People and Research People

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Prof. FENG Guanhao Gavin

馮冠豪教授

Assistant Professor

Address
7-239, Lau Ming Wai Academic Building, City University of Hong Kong
Phone
+852 34428346
Fax
+852 34420189

Research Areas

Bayesian Statistics
Empirical Asset Pricing
Machine Learning in Finance
Time-Varying Econometrics

Qualifications

PhD - Econometrics and Statistics (University of Chicago)

Biography

Guanhao (Gavin) Feng is an assistant professor of business statistics at the City University of Hong Kong and a scientist in the Lab for AI-Powered FinTech. His publications have appeared in prestigious journals such as the Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Econometrics, and International Economic Review. He is the PI for several research grants, including the HKRGC ECS and GRF grants, as well as the NSFC youth scientist fund. Gavin’s research has also received recognition through industry awards, including the AQR Insight Award (1st prize), Crowell Prize (2nd prize), and PwC 3535 Finance Forum Annual Best Paper Award.

Gavin earned his Ph.D. and MBA from the University of Chicago in 2017. His research interests cover Bayesian statistics, empirical asset pricing, machine learning in finance, and time-varying econometrics.

Awards

Award TitleInstitution
HKIMR Open-bid Applied Research Programme AwardHong Kong Institute for Monetary and Financial Research
2022 INQUIRE Europe Research Grant AwardINQUIRE Europe
PwC 3535 Finance Forum Annual Best Paper AwardPwC Mainland China & Hong Kong
Crowell Prize, Second Prize PanAgora Asset Management
2019 INQUIRE Europe Research Grant AwardINQUIRE Europe
AQR Insight Award, First PrizeAQR Capital Management
Unigestion Alternative Risk Premia Research Grant AwardParis-Dauphine House of Finance
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Research Grants

PI: "Time-Varying Coefficient Modeling for Factor Selection in Asset Pricing", General Research Fund - HKRGC, (2024-2026), Guanhao Feng, Jiangshan Yang

co-PI: "Estimating and Testing Time Variation Modeling Misspecification", General Research Fund - HKRGC, (2024-2026), Liyuan Cui

co-PI: "Regression Tree for Portfolio Optimization and Imbalanced Data", General Research Fund - HKRGC, (2023-2025), Jingyu He, Xin He

PI: "Capital Market Opening and Risk Management: Evidence from Mainland-Hong Kong Stock Connect", Youth Scientists Fund - NSFC, (2023-2025), Guanhao Feng

PI: "Textual Analysis of Corporate Bond Market", General Research Fund - HKRGC, (2022-2024), Guanhao Feng, Junbo Wang, Xin He

PI: "A Bayesian Hierarchical Approach in Asset Pricing", Strategic Research Grant - CityUHK, (2020-2022), Guanhao Feng

PI: "A Deep-Learning Approach in Asset-Pricing Anomalies", Early Career Scheme - HKRGC, (2019-2021), Guanhao Feng

PI: "Factor Investing: Hierarchical Ensemble Learning", Strategic Research Grant - CityUHK, (2019-2021), Guanhao Feng

PI: "Data Science in Marketing", Start-up Grant - CityUHK, (2018-2020), Guanhao Feng

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Teaching Activities (current academic year)

Academic YearLevelTitle
2023-2024Bachelor's DegreeRegression Analysis
Postgraduate DegreeStatistical Data Analysis

Administrative Assignments

PeriodNamePosition
2020 - 2023MSc in Business Data AnalyticsProgramme Leader
2019 - 2020BSc Computational Finance and Financial TechnologyDeputy Programme Leader

Selected Publications

Journal Publications and Reviews

CUI, Liyuan; FENG, Guanhao; Hong, Yongmiao / Regularized GMM for Time-Varying Models with Applications to Asset Pricing. October 2023; In: International Economic Review.

Feng, Guanhao; He, Jingyu; Polson, Nick G.; Xu, Jianeng / Deep Learning in Characteristics-Sorted Factor Models. July 2023; In: Journal of Financial and Quantitative Analysis.

Feng, Guanhao; He, Jingyu / Factor investing: A Bayesian hierarchical approach. September 2022; In: Journal of Econometrics. Vol. 230, No. 1, pp. 183-200

Feng, Guanhao; Polson, Nicholas / Regularizing Bayesian predictive regressions. December 2020; In: Journal of Asset Management. Vol. 21, No. 7, pp. 591–608

FENG, Guanhao; GIGLIO, Stefano; XIU, Dacheng / Taming the Factor Zoo: A Test of New Factors. June 2020; In: The Journal of Finance. Vol. 75, No. 3, pp. 1327-1370

Charoenwong, Ben; Feng, Guanhao / Does Higher-Frequency Data Always Help to Predict Longer-Horizon Volatility?. June 2017; In: Journal of Risk. Vol. 19, No. 5, pp. 55-75

Feng, Guanhao; Polson, Nicholas; Xu, Jianeng / The Market for English Premier League (EPL) Odds. December 2016; In: Journal of Quantitative Analysis in Sports. Vol. 12, No. 4, pp. 167-178

Working Papers

Cui, Liyuan; Feng, Guanhao; Hong, Yongmiao; Yang, Jiangshan / Time-Varying Factor Selection: A Sparse Fused GMM Approach. August 2023;

Feng, Guanhao; Lan, Wei; Wang, Hansheng; Zhang, Jun / Anomaly or Risk Factor? A Stepwise Evaluation. July 2023;

HE, Xin; FENG, Guanhao Gavin; WANG, Junbo; Wu, Chunchi / Predicting Individual Corporate Bond Returns. 2023;

Cong, Lin William; Feng, Guanhao; He, Jingyu; Li, Junye / Uncommon Factors for Bayesian Asset Clusters. September 2022;

Feng, Guanhao; Jiang, Liang; Li, Junye; Song, Yizhi / Deep Tangency Portfolios. March 2022;


Cong, Lin William; Feng, Guanhao; He, Jingyu; He, Xin / Growing the Efficient Frontier on Panel Trees. October 2021;

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