  7. Does higher-frequency data always help to predict longer-horizon volatility?# with Ben Charoenwong Journal of Risk, 2017, 19(5), 55-75.
    VolatilityModel comparison
  8. 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

Address: 7-239, Lau Ming Wai Bldg, 83 Tat Chee Ave, Hong Kong