Hui Guo

Professor of Finance, August 2013 to present

Department of Finance and Real Estate

College of Business, University of Cincinnati

2360 Carl H. Lindner Hall, PO Box 210195

Cincinnati, Ohio 45221-0195

Phone: (513) 556-7077

Fax: (513) 556-0979

Email: hui.guo@uc.edu

Faculty Listing: https://business.uc.edu/faculty-research/finance/faculty/hui-guo.html

 

 

RECENT RESEARCH

§  Main Takeaways

1.     CCAPM is alive and well

2.     Multiple risk factors in both time-series and cross-section

3.     Monetary policy is a crucial driver of asset prices

4.     Same risk factors for equity, corporate bond, and Treasury bond premia

5.     Investor sentiment reflects time-varying equity premia

 

 

§  Connecting the Dots: Guo and Pai (2024a) show that unrevised PCEs have fewer measurement errors than revised PCEs. This is because BEA regularly updates its seasonal adjustment factors and economic data accounting system to measure a constantly evolving economy and retrospectively applies them to the whole economic history. Using unrevised PCEs, Guo and Pai (2024b) find that aggregate consumption growth correlates negatively with investment-specific technology (IST) shocks and positively with disembodied or neutral technology (DT) shocks. Guo, Lin, and Pai (2024) incorporate these styled facts into a long-run risk model and show that conditional equity premiums depend positively (negatively) on DT (IST) variance. Guo and Qiu (2023) standard investor sentiment measures forecast stock market returns due to their correlations with IST and DT variances.  The present value relation implies that equity premiums are approximately a linear function of market variance and the scaled market price. Consistent with this implication, Cheng, Guo, and Shi (2024) and Guo, Sanni, and Yu (2022) identify these two variables as the crucial equity premium determinants using formal variable selection techniques using data from China and the U.S., respectively. Intriguingly, both studies also select inflation. Because the Chinese and U.S. stock markets are segmented, we cannot simply attribute the three-factor model to data mining.  Guo, Sanni, and Yu (2024) show that inflation negatively predicts stock market returns because of its close relationship with monetary policy stipulated by the Taylor rule. Guo, Sanni, and Yu (in progress) identify inflation, the scaled stock market price, and stock market variance as the most crucial determinants of corporate bond market risk premia, indicating that the stock and corporate bond markets are integrated. Guo and Lin (in progress) provide a theoretical explanation of the 3-factor model by adding monetary policy to the Guo, Lin, and Pai (2024) two-factor model. They show the factors in their model also explain Treasury bond market risk premia. We are also examining how machine learning models help predict stock market returns.

 

I have worked on financial economics, asset pricing, international finance, institutional trading, macroeconomics, monetary economics, China, labor friction, corporate culture, and applied quantitative methods

Google Scholar Citations: http://scholar.google.com/citations?user=n6z23gYAAAAJ&hl=en

 

 

WORKS IN PROGRESS

1.     Time-Varying Corporate Bond Market Risk Premia, with Saidat Abidemi Sanni, and Yan Yu, available soon!

2.     Monetary Policy and Market Risk Premia, with Qian Lin

 

SELECTED WORKING PAPERS

  1. Taylor-Rule Monetary Policy and Equity Market Risk Premia, with Saidat Abidemi Sanni, and Yan Yu, 2024
  2. Rediscovering the CCAPM Lost in Data Revision, with Abby Pai, this draft, 2024
  3. In Search of Habit: History  Matters!, with Abby Pai, this draft, 2024
  4. Market Interventions and Investor Sentiment in China's Stock Market, with Hang Cheng, Yongdong Shi, and Haomiao Wang, this draft, 2024
  5. Employee Rating Dispersion, Affective Conflict, and Corporate Investment, with Baojun Gao, Hui Guo, Thanh Son Luong, and Buhui Qiu, 2024
  6. Searching for the Best Conditional Equity Premium Model, with Saidat Abidemi Sanni, and Yan Yu, 2022
  7. Good Jumps, Bad Jumps, and Conditional Equity Premium, with Kent Wang and Hao Zhao, February 2015.
  8. A Novel Measure of Conditional Value Premium, with Qing Bai, March, 2015
  9. Average Idiosyncratic Variance and Expected Stock Market Returns: Some Further Evidence (formerly circulated under the title “Understanding Stock Return Predictability”), with Robert Savickas, this version February 2008

 

 

PUBLICATIONS IN ACADEMIC JOURNALS

  1. Multifactor conditional equity premium model: Evidence from China's stock market, with Hang Cheng and Yongdong Shi, Journal of Banking and Finance, 2024
  2. A Tale of Fear and Euphoria in the Stock Market, with Qian Lin and Abby Pai, Journal of Financial and Quantitative Analysis, forthcoming

3.     Systematic Mispricing: Evidence from Real Estate Markets, with Shaun Bond and Changyu Yang, The Journal of Real Estate Finance and Economics, 2022

4.     The Risk-Return Relation Puzzle, 2021, with Abby Pai, Pacific Basin Finance Journal, 2021

5.     Aggregate Distress Risk and Equity Returns, with Xiaowen Jiang, Journal of Banking and Finance, 2022

6.     Conditional Equity Premium and Aggregate Corporate Investment, with Buhui Qiu, Journal of Money, Credit, and Banking, 2022

7.     ICAPM and the Accruals Anomaly, with Paulo Maio, 2020, Quarterly Journal of Finance, 10, 1-48

8.     Market Illiquidity and Conditional Equity Premium, with Sandra Mortal, Robert Savickas, and Robert Wood, 2017, Financial Management

9.     Time-Varying Beta and the Value Premium, with Caojiang Wu and Yan Yu, August 2017, Journal of Financial and Quantitative Analysis

10.  A Better Measure of Institutional Informed Trading, with Buhui Qiu, 2016, the Contemporary Accounting Research

11.  Variable Selection and Corporate Bankruptcy Forecasts, with Shaonan Tian and Yan Yu, 2015, Journal of Banking and Finance

12.  Options-Implied Variance and Future Stock Returns, with Buhui Qiu, 2014, (Chicago Quantitative Alliance Academic Competition 2nd prize, 2011),  Journal of Banking and Finance

13.  On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns, with Haim Kassa and Mike Ferguson, Journal of Financial and Quantitative Analysis, 2014 (2012 AAII Best Paper in Investments, Southwest Finance Association) PDF.

14.  Time-Varying Risk-Return Tradeoff in the Stock Market, with Z. Wang and J. Yang, Journal of Money, Credit, and Banking, 2013, PDF

15.  A Class of Discrete Transformation Survival Models with Application to Default Probability Prediction, with A. Ding, S. Tian, Y. Yu, Journal of American Statistical Association, 2012, 990-1003.

16.  Accruals and Conditional Equity Premium, with Xiaowen Jiang, Journal of Accounting Research, 2011, 49, 187-221 PDF

17.  IPO First-Day Return and Ex Ante Equity Premium, 2011, Journal of Financial and Quantitative Analysis PDF

18.  The Relation between Time-Series and Cross-Sectional Effects of Idiosyncratic Variance on Stock Returns in G7 Countries, with Robert Savickas, Journal of Banking and Finance, 2010, 34, 1637-1649 PDF

19.  Is the Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence, with Robert Savickas, Zijun Wang and Jian Yang, Journal of Financial and Quantitative Analysis, 2009, 133-154 PDF

20.  Data Revisions and Out-of-Sample Stock Return Predictability, Economic Inquiry, 2009, 47, 81-97 PDF

21.  Average Idiosyncratic Volatility in G7 Countries, with Robert Savickas, Review of Financial Studies, 2008, 21, 1259-1296 PDF

22.  Forecasting Foreign Exchange Rates Using Idiosyncratic Volatility, with Robert Savickas, Journal of Banking and Finance, 2008, 32, 1322–1332 PDF

23.  Investigating the Intertemporal Risk-Return Relation in International Stock Markets with the Component GARCH Model, with Christopher J. Neely, Economics Letters, 2008, 99, 371-74 PDF

24.  Foreign Exchange Volatility is Priced in Equities, with Christopher J. Neely and Jason Higbee, Financial Management, 2008, 37, 769-790 PDF

25.  Market Timing with Aggregate and Idiosyncratic Stock Volatilities, with Jason Higbee, Journal of Portfolio Management, Summer 2007

26.  Uncovering the Risk-Return Relation in the Stock Market, with Robert Whitelaw, Journal of Finance, 2006, 61, 1433-1463 (finalist for the Smith-Breeden Award) PDF

27.  Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns, with Robert Savickas, Journal of Business and Economic Statistics, 2006, 24, 43-56 Click Here for Data PDF

28.  On the Risk-Return Relation in International Stock Markets, Financial Review, 2006, 41, 565-587 PDF

29.  International Transmission of Inflation among G-7 Countries: A Data-Determined VAR Analysis, with Jian Yang and Zijun Wang, Journal of Banking and Finance, 2006, 30, 2681-2700 PDF

30.  Time-Varying Risk Premia and the Cross Section of Stock Returns, Journal of Banking and Finance, 2006, 30, 2087-2107 PDF

31.  On the Out-of-Sample Predictability of Stock Market Returns, Journal of Business, 2006, 79, 645-670 (Abstracted in the CFA Digest, August 2006, Vol. 36 (3), 40-42) PDF

32.  Limited Stock Market Participation and Asset Prices in a Dynamic Economy, Journal of Financial and Quantitative Analysis, 2004, 39, 495-516. (Abstracted in the CFA Digest, February 2005, Vol. 35(1), 47-49) PDF

33.  Stock Prices, Firm Size, and Changes in the Federal Funds Rate Target, Quarterly Review of Economics and Finance, 2004, 44, 487-507 (Abstracted in the CFA Digest May 2005, Vol. 35(2), 79-79) PDF

 

PUBLICATIONS IN ST. LOUIS FEDERAL RESERVE BANK REVIEWS

1. Oil Price Volatility and U.S. Macroeconomic Activity, with Kevin L. Kliesen, Federal Reserve Bank of St. Louis Review, 2005, 87, 669-83

2. A Rational Pricing Explanation for the Failure of the CAPM, Federal Reserve Bank of St. Louis Review, 2004, 86, 23-33

3. Stock Market Returns, Volatility, and Future Output, Federal Reserve Bank of St. Louis Review, 2002, 84, 75-86

4. Why Are Stock Market Returns Correlated with Future Economic Activities, Federal Reserve Bank of St. Louis Review, 2002, 84, 19-34

5. A Simple Model of Limited Stock Market Participation, Federal Reserve Bank of St. Louis Review, 2001, 83, 37-47

 

 

WORK IN PROGRESS

 

  1. Monetary Policy and Equity Market Risk Premia, with Saidat Abidemi Sanni and Yan Yu
  2. Monetary Policy in a Multiple Factor Equity Premium Model, with Qian Lin
  3. Default Risk and Determinants of Corporate Bond Market Premia, with Saidat Abidemi Sanni and Yan Yu
  4. Do Institutional Investors Trade on Mispricing? Evidence from Real Estate Markets, with Shaun Bond and Changyu Yang
  5. Rental Expenditures and Asset Prices, with Abby Pai
  6. Manager-Employee Cultural Gap and Innovations, with Baojun Gao, Ya Liu, and Buhui Qiu

 

TEACHING 

1.     Asset Pricing Theory (Ph.D.)

2.     Fixed Income (Undergraduate)

3.     Fixed Income (MBA and M.S. in Finance)

4.     Global Economics (MBA)

5.     Financial Econometrics II (M.S. in Finance)

6.     Financial Econometrics I (M.S. in Finance)

7.     Empirical Methods in Finance Research (Ph.D.)

8.     Introductory Econometrics (Undergraduate), spring 2007, Washington University in St. Louis

9.     Teaching Assistant, Macroeconomics I and II (Ph.D.), 1998-1999, New York University

10.  Teaching Assistant, Econometrics (M.A.), 1999, New York University

 

 

EDUCATION

Ph.D. in Economics, New York University, 2000

M.A. in Economics, University of New Hampshire, 1994

B.S. in Economics, Wuhan University, 1992

 

 

EXPERIENCE

Professor of Finance, University of Cincinnati, August 2013 to present

Finance PhD program Coordinator, Carl H. Lindner College of Business, University of Cincinnati, August 2014 to August 2022

Briggs Swift Cunningham Professorship of Finance, University of Cincinnati, November 2009 to present

Associate Professor of Finance, University of Cincinnati, September 2010 to August 2013

Assistant Professor of Finance, University of Cincinnati, September 2007 to August 2010

Instructor, Department of Economics, Washington University, Spring 2007

Senior Economist, Federal Reserve Bank of St. Louis, October 2004 to August 2007

Economist, Federal Reserve Bank of St. Louis, July 2000 to September 2004

 

 

HONORS AND AWARDS

Lindner Research Excellence Award, Lindner College of Business, 2019

2012 AAII Best Paper in Investments, Southwest Finance Association

Chicago Quantitative Alliance (CQA) Academic Competition 2nd prize, 2011

Finalist, Smith-Breeden Prize for the best paper in The Journal of Finance, 2006

C. V. Starr Center Dissertation Fellowship, New York University, 1999–2000