Raymond Kan

University of Toronto - Rotman School of Management

Professor

105 St. George Street

Toronto, Ontario M5S3E6

Canada

SCHOLARLY PAPERS

41

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Top 5,702

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13,962

SSRN CITATIONS
Rank 3,745

SSRN RANKINGS

Top 3,745

in Total Papers Citations

419

CROSSREF CITATIONS

71

Scholarly Papers (41)

1.

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 1,403 (26,719)
Citation 11

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

2.

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 1,380 (27,383)
Citation 35

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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
University of New South Wales, University of Toronto - Rotman School of Management, Imperial College Business School and Emory University - Goizueta Business School
Downloads 1,201 (33,558)
Citation 19

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4.

Stock Return Autocorrelations and Expected Option Returns

Management Science (Forthcoming)
Number of pages: 68 Posted: 18 Apr 2019 Last Revised: 16 Mar 2024
Yoontae Jeon, Raymond Kan and Gang Li
McMaster University - Michael G. DeGroote School of Business, University of Toronto - Rotman School of Management and The Chinese University of Hong Kong, CUHK Business School
Downloads 1,092 (38,487)

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

5.

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

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 59 Posted: 03 Oct 2019 Last Revised: 25 Mar 2024
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 864 (53,315)
Citation 3

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asset pricing model; Sharpe ratio; estimation risk; model comparison; exact and asymptotic distributions; stochastic representation

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 624 (80,512)
Citation 26

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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 2023
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 99 (500,692)
Citation 5

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7.

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 701 (70,377)
Citation 1

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Sample autocorrelation coefficient, Finite sample distribution, Rank one update

8.

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 588 (87,884)

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Alpha, optimal portfolio, estimation risk, combining portfolio

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 483 (112,064)
Citation 2

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Variance Ratio test, Finite Sample Distribution

10.

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 472 (115,070)
Citation 8

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

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: 89 Posted: 05 May 2015 Last Revised: 07 Mar 2023
Esther Eiling, Raymond Kan and Ali Sharifkhani
University of Amsterdam - Amsterdam Business School, University of Toronto - Rotman School of Management and Northeastern University
Downloads 471 (115,717)
Citation 1

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Financial Markets and the Macroeconomy, Return Predictability, Sectoral Shifts, Production-Based Asset Pricing

12.

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 392 (142,864)
Citation 17

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Minimum-variance frontier, Efficiency set

13.

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 335 (169,705)
Citation 1

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long-term investment, median, quantiles

14.

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 314 (181,738)
Citation 3

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

15.

Optimal Portfolio Choice with Fat Tails and Parameter Uncertainty

Number of pages: 63 Posted: 03 Jan 2024 Last Revised: 27 Mar 2024
Raymond Kan and Nathan Lassance
University of Toronto - Rotman School of Management and LFIN/LIDAM, UCLouvain
Downloads 311 (183,569)
Citation 17

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portfolio combination, elliptical distribution, estimation risk

16.

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 259 (221,522)
Citation 6

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Hansen-Jagannathan distance, excess returns, stochastic discount factors

17.

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 222 (257,277)
Citation 8

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

18.

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 210 (270,956)

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Noncentral Wishart; Invariance; Zonal Polynomials

19.
Downloads 210 (270,956)
Citation 2

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 210 (270,121)
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

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G12

20.

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 198 (285,910)
Citation 1

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Moments, Ratio of Quadratic Forms, Multivariate Normal Distribution

21.

Finite Sample Analysis of Predictive Regressions with Long-Horizon Returns

Rotman School of Management Working Paper No. 3790052
Number of pages: 112 Posted: 23 Feb 2021 Last Revised: 12 Sep 2022
Raymond Kan and Jiening Pan
University of Toronto - Rotman School of Management and Nankai University
Downloads 188 (299,442)

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Predictive regression, finite sample distribution, local to unit root

22.

Optimal Portfolio Choice with Unknown Benchmark Efficiency

Rotman School of Management Working Paper No. 3760640
Number of pages: 74 Posted: 23 Feb 2021 Last Revised: 23 May 2023
Raymond Kan and Xiaolu Wang
University of Toronto - Rotman School of Management and Iowa State University
Downloads 181 (309,726)
Citation 7

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portfolio choice; model efficiency; estimation risk; optimal combining

23.

The Distribution of Sample Mean-Variance Portfolio Weights

Random Matrices: Theory and Applications, forthcoming
Number of pages: 19 Posted: 18 May 2023 Last Revised: 24 Jan 2024
Raymond Kan, Nathan Lassance and Xiaolu Wang
University of Toronto - Rotman School of Management, LFIN/LIDAM, UCLouvain and Iowa State University
Downloads 154 (356,088)

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portfolio choice; estimation risk; stochastic representation; high-dimensional asymptotics; minimum-variance frontier

24.

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 150 (363,700)
Citation 11

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

25.

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 137 (390,696)
Citation 3

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

26.

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 131 (404,734)
Citation 42

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

27.

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 127 (414,387)
Citation 11

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

28.

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 121 (429,736)
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

29.

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 110 (461,473)
Citation 1

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

30.

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 107 (470,674)

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

31.

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 92 (520,877)
Citation 4

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Generating functions, Quadratic forms, Ratio of quadratic forms

32.

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 91 (524,467)
Citation 3

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GMM

33.

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 90 (528,198)
Citation 3

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Invariant polynomials, quadratic form

34.

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 85 (547,124)
Citation 1

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Wishart distribution, Noncentral Wishart distribution

35.

A Fast Algorithm for Computing Product Moments of Multivariate Normal Random Variables

Number of pages: 14 Posted: 17 Jul 2023 Last Revised: 29 May 2024
Raymond Kan and Jiening Pan
University of Toronto - Rotman School of Management and Nankai University
Downloads 82 (559,147)

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Moments of product, Multivariate normal distribution. 2020 MSC: Primary 60E10

36.

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 Finance and University of Toronto - Rotman School of Management
Downloads 71 (606,870)
Citation 2

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

37.

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

Number of pages: 26 Posted: 05 May 2022 Last Revised: 26 Dec 2023
Raymond Kan and Grant Hillier
University of Toronto - Rotman School of Management and University of Southampton
Downloads 67 (625,757)

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

38.

Asset Pricing Tests with Mimicking Portfolios

Number of pages: 37 Posted: 25 Sep 2015
Lei Jiang, Raymond Kan and Zhaoguo Zhan
Kent State University, University of Toronto - Rotman School of Management and Kennesaw State University
Downloads 50 (720,006)

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

39.

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 50 (720,006)
Citation 1

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

40.

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 49 (726,397)

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

41.

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