Raymond Kan

University of Toronto - Rotman School of Management

Professor

105 St. George Street

Toronto, Ontario M5S3E6

Canada

SCHOLARLY PAPERS

37

DOWNLOADS
Rank 5,706

SSRN RANKINGS

Top 5,706

in Total Papers Downloads

9,038

SSRN CITATIONS
Rank 6,047

SSRN RANKINGS

Top 6,047

in Total Papers Citations

145

CROSSREF CITATIONS

70

Scholarly Papers (37)

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 1,155 (21,748)
Citation 19

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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 950 (28,927)
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
University of New South Wales, University of Toronto - Rotman School of Management, Imperial College Business School and Emory University - Goizueta Business School
Downloads 805 (36,348)
Citation 19

Abstract:

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4.

Stock Return Autocorrelations and Expected Option Returns

Number of pages: 51 Posted: 18 Apr 2019 Last Revised: 16 Jul 2020
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 622 (51,466)

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

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 503 (66,476)
Citation 34

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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 2021
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 40 (511,335)
Citation 5

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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 539 (61,649)
Citation 1

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Sample autocorrelation coefficient, Finite sample distribution, Rank one update

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 524 (63,847)

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Alpha, optimal portfolio, estimation risk, combining portfolio

8.

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 455 (76,072)
Citation 2

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Variance Ratio test, Finite Sample Distribution

9.

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 352 (102,417)
Citation 7

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Minimum-variance frontier, Efficiency set

10.

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 Northeastern University
Downloads 296 (123,666)
Citation 1

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

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 282 (130,137)
Citation 1

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long-term investment, median, quantiles

12.

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 277 (132,533)
Citation 3

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

13.

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

Number of pages: 63 Posted: 03 Oct 2019 Last Revised: 22 Feb 2021
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 265 (139,350)
Citation 3

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

14.

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 226 (162,195)
Citation 6

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Hansen-Jagannathan distance, excess returns, stochastic discount factors

15.

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 198 (183,593)
Citation 4

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

16.
Downloads 174 (205,869)
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 174 (205,943)
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

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 172 (207,904)
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 141 (245,220)

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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 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 107 (300,725)
Citation 1

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

20.

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 105 (304,578)
Citation 11

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

21.

Properties of the Inverse of a Noncentral Wishart Matrix

Number of pages: 27 Posted: 11 May 2019 Last Revised: 14 Apr 2021
Grant Hillier and Raymond Kan
University of Southampton - Division of Economics and University of Toronto - Rotman School of Management
Downloads 102 (310,548)

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Noncentral Wishart; Invariance; Zonal Polynomials

22.

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 88 (341,302)
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

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
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Warwick Business School
Downloads 87 (343,738)
Citation 3

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

24.

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 77 (369,486)
Citation 22

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

25.

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 75 (375,056)

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

26.

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 72 (383,578)
Citation 3

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Invariant polynomials, quadratic form

27.

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 68 (395,606)
Citation 4

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Generating functions, Quadratic forms, Ratio of quadratic forms

28.

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 63 (411,701)
Citation 3

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GMM

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 56 (435,837)
Citation 1

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

30.

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 45 (478,764)
Citation 2

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

31.

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 28 (562,296)

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

32.

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 22 (600,398)

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portfolio choice; estimation errors; benchmark efficiency;

33.

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 21 (607,135)
Citation 1

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

34.

Finite Sample Analysis of Predictive Regressions with Long-Horizon Returns

Rotman School of Management Working Paper No. 3790052
Number of pages: 95 Posted: 23 Feb 2021
Raymond Kan and Jiening Pan
University of Toronto - Rotman School of Management and Nankai University
Downloads 19 (620,576)

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Predictive regression, finite sample distribution, local to unit root

35.

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 17 (634,305)

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

36.

Moments of a Wishart Matrix

Rotman School of Management Working Paper No. 3766308
Number of pages: 20 Posted: 23 Feb 2021
Raymond Kan and Grant Hillier
University of Toronto - Rotman School of Management and University of Southampton
Downloads 10 (685,349)

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Wishart distribution, Noncentral Wishart distribution

37.

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