Guanhao Feng

City University of Hong Kong (CityUHK)

Assistant Professor

83 Tat Chee Avenue

Kowloon Tong

Hong Kong

SCHOLARLY PAPERS

10

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Top 9,021

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6,549

SSRN CITATIONS
Rank 8,202

SSRN RANKINGS

Top 8,202

in Total Papers Citations

149

CROSSREF CITATIONS

12

Scholarly Papers (10)

1.

Taming the Factor Zoo: A Test of New Factors

Fama-Miller Working Paper, Chicago Booth Research Paper No. 17-04
Number of pages: 75 Posted: 20 Mar 2017 Last Revised: 29 Jul 2019
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 3,574 (3,669)
Citation 18

Abstract:

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Factors, Stochastic Discount Factor, Post-Selection Inference, Regularized Two-Pass Estimation, Variable Selection, Machine Learning, LASSO, Elastic Net, PCA

2.

Deep Learning in Characteristics-Sorted Factor Models

Number of pages: 40 Posted: 23 Sep 2018 Last Revised: 22 Feb 2021
Guanhao Feng, Nick Polson and Jianeng Xu
City University of Hong Kong (CityUHK), University of Chicago - Booth School of Business and University of Chicago, Students
Downloads 1,517 (15,048)
Citation 6

Abstract:

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Alpha, Characteristics-Sorted Factor Models, Cross-Sectional Returns, Deep Learning, Firm Characteristics, Non-Arbitrage, Pricing Errors.

3.

Factor Investing: A Bayesian Hierarchical Approach

Number of pages: 38 Posted: 06 Feb 2019 Last Revised: 17 Sep 2020
Guanhao Feng and Jingyu He
City University of Hong Kong (CityUHK) and City University of Hong Kong
Downloads 547 (63,110)
Citation 1

Abstract:

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Asset Allocation, Bayes, Hierarchical Prior, Estimation Risk, Characteristics, Macro Predictors, Risk Factor

4.

Does Higher-Frequency Data Always Help to Predict Longer-Horizon Volatility?

Journal of Risk, Forthcoming
Number of pages: 19 Posted: 25 Apr 2016 Last Revised: 25 May 2017
Ben Charoenwong and Guanhao Feng
National University of Singapore - Department of Finance and City University of Hong Kong (CityUHK)
Downloads 331 (113,955)

Abstract:

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Long-Horizon Volatility Forecast, Temporal Aggregation, Model Selection, Risk Management

5.

Real-Time Macro Information and Bond Return Predictability: Does Deep Learning Help?

Number of pages: 40 Posted: 03 Feb 2020 Last Revised: 25 Jan 2021
Guanhao Feng, Andras Fulop and Junye Li
City University of Hong Kong (CityUHK), ESSEC Business School and Fudan University - School of Management
Downloads 229 (166,187)
Citation 3

Abstract:

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Deep Learning, Machine Learning, Bond Return Predictability, Real-Time Macro Data, Overlapping and Non-overlapping Returns

6.

Sparse Regularization in Marketing and Economics

Number of pages: 29 Posted: 20 Aug 2017 Last Revised: 10 Feb 2018
Guanhao Feng, Nick Polson, Yuexi Wang and Jianeng Xu
City University of Hong Kong (CityUHK), University of Chicago - Booth School of Business, University of Chicago, Students and University of Chicago, Students
Downloads 113 (299,633)

Abstract:

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Machine learning, Regularization, Proximal Algorithm, Nonconvex Optimization, Marketing Demand Forecasting

7.

Regularizing Bayesian Predictive Regressions

Number of pages: 35 Posted: 17 Aug 2016 Last Revised: 15 Sep 2017
Guanhao Feng and Nick Polson
City University of Hong Kong (CityUHK) and University of Chicago - Booth School of Business
Downloads 111 (303,431)
Citation 1

Abstract:

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Bayesian predictive regression; prior sensitivity analysis; maximum-a-posteriori; equity-premium predictability; bond risk premia; predictor selection.

8.

Predicting Individual Corporate Bond Returns

Number of pages: 35 Posted: 30 Jun 2021
Xin He, Guanhao Feng, Junbo Wang and Chunchi Wu
City University of Hong Kong (CityUHK) - College of Business, City University of Hong Kong (CityUHK), Dept. of Economics and Finance, City Univ. of HK and SUNY at Buffalo - School of Management
Downloads 94 (338,913)

Abstract:

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Bond Characteristics, Individual Corporate Bonds, Machine Learning, Private Company Bonds, Return Decomposition, Return Predictability

9.
Downloads 33 (553,634)
Citation 70

Taming the Factor Zoo: A Test of New Factors

NBER Working Paper No. w25481
Number of pages: 45 Posted: 30 Jan 2019 Last Revised: 16 Aug 2021
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 32 (573,152)
Citation 6

Abstract:

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Taming the Factor Zoo: A Test of New Factors

CEPR Discussion Paper No. DP14266
Number of pages: 49 Posted: 14 Jan 2020
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 1 (822,899)
Citation 63
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Abstract:

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Elastic Net, Factors, Lasso, Machine Learning, PCA, Post-Selection Inference, Regularized Two-Pass Estimation, Stochastic discount factor, variable selection

10.

Does Higher-Frequency Data Always Help to Predict Longer-Horizon Volatility?

Journal of Risk, Forthcoming
Posted: 13 May 2017
Ben Charoenwong and Guanhao Feng
National University of Singapore - Department of Finance and City University of Hong Kong (CityUHK)

Abstract:

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long-horizon volatility, iterated forecasts, temporal aggregation, model selection, risk management, mixed data frequency