January 2020

 

 

Hui Guo

Department of Finance and Real Estate

College of Business, University of Cincinnati

418 Carl H. Lindner Hall, PO Box 210195

Cincinnati, Ohio 45221-0195

Phone: (513) 556-7077

Fax: (513) 556-0979

Email: hui.guo@uc.edu

 

 

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

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

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

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 Award for the best paper in The Journal of Finance, 2006

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

 

 

RESEARCH INTERESTS

Financial economics, asset pricing, international finance, institutional trading, macroeconomics, monetary economics, and applied quantitative methods

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

 

 

PUBLICATIONS IN ACADEMIC JOURNALS

  

1.     Market Illiquidity and Market Returns, with Sandra Mortal, Robert Savickas, and Robert Wood, 2017, Financial Management

 

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

 

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

 

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

 

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

 

6.     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.  Some main SAS codes for constructing EGARCH volatility are available at Haim Kassa website

 

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

 

8.     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.

 

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

 

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

 

11.  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

 

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

 

13.  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

 

14.  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

 

15.  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

 

16.  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

 

17.  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

 

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

 

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

 

20.  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

 

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

 

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

 

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

 

24.  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

 

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

 

26.  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

 

 

SELECTED WORKING PAPERS

 

1.     Uncovering China's Stock Market Risk Return Relation: Crazy Casino Punters or Risk Averse Investors?, with Hang Cheng and Yongdong Shi, 2018

 

2.     On the Stock Market Variance-Return or Price Relations: A Tale Of Two Variances, with Qian Lin and Abby Pai, 2018

 

3.     What Drives Aggregate Investment: Investor Sentiment or Time-Varying Equity Premium?, with Buhui Qiu, August 2016

 

4.     Good Jumps, Bad Jumps, and Conditional Equity Premium, with Kent Wang and Hao Zhao, February 2015.

 

5.     A Novel Measure of Conditional Value Premium, with Qing Bai, March, 2015

 

6.     A Simple Model that Helps Explaining the Accruals Anomaly, with Paulo Maio, February 2015

 

7.     Aggregate Distress Risk and Equity Returns, with Xiaowen Jiang, July 2015

 

8.     On the Cross Section of Conditionally Expected Stock Returns, with Robert Savickas

 

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

 

 

WORK IN PROGRESSES

 

1.               Unstable relation between the dividend yield and market volatility

2.               Microstructure noise and asset pricing

3.               Volatility of aggregate housing markets

 

 

 

PROFESSIONAL ACTIVITIES

 

Recent Presentations and Discussions

 

 

Invited Academic Talks

Federal Reserve Bank of St. Louis (2000), Federal Reserve Bank of Dallas (2000), Fannie Mae (2000), George Washington University (2003), University of New Hampshire (2004), George Washington University (2005, 2012), University of Missouri at Columbia (2006), University of Cincinnati (2007), Loyola University in Chicago (2007), Hong Kong University (2007, 2009), Hong Kong University of Science and Technology (2007), Nanyang Technological University (2007), Singapore Management University (2007), University of Kansas (2007), University of Cincinnati (Mathematics Department, 2007), Wuhan University (2009, 2011, 2013, 2015 (2)), EDHEC (2010), Ohio University (2010), Northern Illinois University (2010), Xiamen University, WISE (2010, 2011) and SOM (2010), University of Kentucky (2011), Baruch College (2011), Texas A&M (Econ, 2013), Rotterdam School of Management (2013), University of Dayton (2014), Dongbei University of Finance and Economics (2015), Central University of Finance and Economics (2015), Shanghai University of Finance and Economics (2015), Fudan University (2015), University of Sydney (2016), Louisiana State University (2017, scheduled)

 

 

Conference Presentations

Northern Finance Association Meetings (2014), Federal Reserve System Macro Meeting (2001), Financial Management Association Meeting (2002-2007, 2009-2011, 2017), Kansas-Missouri Joint Seminar on Stochastic Theory and Applications (2003), American Finance Association Meeting (2005, 2016), Missouri Economics Conference (2002, 2004, 2006), Financial Management Association European Meeting (2003, 2006, 2007), European Financial Management Association Meeting (2003, 2007), Eastern Finance Association Meeting (2002, 2005), Midwest Finance Association Meeting (2003), Washington Area Finance Association Meeting (2002, 2006), CRSP Forum (2006, 2010), conference on return predictability in the short and long run: predictive variables, econometric issues, and relations to asset pricing, asset allocation and the macro-economy at the Copenhagen Business School (2007), Chicago Quantitative Alliance 2009 Spring Meetings, China International Conference in Finance (2009), AAA FAR meetings (2009, 2012), and the 3rd NYU Economics Alumni Conference  (2015), NBER/NSF time-series conference (scheduled)

 

 

Conference Discussion

Financial Market Risk Premiums: Time Variation and Macroeconomic Links, Federal Reserve Boards, July 21-22, 2005, Federal Reserve System Macro Meeting (2005), Financial Management Association Meeting (2002-2006), Financial Management Association European Meeting (2003, 2006), European Financial Management Association Meeting (2003), Eastern Finance Association Meeting (2002, 2005), Midwest Finance Association Meeting (2003), Washington Area Finance Association Meeting (2002, 2006), Caesarea Center for Capital Markets and Risk Management Annual Conference (2007, 2009), Midwest Finance Association Conference (2017)

 

 

Program Committee

Financial Management Association Meeting, 2004-2006

 

 

Referee

American Economic Review, Accounting Review, Journal of Political Economy, Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Management Science, Review of Finance, Review of Economics and Statistics, Journal of Business and Economics Statistics, Journal of Applied Econometrics, Financial Management, Journal of Banking and Finance, Journal of Money, Credit, and Banking, Review of Finance, Journal of Economic Dynamics and Control, Journal of Empirical Finance, Journal of Financial Econometrics, Journal of Financial Intermediation, Review of Economic Dynamics, Journal of International Economics, Journal of International Money and Finance, Journal of Macroeconomics, Macroeconomics Dynamics, Applied Financial Economics, Economic Inquiry, Financial Review, International Journal of Business and Economics, International Review of Economics and Finance, Journal of Economics and Business, Quarterly Review of Economics and Finance, Review of Quantitative Finance and Accounting, Review of Financial Economics, Southern Economic Journal, Journal of Futures Markets, Quantitative Finance, Research Grant Reviewer (City University of New York, 2004, 2005), Review Panel ( Ph.D. textbooks for Addison-Wesley, 2002, 2004), Social Sciences and Humanities Research Council of Canada (2010), HK Research Grants Council (2012, 2015 (two))

 

 

 

SERVICES

Research Committee, 2012 to present, Carl H. Lindner College of Business, University of Cincinnati

Master Program Committee, 2010 to 2012, Carl H. Lindner College of Business, University of Cincinnati

 

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