Journal Papers ( * indicates our supervised PhD student or postdoctoral fellow)
Selected Publications:
- Growing the Efficient Frontier on Panel Trees
- with Will Cong, Jingyu He, and Xin He*.
- Journal of Financial Economics, 2025, 167, 104024.
- 2022 INQUIRE Europe Research Grant Award
- 2024 IQAM Research Prize
- Regularized GMM for Time-Varying Models with Applications to Asset Pricing
- with Liyuan Cui and Yongmiao Hong.
- International Economic Review, 2024, 65(2), 851-883.
- Deep Learning in Characteristics-Sorted Factor Models
- with Jingyu He, Nicholas Polson, and Jianeng Xu.
- Journal of Financial and Quantitative Analysis. 2024, 59(7), 3001-3036.
- Unigestion Alternative Risk Premia Research Grand Award
- Second Prize, 2019 Crowell Prize
- 2019 INQUIRE Europe Research Grant Award
- Media Coverage: Chicago Booth Review, BNP PARIBAS, PR Newswire
- Factor Investing: A Bayesian Hierarchical Approach
- with Jingyu He
- Journal of Econometrics, 2022, 230(1), 183-200.
- Taming the Factor Zoo: A Test of New Factors
- with Dacheng Xiu and Stefano Giglio
- Journal of Finance, 2020, 75(3), 1327-1370.
- First Prize Winners, 2018 AQR Insight Award
- Media Coverages: Chicago Booth Review, Pensions&Investments, Executive Summary from AQR Insight Award, 知乎
Working Papers:
- Mosaics of Predictability
- with Will Cong, Jingyu He, and Yuanzhi Wang*. Dec. 2024.
- Currency Return Dynamics: What is the Role of U.S. Macroeconomic Regimes?
- with Jingyu He, Junye Li, Lucio Sarno, and Qianshu Zhang*. Dec. 2024.
- Sparse Modeling Under Grouped Heterogeneity with Applications to Asset Pricing
- with Will Cong, Jingyu He, and Junye Li. Dec. 2025.
- Best paper award, 2024 China Fintech Research Conference
- Breaks and Trends in Factor Premia
- with Liyuan Cui, Jianxin Ma*, and Yinan Su. Sep. 2025.
- Do asset pricing models change over time?
- with Liyuan Cui, Yongmiao Hong, and Jiangshan Yang*. Jun. 2025.
- Deep Tangency Portfolio
- with Liang Jiang, Junye Li, and Yizhi Song*. Nov. 2024.
- Minor Revision, Management Science
- Selecting and Testing Asset Pricing Models: A Stepwise Approach
- with Lan Wei, Hansheng Wang, and Jun Zhang*. Aug. 2025.
- Minor Revision, Management Science
- Testing and Comparing Asset Pricing Factor Models: An Out-of-Sample Perspective
- with Jun Zhang, Wei Lan, and Long Feng. Jul. 2025.
- Major Revision, Journal of Econometrics
- Schrodinger’s Sparsity in the Cross Section of Stock Returns
- with Doron Avramov, Jingyu He, and Shuhua Xiao*. Aug. 2025.
- Beyond Beta Pricing: SDF Selection from Euler-Restricted Traded–Nontraded Factor-Return Models
- with Siddhartha Chib, Jingyu He, and Qianshu Zhang*. Jun. 2025.
- Testing Alphas in Linear Factor Models: A Portfolio Approach
- with Jun Zhang*, Dan Pu, and Wei Lan. Feb. 2025.
- Major Revision, Journal of Business & Economic Statistics
- Heterogeneous Predictability on Mutual Fund Alphas: A Sparse Clustering GMM Approach
- with Liyuan Cui and Jiangshan Yang*. Sep. 2025.
- Growing Mimicking Portfolios: Estimating Nontraded Factor Risk Premia
- with Jingyu He, Jianxin Ma*, and Cesare Robotti. Nov. 2025.
- Modeling Institutional Investors in China
- with Yinghua Fan* and Dashan Huang. Nov. 2025.
- News Sentiment and Trading Volume in Equity and Corporate Bond Markets
- with Siyu Bie*, Naixin Guo*, and Jingyu He.
- Corporate Bond Pricing via Benchmark Combination Model
- with Xin He*, Junbo Wang, and Chunchi Wu. Dec. 2022.
Other Publications:
- Can news predict firm bankruptcy?
- with Siyu Bie*, Naixin Guo*, and Jingyu He.
- Forthcoming, Journal of Financial Markets (2025+).
- Institutional Granular Impact is Benign on Asset Sales and Price Efficiency
- with Yinghua Fan*, Xiao Qiao, and Sayad Baronyan.
- Forthcoming, Journal of Financial Markets, 2025, 75, 100987.
- Predicting Individual Corporate Bond Returns
- with Xin He*, Yanchu Wang, and Chunchi Wu
- Journal of Banking & Finance, 2025, 171, 107372.
- Regularizing Bayesian Predictive Regressions
- with Nicholas Polson
- Journal of Asset Management, 2020, 21(7), 591-608.
- Does higher-frequency data always help to predict longer-horizon volatility?
- with Ben Charoenwong
- Journal of Risk, 2017, 19(5), 55-75.
- The Market for English Premier League (EPL) Odds
- with Nicholas Polson and Jianeng Xu
- Journal of Quantitative Analysis in Sports, 2017, 12(4), 167-178.
- Media Coverage: Chicago Booth Review
FENG Guanhao Gavin 冯冠豪 