Guanhao Feng focuses on developing methodological solutions, including machine learning, Bayesian statistics, and financial econometrics, to address big data challenges in empirical asset pricing. His work has been published in leading journals such as the Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Econometrics, and International Economic Review. He is the principal investigator for various external research grants, such as the HKRGC ECS and GRF grants, and the NSFC youth science fund. Gavin's research has been acknowledged by practitioners, receiving research awards from INQUIRE Europe, Hong Kong Institute for Monetary and Financial Research, and the AQR Insight Award.
Awards
| Award Title |
Institution |
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Best paper award
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2024 China Fintech Research Conference
|
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2024 IQAM 3rd Research Prize
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IQAM Research institute
|
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HKIMR Open-bid Applied Research Programme Award
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Hong Kong Institute for Monetary and Financial Research
|
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2022 INQUIRE Europe Research Grant Award
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INQUIRE Europe
|
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PwC 3535 Finance Forum Annual Best Paper Award
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PwC Mainland China & Hong Kong
|
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Crowell 2nd Research Prize
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PanAgora Asset Management
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2019 INQUIRE Europe Research Grant Award
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INQUIRE Europe
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AQR Insight Award, First Prize
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AQR Capital Management
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Unigestion Alternative Risk Premia Research Grant Award
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Paris-Dauphine House of Finance
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Research Grant
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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
Teaching Activities (current academic year)
| Academic Year |
Level |
Title |
|
2024-2025
|
Postgraduate Degree
|
Statistical Data Analysis
|
Administrative Assignments
| Period |
Name |
Position |
|
2020 - 2023
|
MSc in Business Data Analytics
|
Programme Leader
|
|
2019 - 2020
|
BSc Computational Finance and Financial Technology
|
Deputy Programme Leader
|
Selected Publications
| Journal Publications and Reviews |
- Cong, Lin William; Feng, Guanhao; He, Jingyu; He, Xin / Growing the efficient frontier on panel trees. May 2025; In: Journal of Financial Economics. Vol. 167
- Feng, Guanhao; He, Xin; Wang, Yanchu; Wu, Chunchi / Predicting individual corporate bond returns. February 2025; In: Journal of Banking and Finance. Vol. 171
- Feng, Guanhao; He, Jingyu; Polson, Nick G.; Xu, Jianeng / Deep Learning in Characteristics-Sorted Factor Models. November 2024; In: Journal of Financial and Quantitative Analysis. Vol. 59, No. 7, pp. 3001-3036
- CUI, Liyuan; FENG, Guanhao; HONG, Yongmiao / Regularized GMM for Time-Varying Models with Applications to Asset Pricing. May 2024; In: International Economic Review. Vol. 65, No. 2, pp. 851-883
- 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; 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
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| Working Papers |
- Feng, Guanhao; He, Jingyu; Li, Junye; Sarno, Lucio; Zhang, Qianshu / Currency Return Dynamics: What Is the Role of U.S. Macroeconomic Regimes?. July 2024;
- Cong, William Lin; Feng, Guanhao; He, Jingyu; Wang, Yuanzhi / Mosaics of Predictability. February 2024;
- 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;
- 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;
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