Dr. FENG Guanhao Gavin 冯冠豪博士 Department of Management Sciences
Assistant Professor

Address
7-276, Lau Ming Wai Academic Building, City University of Hong Kong

Phone
+852 34428346

Fax
+852 34420189

Email
gufeng@cityu.edu.hk

Personal Web
https://www.gavinfeng702.com
Public CV
View

SSRN Web
http://papers.ssrn.com/author=2541802



Research Areas Financial econometrics
Empirical asset pricing
Machine learning
FinTech


Qualifications Ph.D. - Business Administration (University of Chicago)
M.B.A. - Economics and Finance (University of Chicago)
B.S. - Mathematics (Penn State University)
B.S. - Economics (Penn State University)


Biography 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 (Quantitative Analysis for Business stream), a faculty affiliate at the School of Data Science, and a Co-PI in the Lab for AI-Powered FinTech. Gavin's research publications have appeared in the Journal of Finance and Journal of Econometrics. Gavinobtained his Ph.D. and MBA degrees from the University of Chicago in 2017. His research interests include financial econometrics, empirical asset pricing, machine learning, and fintech.


Awards Award TitleInstitution
PwC 3535 Finance Forum Annual Best Paper Award PwC Mainland China & Hong Kong
Crowell Prize, Second Prize PanAgora Asset Management
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


Research Grants PI: "Textual Analysis of Corporate Bond Market
A Bayesian Hierarchical Approach in Asset Pricing
A Deep-Learning Approach in Asset-Pricing Anomalies
Factor Investing: Hierarchical Ensemble Learning
Data Science in Marketing", Start-up Grant - City University of Hong Kong, Amount: 300,000 HKD (2018-2020), Guanhao Feng



Teaching Activities (current academic year) Academic YearLevelTitle
2021-2022 Postgraduate Degree Statistical Data Analysis


Administrative Assignments PeriodNamePosition
2020 - Now MSc in Business Data Analytics Programme Leader
2019 - 2020 BSc Computational Finance and Financial Technology Deputy Programme Leader


Publications Journal Publications and Reviews Feng, Guanhao; He, Jingyu / Factor investing: A Bayesian hierarchical approach. November 2021; In: Journal of Econometrics.

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