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, Journal of Financial and Quantitative Analysis, Journal of Econometrics, and International Economic Review. Gavin obtained his Ph.D. and MBA from the University of Chicago in 2017. His research interests include Bayesian statistics, empirical asset pricing, machine learning in finance, and time-varying econometrics.
Gavin has been co-organizing the Hong Kong Conference for Fintech, AI, and Big Data in Business <https://cityuhkfintech.com/>.
Awards
| Award Title |
Institution |
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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 Prize, Second 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
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co-PI:
"Estimating and Testing Time Variation Modeling Misspecification",
General Research Fund - HKRGC ,
(2024-2026)
, Liyuan Cui
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co-PI:
"Regression Tree for Portfolio Optimization and Imbalanced Data",
General Research Fund - HKRGC ,
(2023-2025)
, Jingyu He, Xin He
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PI:
"Capital Market Opening and Risk Management: Evidence from Mainland-Hong Kong Stock Connect",
Youth Scientists Fund - NSFC ,
(2023-2025)
, Guanhao Feng
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PI:
"Textual Analysis of Corporate Bond Market",
General Research Fund - HKRGC ,
(2022-2024)
, Guanhao Feng, Junbo Wang, Xin He
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PI:
"A Bayesian Hierarchical Approach in Asset Pricing",
Strategic Research Grant - CityUHK ,
(2020-2022)
, Guanhao Feng
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PI:
"A Deep-Learning Approach in Asset-Pricing Anomalies",
Early Career Scheme - HKRGC ,
(2019-2021)
, Guanhao Feng
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PI:
"Factor Investing: Hierarchical Ensemble Learning",
Strategic Research Grant - CityUHK ,
(2019-2021)
, Guanhao Feng
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PI:
"Data Science in Marketing",
Start-up Grant - CityUHK ,
(2018-2020)
, Guanhao Feng
Teaching Activities (current academic year)
| Academic Year |
Level |
Title |
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2023-2024
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Postgraduate Degree
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Statistical Data Analysis
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Administrative Assignments
| Period |
Name |
Position |
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2020 - Now
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MSc in Business Data Analytics
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Programme Leader
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2019 - 2020
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BSc Computational Finance and Financial Technology
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Deputy Programme Leader
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Selected 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
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| 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;
- Fan, Yinghua; Feng, Guanhao; Fulop, Andras; Li, Junye / Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach. 2022;
- Cong, Lin William; Feng, Guanhao; He, Jingyu; He, Xin / Asset Pricing with Panel Tree Under Global Split Criteria. October 2021;
- He, Xin; Feng, Guanhao; Wang, Junbo; Wu, Chunchi / Corporate Bond Pricing via Benchmark Combination Model. October 2021;
- Cui, Liyuan; Feng, Guanhao; Hong, Yongmiao / Regularized GMM for Time-Varying Models with Applications to Asset Pricing. April 2021;
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