Raymond Kan

University of Toronto - Rotman School of Management

Professor

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

SCHOLARLY PAPERS

29

DOWNLOADS
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SSRN RANKINGS

Top 6,468

in Total Papers Downloads

5,707

CITATIONS
Rank 4,970

SSRN RANKINGS

Top 4,970

in Total Papers Citations

105

Scholarly Papers (29)

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 - Olin School of Business
Downloads 954 (16,969)
Citation 27

Abstract:

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, Imperial College Business School and Emory University - Goizueta Business School
Downloads 430 (54,900)
Citation 13

Abstract:

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

NBER Working Paper No. w15047
Number of pages: 62 Posted: 08 Jun 2009
Raymond Kan, Cesare Robotti and Jay A. Shanken
University of Toronto - Rotman School of Management, Imperial College Business School and Emory University - Goizueta Business School
Downloads 26 (433,594)
Citation 13

Abstract:

3.

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 398 (57,267)
Citation 2

Abstract:

Variance Ratio test, Finite Sample Distribution

4.

On the Economic Value of Alphas

Number of pages: 80 Posted: 15 Mar 2011 Last Revised: 06 Sep 2017
Raymond Kan and Xiaolu Wang
University of Toronto - Rotman School of Management and Iowa State University
Downloads 346 (52,788)

Abstract:

Alpha, optimal portfolio, estimation risk, combining portfolio

5.

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 325 (74,105)
Citation 4

Abstract:

Minimum-variance frontier, Efficiency set

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 286 (61,381)
Citation 2

Abstract:

Sample autocorrelation coefficient, Finite sample distribution, Rank one update

7.

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 Imperial College Business School
Downloads 238 (100,817)
Citation 3

Abstract:

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

8.

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 - Olin School of Business
Downloads 221 (101,257)
Citation 1

Abstract:

long-term investment, median, quantiles

9.

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
Imperial College Business School and University of Toronto - Rotman School of Management
Downloads 200 (122,104)
Citation 19

Abstract:

Hansen-Jagannathan distance, excess returns, stochastic discount factors

10.
Downloads 144 (171,808)
Citation 16

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 Imperial College Business School
Downloads 144 (172,206)
Citation 16

Abstract:

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 Imperial College Business School

Abstract:

G12

11.

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 122 (162,310)

Abstract:

Moments, Ratio of Quadratic Forms, Multivariate Normal Distribution

12.

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 Imperial College Business School
Downloads 93 (234,319)
Citation 3

Abstract:

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

13.

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, Imperial College Business School and University of Toronto - Rotman School of Management
Downloads 87 (247,902)
Citation 4

Abstract:

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

14.

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 63 (286,610)
Citation 2

Abstract:

Invariant polynomials, quadratic form

15.

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 Imperial College Business School
Downloads 55 (288,840)
Citation 1

Abstract:

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

16.

Sectoral Labor Reallocation and Return Predictability

Rotman School of Management Working Paper No. 2602215
Number of pages: 59 Posted: 05 May 2015 Last Revised: 11 Apr 2016
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 53 (152,207)

Abstract:

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

17.

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 Imperial College Business School
Downloads 52 (303,300)
Citation 1

Abstract:

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

18.

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 Imperial College Business School
Downloads 46 (324,803)
Citation 2

Abstract:

GMM

19.

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 46 (313,672)

Abstract:

Generating functions, Quadratic forms, Ratio of quadratic forms

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 31 (282,105)

Abstract:

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

21.

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 Imperial College Business School
Downloads 29 (372,248)
Citation 3

Abstract:

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

22.

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 23 (342,586)
Citation 1

Abstract:

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

23.

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 23 (379,585)

Abstract:

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

24.

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 Imperial College Business School
Downloads 7 (483,648)

Abstract:

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

25.

Model Comparison with Sharpe Ratios

Rotman School of Management Working Paper No. 3013149
Number of pages: 47 Posted: 04 Aug 2017
Emory University - Goizueta Business School, University of Toronto - Rotman School of Management, Imperial College Business School and Emory University - Goizueta Business School
Downloads 0 (207,568)

Abstract:

26.

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 0 (345,634)

Abstract:

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

27.

On the Value of Portfolio Optimization under Estimation Risk: The Case without Risk-Free Asset

29th Australasian Finance and Banking Conference 2016, Rotman School of Management Working Paper No. 2819254
Number of pages: 92 Posted: 10 Feb 2016 Last Revised: 06 Oct 2017
Raymond Kan, Xiaolu Wang and Guofu Zhou
University of Toronto - Rotman School of Management, Iowa State University and Washington University in St. Louis - Olin School of Business
Downloads 0 (38,515)

Abstract:

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

28.

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 0 (478,386)

Abstract:

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

29.

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 - Olin School of Business and CFA Institute

Abstract:

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