Hui Guo

 

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

 

 

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 Prize 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

My recent research is summarized in the article entitled The Risk-Return Relation Puzzle

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

 

 

SELECTED WORKING PAPERS

  1. On the Stock Market Variance-Return or Price Relations: A Tale of Fear and Euphoria, with Qian Lin and Abby Pai, 2022.

    2. The stock market variance-return relation is sometimes positively and sometimes negative.

  2. In Search of Habits Lost in Revisions, with Abby Pai, 2022

    3. The surplus consumption ratio forecasts stock market returns when it is measured using real-time-vintage PCE

  3. Rediscovering the CCAPM Lost in Data Revision, with Abby Pai, 2021

    4. CCAPM explains the cross-section of stock retruns when using the real-time-vintage PCE

  4. Uncovering China's Stock Market Risk Return Relation: Crazy Casino Punters or Risk Averse Investors?, with Hang Cheng and Yongdong Shi, 2021
  5. Good Jumps, Bad Jumps, and Conditional Equity Premium, with Kent Wang and Hao Zhao, February 2015.
  6. A Novel Measure of Conditional Value Premium, with Qing Bai, March, 2015
  7. 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.     Systematic Mispricing: Evidence from Real Estate Markets, with Shaun Bond and Changyu Yang, The Journal of Real Estate Finance and Economics, forthcoming

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

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

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

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

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

  1. Time-Varying Beta and the Value Premium, with Caojiang Wu and Yan Yu, August 2017, Journal of Financial and Quantitative Analysis.
  2. A Better Measure of Institutional Informed Trading, with Buhui Qiu, 2016, the Contemporary Accounting Research
  3. Variable Selection and Corporate Bankruptcy Forecasts, with Shaonan Tian and Yan Yu, 2015, Journal of Banking and Finance
  4. Options-Implied Variance and Future Stock Returns, with Buhui Qiu, 2014, (Chicago Quantitative Alliance Academic Competition 2nd prize, 2011),  Journal of Banking and Finance
  5. On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns, with Haim Kassa and Mike Ferguson, 2014 (2012 AAII Best Paper in Investments, Southwest Finance Association),   Journal of Financial and Quantitative Analysis
  6. Time-Varying Risk-Return Tradeoff in the Stock Market, with Z. Wang and J. Yang, Journal of Money, Credit, and Banking, 2013,
  7. 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.
  8. Accruals and Conditional Equity Premium, with Xiaowen Jiang, Journal of Accounting Research, 2011, 49, 187-221
  9. IPO First-Day Return and Ex Ante Equity Premium, 2011, Journal of Financial and Quantitative Analysis
  10. 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
  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. Data Revisions and Out-of-Sample Stock Return Predictability, Economic Inquiry, 2009, 47, 81-97 PDF
  13. Average Idiosyncratic Volatility in G7 Countries, with Robert Savickas, Review of Financial Studies, 2008, 21, 1259-1296 PDF
  14. Forecasting Foreign Exchange Rates Using Idiosyncratic Volatility, with Robert Savickas, Journal of Banking and Finance, 2008, 32, 1322–1332 PDF
  15. 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
  16. Foreign Exchange Volatility is Priced in Equities, with Christopher J. Neely and Jason Higbee, Financial Management, 2008, 37, 769-790 PDF
  17. Market Timing with Aggregate and Idiosyncratic Stock Volatilities, with Jason Higbee, Journal of Portfolio Management, Summer 2007
  18. 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
  19. 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
  20. On the Risk-Return Relation in International Stock Markets, Financial Review, 2006, 41, 565-587 PDF
  21. 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
  22. Time-Varying Risk Premia and the Cross Section of Stock Returns, Journal of Banking and Finance, 2006, 30, 2087-2107 PDF
  23. 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
  24. 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
  25. 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. Do Institutional Investors Trade on Mispricing? Evidence from Real Estate Markets, with Shaun Bond and Changyu Yang
  2. The IPO-Beta Anomaly, with Hang Cheng, Yongdong Shi, and Haomiao Wang
  3. Rental Expenditures and Asset Prices, with Abby Pai
  4. Searching for the Best Conditional Equity Premium Model, with Saidat Abidemi Sanni, and Yan Yu
  5. 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