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)
Biography
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 |
|---|---|
| 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 |
|---|---|---|
| 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
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
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;
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 / Growing the Efficient Frontier on Panel Trees. October 2021;
He, Xin; Feng, Guanhao; Wang, Junbo; Wu, Chunchi / Corporate Bond Pricing via Benchmark Combination Model. October 2021;
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