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 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.
Related Links
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):
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SDG 9 Industry, Innovation, and Infrastructure -
SDG 10 Reduced Inequalities
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Collaborations from the last five years
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Beyond Beta Pricing: SDF Selection from Euler-Restricted Traded–Nontraded Factor–Return Models
Chib, S., Feng, G., He, J. & Zhang, Q., Jun 2025, (Online published) Social Science Research Network (SSRN), 63 p.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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Can news predict firm bankruptcy?
Bie, S., Feng, G., Guo, N. & He, J., 21 Jul 2025, (Online published) In: Journal of Financial Markets.Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Open AccessFile24 Downloads (CityUHK Scholars) -
Growing Mimicking Portfolios: Estimating Nontraded Factor Risk Premia
Feng, G., He, J., Ma, J. & Robotti, C., 17 Nov 2025.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 AccessFile6 Link opens in a new tab Citations (Scopus)49 Downloads (CityUHK Scholars)
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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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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
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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
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 - Research Assistant
Person: Doctor of Philosophy (Student), Research Assistant
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