Hui Guo, PhD
Associate Professor/Briggs Swift Cunningham Professorship of FinanceProfessional Summary
Hui Guo is an Associate Professor of Finance at the College of Business. He currently holds Briggs Swift Cunningham Professorship of Finance. He has a Ph.D. in economics from New York University.
Contact Information
Phone:
513-556-7077
Fax:
513-556-0979
Teaching Interest
- empirical mehtods in finance, fixed income, international economics.
Research Interest
- http://homepages.uc.edu/~guohu/
- Professor Guo's research interests include the relation between risk and return in the stock market, stock return predictability, idiosyncratic volatility, and the dynamics of stock market volatility. He has published in academic journals such as the Journal of Finance, the Review of Financial Studies, the Journal of Accounting Research, the Journal of Business, the Journal of Financial and Quantitative Analysis, the Journal of Business and Economics Statistics, the Financial Management, and the Journal of Banking and Finance, as well as practitioner journals such as the Journal of Portfolio Management. His article on the risk-return tradeoff in the stock market was nominated for the 2006 Smith-Breeden Prize for the best article published in the Journal of Finance.
Organization:
Federal Reserve Bank of St. Louis
Title:
Economist and Senior Economist
End Date:
2007-08-17
Organization:
Southwest Finance Association
Name:
2012 AAII Best Paper in Investments
Year Received:
2012
Organization:
Chicago Quantitative Alliance
Name:
Chicago Quantitative Alliance Academic Competition Second Prize Award
Year Received:
2011
Organization:
American Finance Association
Name:
Finalist for Smith Breeden Prize
Year Received:
2007
Organization:
Department of Economics, New York University
Name:
C. V. Starr Center Dissertation Fellowship
Year Received:
1999
Organization:
New York University
Location:
NY, NY
Major:
Economics
Dissertation:
Business Conditions and Asset Prices: Evidence and Theory
Completed:
2000
Degree:
Ph D
Organization:
University of New Hampshire
Location:
Durham, New Hampshire
Major:
Economics
Completed:
1994
Degree:
MA
Organization:
Wuhan University
Location:
Wuhan, China
Major:
Economics
Completed:
1992
Degree:
BS
Published Contributions
Title:
IPO First-Day Return and Ex Ante Equity Premium
Page(s):
871-905
Author(s):
Guo, Hui
Year Published:
2011
Publisher:
Journal of Financial and Quantitative Analysis/Cambridge University Press
Publicly available:
Yes
Title:
Accruals and Conditional Equity Premium
Page(s):
187-221
Author(s):
Guo, Hui
Jiang, Xiaowen
Jiang, Xiaowen
Year Published:
2011
Publisher:
Journal of Accounting Research/University of Chicago
Publicly available:
Yes
Title:
The Relation between Time-Series and Cross-Sectional Effects of Idiosyncratic Variance on Stock Returns in G7 Countries
Page(s):
1637-1649
Author(s):
Guo, Hui
Savickas, Robert
,
,
Savickas, Robert
,
,
Year Published:
2010
Publisher:
Journal of Banking an Finance/Elsevier
Publicly available:
Yes
Title:
Data Revisions and Out-of-Sample Stock Return Predictability
Page(s):
81-97
Author(s):
Guo, Hui
Year Published:
2009
Publisher:
Economic Inquiry
Title:
Is the Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence
Page(s):
133-154
Author(s):
Guo, Hui
Savickas, Robert
Yang, Jian
Wang, Zijun
Savickas, Robert
Yang, Jian
Wang, Zijun
Year Published:
2009
Publisher:
Journal of Financial and Quantitative Analysis
Title:
Foreign Exchange Volatility is Priced in Equities
Page(s):
769-790
Author(s):
Guo, Hui
Neely, chris
Higbee, Jason
Neely, chris
Higbee, Jason
Year Published:
2008
Publisher:
Financial Management
Title:
Average Idiosyncratic Volatility in G7 Countries
Page(s):
1259-1296
Author(s):
Guo, Hui
Savickas, Robert
Savickas, Robert
Year Published:
2008
Publisher:
Review of Financial Studies
Title:
Forecasting Foreign Exchange Rates Using Idiosyncratic Volatility
Page(s):
1322-1332
Author(s):
Guo, Hui
Savickas, Robert
Savickas, Robert
Year Published:
2008
Publisher:
Journal of Banking and Finance
Title:
Investigating the Intertemporal Risk-Return Relation in International Stock Markets with the Component GARCH Model
Page(s):
371-374
Author(s):
Guo, Hui
Neely, Chris
Neely, Chris
Year Published:
2008
Publisher:
Economics Letters
Title:
Market Timing with Aggregate and Idiosyncratic Stock Volatilities
Author(s):
Guo, Hui
Higbee, Jason
,
Higbee, Jason
,
Year Published:
2007
Publisher:
Journal of Portfolio Management
Title:
International Transmission of Inflation among G-7 Countries: A Data-Determined VAR Analysis
Page(s):
2681-2700
Author(s):
Guo, Hui
Yang, Jian
Wang, Zijun
Yang, Jian
Wang, Zijun
Year Published:
2006
Publisher:
Journal of Banking and Finance,
Title:
On the Out-of-Sample Predictability of Stock Market Returns
Page(s):
645-670
Author(s):
Guo, Hui
Year Published:
2006
Publisher:
Journal of Business
Title:
On the Risk-Return Relation in International Stock Markets
Page(s):
565-587
Author(s):
Guo, Hui
Year Published:
2006
Publisher:
Financial Review
Title:
Time-Varying Risk Premia and the Cross Section of Stock Returns
Page(s):
2087-2107
Author(s):
Guo, Hui
Year Published:
2006
Publisher:
Journal of Banking and Finance
Title:
Uncovering the Risk-Return Relation in the Stock Market
Page(s):
1433-1463
Author(s):
Guo, Hui
Whitelaw, Robert
Whitelaw, Robert
Year Published:
2006
Publisher:
Journal of Finance
Title:
Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns
Page(s):
43-56
Author(s):
Guo, Hui
Savickas, Robert
Savickas, Robert
Year Published:
2006
Publisher:
Journal of Business and Economic Statistics
Publicly available:
Yes
Title:
Oil Price Volatility and U.S. Macroeconomic Activity,
Page(s):
669-83
Author(s):
Guo, Hui
Kliesen, Kevin
Kliesen, Kevin
Year Published:
2005
Publisher:
Federal Reserve Bank of St. Louis Review
Publicly available:
Yes
Title:
A Rational Pricing Explanation for the Failure of the CAPM
Page(s):
23-33
Author(s):
Guo, Hui
Year Published:
2004
Publisher:
Federal Reserve Bank of St. Louis Review,
Publicly available:
Yes
Title:
Limited Stock Market Participation and Asset Prices in a Dynamic Economy
Page(s):
495-516
Author(s):
Guo, Hui
Year Published:
2004
Publisher:
Journal of Financial and Quantitative Analysis
Publicly available:
Yes
Title:
Stock Prices, Firm Size, and Changes in the Federal Funds Rate Target
Page(s):
487-507
Author(s):
Guo, Hui
Year Published:
2004
Publisher:
Quarterly Review of Economics and Finance
Publicly available:
Yes
Title:
Stock Market Returns, Volatility, and Future Output
Page(s):
75-86
Author(s):
Guo, Hui
Year Published:
2002
Publisher:
Federal Reserve Bank of St. Louis Review
Publicly available:
Yes
Title:
Why Are Stock Market Returns Correlated with Future Economic Activities
Page(s):
19-34
Author(s):
Guo, Hui
Year Published:
2002
Publisher:
Federal Reserve Bank of St. Louis Review
Publicly available:
Yes
Title:
A Simple Model of Limited Stock Market Participation
Page(s):
37-47
Author(s):
Guo, Hui
Year Published:
2001
Publisher:
Federal Reserve Bank of St. Louis Review
Publicly available:
Yes
Research in progress
Title:
Can a Flexible Conditional CAPM Explain Asset Pricing Anomalies?
Description:
CAPM model is the backbone of asset pricing theory in Finance. However, evidences show the unconditional CAPM may not explain the asset pricing anomalies such as the well-known value premium, momentum premium, etc. We propose a flexible conditional version of CAPM and conduct statistical test to infer the validity of the model. We also employ variable selection procedure in selecting the significant state variables in explaining Beta.
Status:
On-Going
Research Type:
Scholarly
Title:
Stock Repurchase and Short-run Reversal
Status:
On-Going
Research Type:
Scholarly
Title:
On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns
Location:
Boston
Year:
2012
Title:
On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns
Location:
New Orleans
Year:
2012
Title:
Aggregate Distress Risk is Priced with a Positive Premium
Organization:
American Accounting Association
Location:
Chciago
Year:
2012
Title:
On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns
Location:
Denver
Year:
2011
Title:
On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns
Location:
Denver
Year:
2011
Title:
Stock Splits and Conditional Value Premium
Organization:
FMA
Location:
Denver
Year:
2011
Title:
Options-Implied Variance and Future Stock Returns
Organization:
Xiamen University
Location:
Xiamen, China
Year:
2011
Title:
Options-Implied Variance and Future Stock Returns
Organization:
Wuhan University
Location:
Wuhan, China
Year:
2011
Title:
Stock Splits and Conditional Value Premium
Organization:
EFA
Location:
Savannah
Year:
2011
Title:
Stock Splits and Conditional Value Premium
Organization:
MFA
Location:
Chicago
Year:
2011
Title:
Stock Splits and Conditional Value Premium
Organization:
Department of Finance, Kentucky University
Location:
Kentucky University
Year:
2011
Title:
Stock Splits and Conditional Value Premium
Organization:
School of Management, Xiamen University
Location:
Xiamen, China
Year:
2010
Title:
Does Aggregate Relative Risk Aversion Change over Time?
Organization:
Wang Yanan Institute of Economic Research, Xiamen University
Location:
Xiamen University
Year:
2010
Title:
Aggregate Distress Risk is Priced with a Positive Premium
Organization:
CRSP
Location:
Chciago
Year:
2010
Title:
Aggregate Distress Risk is Priced with a Positive Premium
Organization:
Financial Management Association
Location:
New York City
Year:
2010
Title:
Average Idiosyncratic Variance and Expected Stock Market Returns: Some Further Evidence
Organization:
Northern Illinois University
Location:
DeKalb, Illilois
Year:
2010
Title:
Aggregate Distress Risk is Priced with a Positive Premium
Organization:
Ohio University
Location:
Athen, OH
Year:
2010
Title:
Uncovering the Relation between Aggregate Stock Illiquidity and Expected Excess Market Returns
Organization:
EDHEC
Location:
NICE, FRANCE
Year:
2010
Title:
Uncovering the Relation between Aggregate Stock Illiquidity and Expected Excess Market Returns
Organization:
hong kong university
Location:
hong knog, china
Year:
2009
Title:
Accruals and Conditional Equity Premium
Organization:
Financial Management Association
Location:
Reno,Navada
Year:
2009
Title:
Uncovering the Relation between Aggregate Stock Illiquidity and Expected Excess Market Returns
Organization:
Wuhan University
Location:
Wuhan, China
Year:
2009
Title:
IPO First-Day Return and Ex Ante Equity Premium
Organization:
Tsinghua University and MIT
Location:
Guangzhou, China
Year:
2009
Title:
Uncovering the Relation between Aggregate Stock Illiquidity and Expected Excess Market Returns
Organization:
Chicago Quantitative Alliance
Location:
chicago, Illinois
Year:
2009
Title:
Accruals and conditional equity premium
Organization:
AAA
Location:
New Orleans, LA
Year:
2009
Organization:
European Financial Management Association
Year:
2007
Organization:
Finanical Management Association
Year:
2007
Organization:
Financial Management Association
Year:
2007
Organization:
Hong Kong University of Science and Technology
Location:
Hong Kong, China
Year:
2007
Organization:
loyola university in Chicago
Year:
2007
Organization:
Nanyang Technological University
Location:
Singapore
Year:
2007
Organization:
Singapore Management University
Location:
Singapore
Year:
2007
Organization:
university of cincinnati
Year:
2007
Organization:
Univerisyt of Cincinnati
Year:
2007
Organization:
University of Kansas
Year:
2007
Title:
Average Idiosyncratic Variance and Expected Stock Market Returns: Some Further Evidence
Organization:
Hong Kong University
Location:
Hong Kong
Year:
2007
Title:
The Relation between Time-Series and Cross-Sectional Effects of Idiosyncratic Variance on Stock Returns in G7 Countries
Organization:
Copenhagen Business School
Location:
Copenhagen
Year:
2007
Organization:
University of Chicago
Year:
2006
Organization:
Financial Management Association
Year:
2006
Organization:
Financial Management Association
Year:
2006
Location:
University of Missouri
Year:
2006
Organization:
university of Missouri at Columbia
Year:
2006
Organization:
Washington Area Finance Association
Year:
2006
Organization:
Eastern Finance Association
Year:
2005
Organization:
George Washington University
Year:
2005
Organization:
Financial Management Association
Location:
Chicago
Year:
2005
Title:
Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns
Organization:
American Finance Association
Location:
Philadelphia, PA
Year:
2005
Organization:
Financial Management Association
Year:
2004
Location:
University of Missouri Columbia
Year:
2004
Organization:
University of New Hampshire
Year:
2004
Organization:
Eurpoean Financial Management Association
Year:
2003
Organization:
Financial Management Association
Year:
2003
Organization:
Financial Management Association
Year:
2003
Organization:
George Washington University
Year:
2003
Title:
Time-Varying Risk Premia and the Cross Section of Stock Returns
Organization:
University of Missouri at Columbia
Location:
Columbia, MO
Year:
2003
Organization:
midwest Finance association
Year:
2003
Organization:
Eastern Finance Association
Year:
2002
Year:
2002
Location:
University of Misouri at Columbia
Year:
2002
Organization:
Washington Area Finance Association
Year:
2002
Title:
Limited Stock Market Participation and Asset Prices in a Dynamic Economy
Organization:
Federal Reserve System
Location:
Washington D.C.
Year:
2001
Organization:
federal reserve bank of dallas
Year:
2000
Organization:
Federal Reserve Bank of St. louis
Year:
2000
