Details about Guanhao Feng

Access statistics for papers by Guanhao Feng.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: pfe488

Working Papers

2025

1. Growing the Efficient Frontier on Panel Trees
   Papers, arXiv.org
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2022) View citations (3)

2023

2. Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2020

3. Factor Investing: A Bayesian Hierarchical Approach
   Papers, arXiv.org View citations (1)
   See also Journal Article Factor investing: A Bayesian hierarchical approach, Journal of Econometrics, Elsevier (2022) View citations (1) (2022)
4. Taming the Factor Zoo: A Test of New Factors
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (161)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (60)
   See also Journal Article Taming the Factor Zoo: A Test of New Factors, Journal of Finance, American Finance Association (2020) View citations (160) (2020)

2018

5. Deep Learning for Predicting Asset Returns
   Papers, arXiv.org View citations (34)

Journal Articles

2025

1. Predicting individual corporate bond returns
   Journal of Banking & Finance, 2025, 171, (C)

2024

2. Deep Learning in Characteristics-Sorted Factor Models
   Journal of Financial and Quantitative Analysis, 2024, 59, (7), 3001-3036
3. REGULARIZED GMM FOR TIME‐VARYING MODELS WITH APPLICATIONS TO ASSET PRICING
   International Economic Review, 2024, 65, (2), 851-883
4. Renegotiable debt, liquidity injections and financial instability
   Journal of Derivatives and Quantitative Studies: 선물연구, 2024, 32, (3), 182-199

2022

5. Factor investing: A Bayesian hierarchical approach
   Journal of Econometrics, 2022, 230, (1), 183-200 View citations (1)
   See also Working Paper Factor Investing: A Bayesian Hierarchical Approach, Papers (2020) View citations (1) (2020)

2020

6. Regularizing Bayesian predictive regressions
   Journal of Asset Management, 2020, 21, (7), 591-608
7. Taming the Factor Zoo: A Test of New Factors
   Journal of Finance, 2020, 75, (3), 1327-1370 View citations (160)
   See also Working Paper Taming the Factor Zoo: A Test of New Factors, CEPR Discussion Papers (2020) View citations (161) (2020)

2016

8. The market for English Premier League (EPL) odds
   Journal of Quantitative Analysis in Sports, 2016, 12, (4), 167-178 View citations (1)

Undated

9. Does higher-frequency data always help to predict longer-horizon volatility?
   Journal of Risk