Working Papers
( * indicates our supervised PhD student or postdoctoral fellow)
Finance
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Return predictabilityInstitutional investorsAnomalies
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China stock marketInstitutional investorsMean-variance efficiency
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LLM in FinanceFinancial machine learningFixed income
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China stock marketInstitutional investorsFinancial machine learning
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Beyond Beta Pricing: Stochastic Discount Factor Selection from Euler-Restricted Traded–Nontraded Factor-Return Models#Stochastic discount factorFactor zooBayesian methodsObservable factor modelsAsset pricing tests
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Return predictabilityConditional asset pricingPanel treeFinancial machine learning
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Risk premiaFinancial machine learningStructural breaksLatent factor modelsReturn predictability
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AnomaliesRisk premiaStochastic discount factorObservable factor modelsBayesian methods
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Risk premiaConditional asset pricingStructural breaks
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Conditional asset pricingStochastic discount factorStructural breaksObservable factor models
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Factor zooConditional asset pricingLatent factor modelsSparsity
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Risk premiaStochastic discount factorLatent factor modelsPanel treeFinancial machine learning
Econometrics & Statistics
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High-dimensional inferenceSparsityLatent factor models
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Asset pricing testsObservable factor modelsHigh-dimensional inferenceSparsity
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A Hierarchical Group Factor Model with Observable Global and Local Factors#Observable factor modelsHigh-dimensional inferenceSparsity
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SparsityBayesian methodsObservable factor modelsPanel tree
Email: gavinfeng702@outlook.com / gavin.feng@cityu.edu.hk
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