Guanhao (Gavin) Feng 冯冠豪

Working Papers

( * indicates our supervised PhD student or postdoctoral fellow)

Finance

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

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. Jul. 2026 Minor Revision, Journal of Financial Econometrics
    Fixed incomeReturn predictabilitySparsityRegime detection
  2. Estimation of Coupled Vector-Tensor Group Factor Model with Liyuan Cui, Yuefeng Han, and Jiayan Li*. May 2026
    High-dimensional inferenceSparsityLatent factor models
  3. Testing Asset Pricing Factor Models: An Out-of-Sample Perspective with Jun Zhang*, Wei Lan, and Long Feng. May 2026 Major Revision, Journal of Econometrics
    Asset pricing testsObservable factor modelsHigh-dimensional inferenceSparsity
  4. Sparse Modeling Under Grouped Heterogeneity with Applications to Asset Pricing with Will Cong, Jingyu He, and Junye Li. Dec. 2025 Best Paper Award, 2024 China Fintech Research Conference
    SparsityBayesian methodsObservable factor modelsEmpirical asset pricingPanel tree

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

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