Guanhao (Gavin) Feng 冯冠豪

Working Papers

( * indicates our supervised PhD student or postdoctoral fellow)

Finance

  1. Modeling Institutional Investors in China#BibTeX with Yinghua Fan* and Dashan Huang First version: Sep. 2023; current version: Sep. 2026
    China stock marketInstitutional investorsFinancial machine learning
  2. One News, Two Markets: LLM-Derived Sentiment and Trading Volume#BibTeX with Siyu Bie*, Naixin Guo*, and Jingyu He First version: Dec. 2025; current version: Sep. 2026
    LLM in FinanceFinancial machine learningFixed income
  3. Beyond Beta Pricing: Stochastic Discount Factor Selection from Euler-Restricted Traded–Nontraded Factor-Return Models#BibTeX with Siddhartha Chib, Jingyu He, and Qianshu Zhang* First version: May 2025; current version: Sep. 2026 Major Revision, Management Science
    Stochastic discount factorFactor zooBayesian methodsObservable factor modelsAsset pricing tests
  4. Schrödinger’s Sparsity in the Cross Section of Stock Returns#BibTeX with Doron Avramov, Jingyu He, and Shuhua Xiao* First version: Jan. 2025; current version: Sep. 2026
    Factor zooConditional asset pricingLatent factor modelsSparsity
  5. Growing Mimicking Portfolios: Estimating Nontraded Factor Risk Premia#BibTeX with Jingyu He, Jianxin Ma*, and Cesare Robotti First version: Nov. 2025; current version: Aug. 2026 Revised & Resubmit, Review of Asset Pricing Studies
    Risk premiaStochastic discount factorLatent factor modelsPanel treeFinancial machine learning
  6. Active Mutual Fund Co-Holdings and the Buy-Side Peer Network#BibTeX with Jingyu He, Yirou Wang*, and Shuhua Xiao* First version: Jan. 2025; current version: Jul. 2026
    Return predictabilityInstitutional investorsAnomalies
  7. Inelastic Integration: The Price of Market Access#BibTeX with Yinghua Fan*, Dashan Huang, and Xiao Qiao First version: Apr. 2023; current version: Jul. 2026
    China stock marketInstitutional investorsMean-variance efficiency
  8. Mosaics of Predictability#BibTeX with Will Cong, Jingyu He, and Yuanzhi Wang* First version: Feb. 2024; current version: Apr. 2026
    Return predictabilityConditional asset pricingPanel treeFinancial machine learning
  9. Asset Heterogeneity and Uncommon Factors#BibTeX with Will Cong, Jingyu He, Junye Li, and Qianshu Zhang* First version: Sep. 2022; current version: Apr. 2026
    AnomaliesRisk premiaStochastic discount factorObservable factor modelsBayesian methods
  10. Currency Return Dynamics: What Is the Role of U.S. Macroeconomic Regimes?#BibTeX with Jingyu He, Junye Li, Lucio Sarno, and Qianshu Zhang* First version: May 2023; current version: Apr. 2026 Revise and Resubmit, Journal of Financial and Quantitative Analysis
    Risk premiaConditional asset pricingStructural breaks
  11. Do asset pricing models change over time?#BibTeX with Liyuan Cui, Yongmiao Hong, and Jiangshan Yang* First version: Apr. 2023; current version: Mar. 2026
    Conditional asset pricingStochastic discount factorStructural breaksObservable factor models

Econometrics & Statistics

  1. Estimation of Coupled Vector-Tensor Group Factor Model#BibTeX with Liyuan Cui, Yuefeng Han, and Jiayan Li* First version: Dec. 2025; current version: May 2026
    High-dimensional inferenceSparsityLatent factor models
  2. A Hierarchical Group Factor Model with Observable Global and Local Factors#BibTeX with Jun Zhang*, Yongqiang Wu, Dan Pu, and Wei Lan Jan. 2026 Reject & Resubmit, Journal of the American Statistical Association
    Observable factor modelsHigh-dimensional inferenceSparsity
  3. Sparse Modeling Under Grouped Heterogeneity with Applications to Asset Pricing#BibTeX with Will Cong, Jingyu He, and Junye Li First version: Sep. 2022; current version: Dec. 2025 Best Paper Award, 2024 China Fintech Research Conference
    SparsityBayesian methodsObservable factor modelsPanel tree

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

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