Raymond Kan

University of Toronto - Rotman School of Management

Professor

105 St. George Street

Toronto, Ontario M5S3E6

Canada

  • University of Toronto - Rotman School of Management

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    • Tel: 416-978-4291
    • Fax: 416-971-3048
SCHOLARLY PAPERS

38

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156

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72

Scholarly Papers (38)

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1.

Tests of Mean-Variance Spanning

AFA 2001 New Orleans Meetings, OLIN Working Paper No. 99-05, Rotman School of Management Working Paper
Number of pages: 66 Posted: 06 Sep 2000 Last Revised: 14 Mar 2008
Raymond Kan and Guofu Zhou
University of Toronto - Rotman School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 1,218 (23,616)
Citation 22

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2.

Optimal Portfolio Choice with Estimation Risk: No Risk-free Asset Case

29th Australasian Finance and Banking Conference 2016, Rotman School of Management Working Paper No. 2819254
Number of pages: 48 Posted: 10 Feb 2016 Last Revised: 06 Jan 2021
Raymond Kan, Xiaolu Wang and Guofu Zhou
University of Toronto - Rotman School of Management, Iowa State University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,101 (27,358)
Citation 11

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portfolio choice, estimation risk, mean-variance optimization, optimal combining

3.

Model Comparison with Sharpe Ratios

Rotman School of Management Working Paper No. 3013149
Number of pages: 51 Posted: 04 Aug 2017 Last Revised: 13 Mar 2019
Francisco Barillas, Raymond Kan, Cesare Robotti and Jay A. Shanken
University of New South Wales, University of Toronto - Rotman School of Management, Imperial College Business School and Emory University - Goizueta Business School
Downloads 909 (35,874)
Citation 19

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4.

Stock Return Autocorrelations and Expected Option Returns

Number of pages: 60 Posted: 18 Apr 2019 Last Revised: 04 Oct 2021
Yoontae Jeon, Raymond Kan and Gang Li
Ryerson University - Ted Rogers School of Management, University of Toronto - Rotman School of Management and The Chinese University of Hong Kong, CUHK Business School
Downloads 714 (49,814)

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stock return autocorrelation, expected option returns, cross-section of option returns, option portfolios

5.

On the Distribution of the Sample Autocorrelation Coefficients

Number of pages: 52 Posted: 24 Nov 2008 Last Revised: 10 Aug 2009
Raymond Kan and Xiaolu Wang
University of Toronto - Rotman School of Management and Iowa State University
Downloads 616 (60,269)
Citation 1

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Sample autocorrelation coefficient, Finite sample distribution, Rank one update

6.

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

Downloads 576 ( 65,640)
Citation 42

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

Journal of Finance, Forthcoming
Number of pages: 101 Posted: 22 Apr 2012 Last Revised: 05 Jul 2014
Raymond Kan, Cesare Robotti and Jay A. Shanken
University of Toronto - Rotman School of Management, Warwick Business School and Emory University - Goizueta Business School
Downloads 533 (71,608)
Citation 32

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Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

NBER Working Paper No. w15047
Number of pages: 62 Posted: 08 Jun 2009 Last Revised: 12 Feb 2022
Raymond Kan, Cesare Robotti and Jay A. Shanken
University of Toronto - Rotman School of Management, Warwick Business School and Emory University - Goizueta Business School
Downloads 43 (557,456)
Citation 5

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7.

On the Economic Value of Alphas

Number of pages: 77 Posted: 15 Mar 2011 Last Revised: 28 May 2019
Raymond Kan and Xiaolu Wang
University of Toronto - Rotman School of Management and Iowa State University
Downloads 546 (70,205)

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Alpha, optimal portfolio, estimation risk, combining portfolio

8.

In-Sample and Out-of-Sample Sharpe Ratios of Multi-Factor Asset Pricing Models

Number of pages: 68 Posted: 03 Oct 2019 Last Revised: 21 Mar 2022
Raymond Kan, Xiaolu Wang and Xinghua Zheng
University of Toronto - Rotman School of Management, Iowa State University and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 474 (83,487)
Citation 3

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Multi-Factor Asset Pricing Models; Sharpe Ratio; Out-of-Sample Performance

9.

Exact Variance Ratio Test with Overlapping Data

Number of pages: 66 Posted: 20 Mar 2006 Last Revised: 15 Jan 2011
Raymond Kan
University of Toronto - Rotman School of Management
Downloads 463 (85,972)
Citation 2

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Variance Ratio test, Finite Sample Distribution

10.

The Distribution of the Sample Minimum-Variance Frontier

Number of pages: 60 Posted: 18 Mar 2006
Raymond Kan and Daniel R. Smith
University of Toronto - Rotman School of Management and Queensland University of Technology - School of Economics and Finance
Downloads 366 (112,613)
Citation 8

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Minimum-variance frontier, Efficiency set

11.

Sectoral Labor Reallocation and Return Predictability

Rotman School of Management Working Paper No. 2602215, Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 61 Posted: 05 May 2015 Last Revised: 19 Oct 2021
Esther Eiling, Raymond Kan and Ali Sharifkhani
University of Amsterdam - Amsterdam Business School, University of Toronto - Rotman School of Management and Northeastern University
Downloads 365 (112,959)
Citation 1

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Financial Markets and the Macroeconomy, Return Predictability, Sectoral Shifts, Unemployment, Information Diffusion

12.

What Likely Range of My Wealth Will Be?

Number of pages: 20 Posted: 19 Oct 2008 Last Revised: 07 Feb 2009
Raymond Kan and Guofu Zhou
University of Toronto - Rotman School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 298 (140,437)
Citation 1

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long-term investment, median, quantiles

13.

The Exact Distribution of the Hansen-Jagannathan Bound

Number of pages: 62 Posted: 21 Dec 2007 Last Revised: 01 Apr 2015
Raymond Kan and Cesare Robotti
University of Toronto - Rotman School of Management and Warwick Business School
Downloads 285 (147,115)
Citation 3

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Hansen-Jagannathan Bound, No Arbitrage, Positivity, Exact Distribution

14.

On Moments of Folded and Truncated Multivariate Normal Distributions

Number of pages: 22 Posted: 18 Mar 2016 Last Revised: 28 Mar 2016
Raymond Kan and Cesare Robotti
University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 277 (151,409)
Citation 5

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Moments, Multivariate Normal Distribution, Folded Normal Distribution, Truncated Normal Distribution

15.

Specification Tests of Asset Pricing Models Using Excess Returns

FRB of Atlanta Working Paper No. 2006-10, EFA 2007 Ljubljana Meetings Paper, Journal of Empirical Finance, Forthcoming
Number of pages: 47 Posted: 01 Aug 2006 Last Revised: 06 Jul 2014
Cesare Robotti and Raymond Kan
Warwick Business School and University of Toronto - Rotman School of Management
Downloads 233 (179,536)
Citation 6

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Hansen-Jagannathan distance, excess returns, stochastic discount factors

16.

Model Comparison Using the Hansen-Jagannathan Distance

Downloads 181 (226,063)

Model Comparison Using the Hansen-Jagannathan Distance

Review of Financial Studies, Forthcoming , FRB of Atlanta Working Paper No. 2007-4
Number of pages: 51 Posted: 31 Jan 2007 Last Revised: 06 Jul 2014
Raymond Kan and Cesare Robotti
University of Toronto - Rotman School of Management and Warwick Business School
Downloads 181 (226,121)
Citation 2

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Hansen-Jagannathan Distance, Asset-pricing Models, Model Misspecification, Risk Premia

Model Comparison Using the Hansen-Jagannathan Distance

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3449-3490, 2009
Posted: 08 Sep 2009
Raymond Kan and Cesare Robotti
University of Toronto - Rotman School of Management and Warwick Business School

Abstract:

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G12

17.

On the Moments of Ratios of Quadratic Forms in Normal Random Variables

Journal of Multivariate Analysis, 117, 229-245, 2013
Number of pages: 31 Posted: 08 Feb 2012 Last Revised: 18 Feb 2016
Yong Bao and Raymond Kan
Purdue University and University of Toronto - Rotman School of Management
Downloads 175 (232,634)
Citation 1

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Moments, Ratio of Quadratic Forms, Multivariate Normal Distribution

18.

Too Good to Be True? Fallacies in Evaluating Risk Factor Models

FRB Atlanta Working Paper No. 2017-9
Number of pages: 70 Posted: 03 Jan 2018
Nikolay Gospodinov, Raymond Kan and Cesare Robot
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and University of Georgia
Downloads 148 (267,401)
Citation 1

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asset pricing, spurious risk factors, unidentified models, model misspecification, continuously updated GMM, maximum likelihood, goodness-of-fit, rank test

19.

Properties of the Inverse of a Noncentral Wishart Matrix

Number of pages: 27 Posted: 11 May 2019 Last Revised: 24 May 2021
Grant Hillier and Raymond Kan
University of Southampton - Division of Economics and University of Toronto - Rotman School of Management
Downloads 142 (276,294)

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Noncentral Wishart; Invariance; Zonal Polynomials

20.

On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint

Number of pages: 53 Posted: 13 Jan 2010 Last Revised: 05 Jul 2014
Nikolay Gospodinov, Cesare Robotti and Raymond Kan
Federal Reserve Bank of Atlanta, Warwick Business School and University of Toronto - Rotman School of Management
Downloads 117 (319,272)
Citation 11

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Hansen-Jagannthan distrance, no-arbitrage constraint, model comparison

21.

On the Estimation of Asset Pricing Models Using Univariate Betas

Number of pages: 12 Posted: 22 Jan 2009 Last Revised: 25 Jul 2010
Raymond Kan and Cesare Robotti
University of Toronto - Rotman School of Management and Warwick Business School
Downloads 113 (327,163)
Citation 1

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Asset Pricing Models, Cross-Sectional Regressions, Simple Regression Betas, Model Misspecification

22.

Finite Sample Analysis of Predictive Regressions with Long-Horizon Returns

Rotman School of Management Working Paper No. 3790052
Number of pages: 101 Posted: 23 Feb 2021 Last Revised: 12 Nov 2021
Raymond Kan and Jiening Pan
University of Toronto - Rotman School of Management and Nankai University
Downloads 103 (348,312)

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Predictive regression, finite sample distribution, local to unit root

23.

Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models

Federal Reserve Bank of Atlanta Working Paper No. 2011-08
Number of pages: 48 Posted: 02 Apr 2011 Last Revised: 04 Jul 2014
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Warwick Business School
Downloads 95 (366,830)
Citation 3

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asset pricing models, Hansen-Jagannathan distance, model selection, model misspecification

24.

Spurious Inference in Unidentified Asset-Pricing Models

FRB Atlanta Working Paper No. 2014-12, Rotman School of Management Working Paper No. 2580391
Number of pages: 62 Posted: 04 Apr 2015
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 94 (369,327)
Citation 4

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asset pricing, irrelevant risk factors, unidentified models, model misspecification, continuously updated GMM, maximum likelihood, rank test, test for overidentifying restrictions

25.

Misspecification-Robust Inference in Linear Asset Pricing Models with Irrelevant Risk Factors

FRB Atlanta Working Paper No. 2013-9, Rotman School of Management Working Paper No. 2579821
Number of pages: 87 Posted: 22 Mar 2015
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 89 (382,104)
Citation 22

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asset pricing models, lack of identification, model misspecification, GMM estimation

26.

Optimal Portfolio Choice with Benchmark

Rotman School of Management Working Paper No. 3760640
Number of pages: 57 Posted: 23 Feb 2021
Raymond Kan and Xiaolu Wang
University of Toronto - Rotman School of Management and Iowa State University
Downloads 86 (390,255)

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portfolio choice; estimation errors; benchmark efficiency;

27.

Robust Inference in Linear Asset Pricing Models

Rotman School of Management Working Paper No. 2179620
Number of pages: 90 Posted: 23 Nov 2012 Last Revised: 07 Jun 2016
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Warwick Business School
Downloads 81 (404,140)

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Asset Pricing Models, Model Misspecification, Weak Identification, Useless Factor

28.

Computationally Efficient Recursions for Top-Order Invariant Polynomials with Applications

Econometric Theory, Forthcoming
Number of pages: 39 Posted: 20 Mar 2007 Last Revised: 01 Mar 2008
Raymond Kan, Xiaolu Wang and Grant Hillier
University of Toronto - Rotman School of Management, Iowa State University and University of Southampton - Division of Economics
Downloads 73 (428,499)
Citation 3

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Invariant polynomials, quadratic form

29.

Generating Functions and Short Recursions, with Applications to the Moments of Quadratic Forms in Noncentral Normal Vectors

Number of pages: 44 Posted: 28 May 2009 Last Revised: 23 Mar 2016
Grant Hillier, Raymond Kan and Xiaolu Wang
University of Southampton - Division of Economics, University of Toronto - Rotman School of Management and Iowa State University
Downloads 72 (431,710)
Citation 4

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Generating functions, Quadratic forms, Ratio of quadratic forms

30.

Further Results on the Limiting Distribution of GMM Sample Moment Conditions

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 31 Posted: 15 Jul 2010 Last Revised: 05 Jul 2014
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Warwick Business School
Downloads 66 (451,943)
Citation 3

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GMM

31.

A Note on the Estimation of Asset Pricing Models Using Simple Regression Betas

FRB Atlanta Working Paper No. 2009-12, Rotman School of Management Working Paper No. 2482325
Number of pages: 25 Posted: 18 Mar 2015
Raymond Kan and Cesare Robotti
University of Toronto - Rotman School of Management and Warwick Business School
Downloads 60 (473,851)
Citation 1

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two-pass cross-sectional regressions, risk premia, model misspecification, simple regression betas, multivariate betas

32.

On Distributions of Ratios

Tinbergen Institute Discussion Paper 13-211/III, Broda, Simon A. and Kan, Raymond (2016). On distributions of ratios, Biometrika, Volume 103, Issue 1, pp. 205-218. https://doi.org/10.1093/biomet/asv052
Number of pages: 44 Posted: 08 Jan 2014 Last Revised: 11 Jun 2020
Simon A. Broda and Raymond Kan
University of Zurich - Department of Banking and Finance and University of Toronto - Rotman School of Management
Downloads 46 (532,090)
Citation 2

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Characteristic Function, Inversion Formula, Saddlepoint Approximation, Simultaneous Equations, Instrumental Variables, Weak Instruments, Bootstrap

33.

Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models

FRB Atlanta Working Paper No. 2015-9
Number of pages: 41 Posted: 02 Nov 2015 Last Revised: 30 Aug 2017
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 29 (622,967)

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asset pricing, model misspecification, continuously updated GMM, maximum likelihood, asymptotic approximation, misspecification-robust tests

34.

Asset Pricing Tests with Mimicking Portfolios

Number of pages: 37 Posted: 25 Sep 2015
Lei Jiang, Raymond Kan and Zhaoguo Zhan
Tsinghua University, University of Toronto - Rotman School of Management and Kennesaw State University
Downloads 28 (629,317)

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asset pricing; risk factors; mimicking portfolios; estimation error; risk premia; standard error

35.

Moments of a Wishart Matrix

Rotman School of Management Working Paper No. 3766308
Number of pages: 22 Posted: 23 Feb 2021 Last Revised: 18 May 2021
Raymond Kan and Grant Hillier
University of Toronto - Rotman School of Management and University of Southampton
Downloads 26 (642,743)

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Wishart distribution, Noncentral Wishart distribution

36.

Analytical Solution for the Constrained Hansen-Jagannathan Distance Under Multivariate Ellipticity

FRB Atlanta Working Paper No. 2012-18, Rotman School of Management Working Paper No. 2479458
Number of pages: 34 Posted: 22 Mar 2015
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Warwick Business School
Downloads 23 (663,892)

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Hansen-Jagannathan distance, no-arbitrage, model ranking, multivariate elliptical distributions

37.

On the expectations of equivariant matrix-valued functions of Wishart and inverse Wishart matrices

Number of pages: 24 Posted: 05 May 2022
Raymond Kan and Grant Hillier
University of Toronto - Rotman School of Management and University of Southampton
Downloads 2 (846,498)

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Wishart distribution, Inverse Wishart distribution, Equivariant function, Recursive relation

38.

What Will the Likely Range of My Wealth Be?

Financial Analysts Journal, Vol. 65, No. 4, 2009
Posted: 09 Aug 2009
Raymond Kan, Guofu Zhou and CFA Institute
University of Toronto - Rotman School of Management, Washington University in St. Louis - John M. Olin Business School and CFA Institute

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Investment Theory, Portfolio Theory, Quantitative Tools, Econometric and Statistical Methods, Portfolio Management, Portfolio Construction, Rebalancing, and Implementation, Private Wealth Management, Investment Policy Formulation