Prof. FENG Guanhao Gavin
馮冠豪教授
Associate Professor
Address
7-239, Lau Ming Wai Academic Building, City University of Hong Kong
Phone
+852 34428346
Fax
+852 34420189
Email
Personal Web
https://www.gavinfeng702.com
Qualifications
PhD - Econometrics and Statistics (University of Chicago)
MBA - Economics and Finance (University of Chicago)
Biography
Guanhao (Gavin) Feng focuses on tackling empirical challenges in asset pricing and FinTech by developing methodological solutions that leverage machine learning, generative AI, Bayesian statistics, and financial econometrics. His work has been published in leading journals, including the Journal of Finance, Journal of Financial Economics, Management Science, Journal of Financial and Quantitative Analysis, and Journal of Econometrics. He is the Principal Investigator for various external research grants, including the HKRGC ECS and GRF grants, as well as the NSFC Youth Science Fund. Gavin also serves as a Research Fellow at the Asian Bureau of Financial and Economic Research (ABFER) and an Associate Editor for journals such as Management Science and the Journal of Financial Econometrics. He has received several honors for his research, including awards from INQUIRE Europe, the Hong Kong Institute for Monetary and Financial Research, and the AQR Insight Award.
Gavin is an Associate Professor of Finance and Statistics at the City University of Hong Kong and the Director of the College of Business Research Centre of Fintech and Business Analytics (FBAC). He earned his Ph.D. and MBA from the University of Chicago in 2017.
Awards
| Award Title | Institution |
|---|---|
| Best paper award | 2024 China Fintech Research Conference |
| 2024 IQAM 3rd Research Prize | IQAM Research institute |
| HKIMR Open-bid Applied Research Programme Award | Hong Kong Institute for Monetary and Financial Research |
| 2022 INQUIRE Europe Research Grant Award | INQUIRE Europe |
| PwC 3535 Finance Forum Annual Best Paper Award | PwC Mainland China & Hong Kong |
| Crowell 2nd Research Prize | PanAgora Asset Management |
| 2019 INQUIRE Europe Research Grant Award | INQUIRE Europe |
| AQR Insight Award, First Prize | AQR Capital Management |
| Unigestion Alternative Risk Premia Research Grant Award | Paris-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 Year | Level | Title |
|---|---|---|
| 2025-2026 | Postgraduate Degree | FinTech and Cryptocurrency |
| Fintech and AI in Finance |
Administrative Assignments
| Period | Name | Position |
|---|---|---|
| 2025 - Now | College of Business Research Centre of Fintech and Business Analytics | Director |
| 2020 - 2023 | MSc in Business Data Analytics | Programme Leader |
Professional Activities
| Period | Client | Country / Region | Role |
|---|---|---|---|
| 2025 - Now | Asian Bureau of Financial and Economic Research | Singapore | Research Fellow |
| 2022 - Now | FinTech Initiative at Cornell University | United States of America | Junior Research Fellow |
| 2021 - Now | Laboratory for AI-Powered Financial Technologies | Hong Kong, China | Program Leader and Scientist |
| 2022 | Hong Kong Institute for Monetary and Financial Research | Hong Kong, China | Visiting Researcher |
External Academic Activities
| Period | Organizer | Country / Region | Role |
|---|---|---|---|
| 2026 - Now | Journal of Finance and Data Science | United States of America | Associate Editor |
| 2026 - Now | Management Science | United States of America | Associate Editor |
| 2026 - Now | Asia-Pacific Journal of Financial Studies | Korea, Republic of | Associate Editor |
| 2025 - Now | Journal of Financial Econometrics | United States of America | Associate Editor |
Selected Publications
Journal Publications and Reviews
Fan, Yinghua; Feng, Guanhao; Qiao, Xiao; Baronyan, Sayad / Institutional granular impact is benign on asset sales and price efficiency. September 2025; In: Journal of Financial Markets. Vol. 75
Bie, Siyu; Feng, Guanhao; Guo, Naixin; He, Jingyu / Can news predict firm bankruptcy?. July 2025; In: Journal of Financial Markets.
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
Working Papers
Bie, Siyu; Feng, Guanhao; Guo, Naixin; He, Jingyu / One News, Two Markets: LLM-Derived Sentiment and Trading Volume. December 2025;
Feng, Guanhao; He, Jingyu; Ma, Jianxin; Robotti, Cesare / Growing Mimicking Portfolios: Estimating Nontraded Factor Risk Premia. November 2025;
Fan, Yinghua; Feng, Guanhao; Huang, Dashan / Modeling Institutional Investors in China. November 2025;
Cui, Liyuan; Feng, Guanhao ; Yang, Jiangshan / Heterogeneous Predictability on Mutual Fund Alphas: A Sparse Clustering GMM Approach. September 2025;
Avramov, Doron; Feng, Guanhao; He, Jingyu; Xiao, Shuhua / Schrödinger's Sparsity in the Cross Section of Stock Returns. July 2025;
Zhang, Jun; Lan, Wei; Feng, Long; Feng, Guanhao / Testing and Comparing Asset Pricing Factor Models: An Out-of-Sample Perspective. July 2025;
Cui, Liyuan; Feng, Guanhao; Ma, Jianxin; Su, Yinan / Breaks and Trends in Factor Premia. June 2025;
Chib, Siddhartha; Feng, Guanhao; He, Jingyu; Zhang, Qianshu / Beyond Beta Pricing: SDF Selection from Euler-Restricted Traded–Nontraded Factor–Return Models. June 2025;
Zhang, Jun; Pu, Dan ; Lan, Wei; Feng, Guanhao / Testing Alphas in Linear Factor Models: A Portfolio Approach. March 2025;
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;
Feng, Guanhao; Lan, Wei; Wang, Hansheng; Zhang, Jun / Selecting and Testing Asset Pricing Models: A Stepwise Approach. July 2023;
Cui, Liyuan; Feng, Guanhao; Hong, Yongmiao; Yang, Jiangshan / Do asset pricing models change over time?. May 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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