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

33

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Scholarly Papers (33)

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1.

Tests of Mean-Variance Spanning

AFA 2001 New Orleans Meetings
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 1,118 (20,181)
Citation 16

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2.

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

29th Australasian Finance and Banking Conference 2016
Number of pages: 61 Posted: 10 Feb 2016 Last Revised: 23 Mar 2020
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 861 (29,485)
Citation 10

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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 662 (42,257)
Citation 11

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4.

Stock Return Autocorrelations and Expected Option Returns

Number of pages: 48 Posted: 18 Apr 2019 Last Revised: 17 Jan 2020
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 543 (54,636)

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

5.

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

Downloads 529 ( 56,498)
Citation 34

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 491 (61,399)
Citation 36

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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 38 (476,828)

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6.

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 506 (59,715)

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Alpha, optimal portfolio, estimation risk, combining portfolio

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 504 (60,036)

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Sample autocorrelation coefficient, Finite sample distribution, Rank one update

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 448 (69,420)
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 346 (93,915)
Citation 6

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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 281 (117,913)
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 276 (120,109)
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 274 (121,056)
Citation 3

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

13.

Specification Tests of Asset Pricing Models Using Excess Returns

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 223 (148,879)
Citation 4

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Hansen-Jagannathan distance, excess returns, stochastic discount factors

14.

Model Comparison Using the Hansen-Jagannathan Distance

Downloads 171 (189,699)

Model Comparison Using the Hansen-Jagannathan Distance

Review of Financial Studies, Forthcoming
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 171 (189,756)
Citation 3

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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

15.

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 167 (193,577)

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Moments, Ratio of Quadratic Forms, Multivariate Normal Distribution

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 166 (194,595)
Citation 2

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

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 132 (234,831)

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

18.

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

Number of pages: 63 Posted: 03 Oct 2019
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 124 (246,096)
Citation 1

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

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 105 (277,465)
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
Nikolay Gospodinov, Cesare Robotti and Raymond Kan
Federal Reserve Bank of Atlanta, Warwick Business School and University of Toronto - Rotman School of Management
Downloads 101 (284,900)
Citation 11

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

21.

Spurious Inference in Unidentified Asset-Pricing Models

FRB Atlanta Working Paper No. 2014-12
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 88 (311,200)
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

22.

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 82 (324,960)
Citation 3

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

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
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Warwick Business School
Downloads 74 (344,989)

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

24.

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 (352,960)
Citation 1

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Invariant polynomials, quadratic form

25.

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

FRB Atlanta Working Paper No. 2013-9
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 68 (361,308)
Citation 16

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

26.

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 66 (367,013)
Citation 1

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Generating functions, Quadratic forms, Ratio of quadratic forms

27.

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 65 (369,901)

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Noncentral Wishart; Invariance; Zonal Polynomials

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
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Warwick Business School
Downloads 63 (375,903)
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
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 51 (415,336)
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

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 41 (453,837)
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
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 21 (556,695)

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

32.

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

FRB Atlanta Working Paper No. 2012-18
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 20 (562,879)
Citation 1

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

33.

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