People and Research People

People Details

Dr. FENG Guanhao Gavin

馮冠豪博士

Assistant Professor

Address
7-276, Lau Ming Wai Academic Building, City University of Hong Kong
Phone
+852 34428346
Fax
+852 34420189
Public CV

Research Areas

Bayesian Statistics
Empirical Asset Pricing
Financial Technology
Machine Learning in Finance

Qualifications

Ph.D. - Business Administration (University of Chicago)
M.B.A. - Economics and Finance (University of Chicago)
B.S. - Mathematics (Penn State University)
B.S. - Economics (Penn State University)

Biography

Guanhao (Gavin) Feng is an assistant professor of business statistics at the City University of Hong Kong. He is also the program leader of MSc. in Business Data Analytics, a faculty affiliate at the School of Data Science, and a PI in the Lab for AI-Powered FinTech. Gavin's research publications have appeared in the Journal of Finance and Journal of Econometrics. Gavin obtained his Ph.D. and MBA degrees from the University of Chicago in 2017. His research interests include Bayesian statistics, empirical asset pricing, financial technology, and machine learning in finance.

 

Gavin has been co-organizing the Hong Kong Conference for Fintech, AI, and Big Data in Business <https://cityuhkfintech.com/>.

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
keep reading

Research Grants

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

keep reading

Teaching Activities (current academic year)

Academic YearLevelTitle
2022-2023Postgraduate DegreeStatistical Data Analysis

Administrative Assignments

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

Publications

Journal Publications and Reviews

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