- PhD, MSc, London School of Economics (LSE)
- B.A., Sun Yat-sen University
Dr Jiantao HUANG received his PhD degree in finance from the London School of Economics in 2022. He also holds a master degree from LSE and a bachelor degree in economics from Sun Yat-sen University. He joined The University of Hong Kong in 2022.
- Empirical Asset Pricing
- Applied Bayesian Econometrics
- “Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models” with Svetlana Bryzgalova and Christian Julliard, Journal of Finance, 78(1), 487-557.
We propose a novel framework for analyzing linear asset pricing models: simple, robust, and applicable to high-dimensional problems. For a (potentially misspecified) stand-alone model, it provides reliable price of risk estimates for both tradable and nontradable factors, and detects those weakly identified. For competing factors and (possibly nonnested) models, the method automatically selects the best specification—if a dominant one exists—or provides a Bayesian model averaging–stochastic discount factor (BMA-SDF), if there is no clear winner. We analyze 2.25 quadrillion models generated by a large set of factors and find that the BMA-SDF outperforms existing models in- and out-of-sample.