Raymond Kan

University of Toronto - Rotman School of Management

Professor

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

SCHOLARLY PAPERS

32

DOWNLOADS
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Top 5,828

in Total Papers Downloads

7,257

CITATIONS
Rank 3,265

SSRN RANKINGS

Top 3,265

in Total Papers Citations

158

Scholarly Papers (32)

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 1,085 (18,897)
Citation 37

Abstract:

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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: 52 Posted: 10 Feb 2016 Last Revised: 29 Oct 2018
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 776 (30,577)
Citation 7

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portfolio choice, estimation risk, global minimum-variance portfolio, 1/N rule

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 466 (59,081)
Citation 53

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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: 14 Aug 2010
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 32 (463,375)

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4.

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 490 (56,060)
Citation 1

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Alpha, optimal portfolio, estimation risk, combining portfolio

5.

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
University of New South Wales, University of Toronto - Rotman School of Management, Imperial College Business School and Emory University - Goizueta Business School
Downloads 487 (56,514)
Citation 6

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6.

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 453 (62,004)
Citation 3

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Sample autocorrelation coefficient, Finite sample distribution, Rank one update

7.

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 433 (65,288)
Citation 2

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Variance Ratio test, Finite Sample Distribution

8.

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 345 (85,359)
Citation 12

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Minimum-variance frontier, Efficiency set

9.

Stock Return Autocorrelations and the Cross Section of Option Returns

Number of pages: 45 Posted: 18 Apr 2019
Yoontae Jeon, Raymond Kan and Gang Li
Ryerson University - Ted Rogers School of Management, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 341 (86,481)

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

10.

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 268 (112,319)
Citation 2

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

11.

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 264 (114,076)
Citation 3

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long-term investment, median, quantiles

12.

Sectoral Labor Reallocation and Return Predictability

Rotman School of Management Working Paper No. 2602215
Number of pages: 61 Posted: 05 May 2015 Last Revised: 06 Feb 2018
Esther Eiling, Raymond Kan and Ali Sharifkhani
University of Amsterdam - Amsterdam Business School, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 260 (115,886)
Citation 1

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

13.

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 219 (137,626)
Citation 23

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Hansen-Jagannathan distance, excess returns, stochastic discount factors

14.

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 166 (177,293)

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Moments, Ratio of Quadratic Forms, Multivariate Normal Distribution

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 160 (183,159)
Citation 29

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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

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G12

16.

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 104 (255,019)

Abstract:

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

17.

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 103 (256,714)
Citation 1

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

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 102 (258,429)

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

19.

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

Number of pages: 53 Posted: 13 Jan 2010 Last Revised: 05 Jul 2014
Federal Reserve Bank of Atlanta, Warwick Business School and University of Toronto - Rotman School of Management
Downloads 94 (272,607)
Citation 7

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

20.

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
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 82 (296,975)
Citation 2

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

21.

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
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Warwick Business School
Downloads 72 (320,260)
Citation 8

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

22.

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 71 (322,720)
Citation 3

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Invariant polynomials, quadratic form

23.

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
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Warwick Business School
Downloads 67 (333,034)

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

24.

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 64 (341,077)
Citation 1

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Generating functions, Quadratic forms, Ratio of quadratic forms

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
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 62 (346,534)
Citation 20

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

26.

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
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Warwick Business School
Downloads 57 (361,214)
Citation 5

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GMM

27.

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 48 (390,331)
Citation 1

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

28.

On Distributions of Ratios

Tinbergen Institute Discussion Paper 13-211/III
Number of pages: 44 Posted: 08 Jan 2014
Simon A. Broda and Raymond Kan
University of Amsterdam - Amsterdam School of Economics (ASE) and University of Toronto - Rotman School of Management
Downloads 39 (422,991)
Citation 1

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

29.

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
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 18 (526,804)
Citation 1

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

30.

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
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Warwick Business School
Downloads 17 (532,575)
Citation 1

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

31.

Properties of the Inverse of a Noncentral Wishart Matrix

Number of pages: 29 Posted: 11 May 2019
Grant Hillier and Raymond Kan
University of Southampton - Division of Economics and University of Toronto - Rotman School of Management
Downloads 12 (562,165)

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Noncentral Wishart; Invariance; Zonal Polynomials

32.

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