Research output per year
Research output per year
Personal profile
Author IDs
ORCID iD: 0000-0002-5907-6814
Scopus Author ID: 57194340199
Google Scholar Profile: s1bAFGEAAAAJ
Impact
Biography
Guanhao (Gavin) 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.
Gavin is an associate professor of finance and statistics at the City University of Hong Kong. He earned his Ph.D. and MBA from the University of Chicago in 2017.
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):
Related Links
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Dive into the research topics where Guanhao Gavin FENG is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
- 1 Similar Profiles
Collaborations from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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Beta-pricing Models with Traded and Nontraded Factors: A Unified Framework for Estimation and Comparison
Chib, S., Feng, G., He, J. & Zhang, Q., Jun 2025, (Online published) Social Science Research Network (SSRN).Research output: Working Papers › Preprint
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Breaks and Trends in Factor Premia
Cui, L., Feng, G., Ma, J. & Su, Y., 30 Jun 2025, (Online published) Social Science Research Network (SSRN).Research output: Working Papers › Preprint
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Growing the efficient frontier on panel trees
Cong, L. W., Feng, G., He, J. & He, X., May 2025, In: Journal of Financial Economics. 167, 104024.Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Open AccessFile3 Citations (Scopus)21 Downloads (CityUHK Scholars) -
Institutional granular impact is benign on asset sales and price efficiency
Fan, Y., Feng, G., Qiao, X. & Baronyan, S., 17 May 2025, (Online published) In: Journal of Financial Markets. 100987.Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
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Predicting individual corporate bond returns
Feng, G., He, X., Wang, Y. & Wu, C., Feb 2025, In: Journal of Banking and Finance. 171, 107372.Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
1 Citation (Scopus)
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GRF: Estimating and Testing Time Variation Modeling Misspecification
CUI, L. (Principal Investigator / Project Coordinator) & FENG, G. G. (Co-Investigator)
1/01/24 → …
Project: Research
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GRF: Time-Varying Coefficient Modeling for Factor Selection in Asset Pricing
FENG, G. G. (Principal Investigator / Project Coordinator), QIAO, X. (Co-Investigator), YANG, J. (Co-Investigator) & ZHOU, Z. (Co-Investigator)
1/01/24 → …
Project: Research
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GRF: Time-Varying Risks in Commodity Markets
QIAO, X. (Principal Investigator / Project Coordinator) & FENG, G. G. (Co-Investigator)
1/12/23 → …
Project: Research
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GRF: Regression Tree for Portfolio Optimization and Imbalanced Data
HE, J. (Principal Investigator / Project Coordinator), FENG, G. G. (Co-Investigator) & HE, X. (Co-Investigator)
1/01/23 → …
Project: Research
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NSFC-YPC-HK: Capital Market Opening and Risk Management: Evidence from Mainland-Hong Kong Stock Connect
FENG, G. G. (Principal Investigator / Project Coordinator)
1/01/23 → …
Project: Research
Prizes
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IQAM 3rd Research Prize
FENG, G. G. (Recipient) & HE, J. (Recipient), 2024
Prize: RGC 64B - Prizes and awards
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Best paper award - 2024 China Fintech Research Conference
FENG, G. G. (Recipient) & HE, J. (Recipient), Apr 2024
Prize: RGC 64B - Prizes and awards
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HKIMR Open-bid Applied Research Programme Award
FENG, G. G. (Recipient), 2022
Prize: RGC 64B - Prizes and awards
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PwC 3535 Finance Forum Annual Best Paper Award
FENG, G. G. (Recipient), Sept 2020
Prize: RGC 64B - Prizes and awards
Press/Media
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PanAgora Asset Management Announces Winner of 18th Annual Dr. Richard A. Crowell Prize
19/12/19
1 item of Media coverage
Press/Media: Press / Media
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AQR Insight Award granted to 2 papers this year
28/06/18
1 item of Media coverage
Press/Media: Press / Media
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Factor Pricing Using Interpretable and Arbitrage-Free Trees
FENG, G. G. (Speaker)
Jun 2021Activity: Talk/lecture or presentation › Talk/lecture
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Predicting Individual Corporate Bond Returns
FENG, G. G. (Speaker)
May 2021Activity: Talk/lecture or presentation › Talk/lecture
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Deep Learning in Factor Investing
FENG, G. G. (Speaker)
Mar 2021Activity: Talk/lecture or presentation › Presentation
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Benchmarking Individual Corporate Bonds
FENG, G. G. (Speaker)
Feb 2021Activity: Talk/lecture or presentation › Presentation
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Benchmarking Individual Corporate Bonds
FENG, G. G. (Speaker)
Dec 2020Activity: Talk/lecture or presentation › Presentation
Supervised Students
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Miss Naixin GUO, 国乃心
- Department of Decision Analytics and Operations - P/T Research Assistant
Person: P/T Research Assistant, Doctor of Philosophy (Student)
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Miss Yirou WANG, 王以柔
- Department of Decision Analytics and Operations - P/T Research Assistant
Person: P/T Research Assistant, Doctor of Philosophy (Student)
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Mr. Yuanzhi WANG, 王元直
- Department of Decision Analytics and Operations - P/T Senior Research Assistant
Person: Doctor of Philosophy (Student), P/T Senior Research Assistant