Raymond Kan
Bio
Raymond Kan is a Professor of Finance at Rotman. His research interests include empirical asset pricing, portfolio management, and computational statistics. His research has been published in Journal of Finance, Review of Financial Studies, Journal of Financial Economics, and Journal of Econometrics. Raymond currently serves on the editorial board of Journal of Financial Econometrics.
Academic Positions
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2009-Present
Professor, Rotman School of Management, University of Toronto
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2014-2015
Visiting Professor, Hong Kong University of Science and Technology
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2000-2009
Associate Professor, Rotman School of Management, University of Toronto
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1995-2000
Assistant Professor, Rotman School of Management, University of Toronto
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1998-1999
Visiting Assistant Professor, Graduate School of Management, University of California at Irvine
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1996-1997
Visiting Assistant Professor, John M. Olin School of Business, Washington University
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1992-1995
Lecturer, Faculty of Management, University of Toronto
Non-Academic Positions
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2004-Present
External Director, United Pacific Bank
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1984-1985
Staff Accountant, Arthur Andersen & Co., Hong Kong
Selected Publications - Papers
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Modeling Non-normality Using Multivariate t: Implications for Asset Pricing
Raymond Kan, Guofu Zhou
China Finance Review International
Issue:7(1)
2017
Pages: 2-32
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On Moments of Folded and Truncated Multivariate Normal Distributions
Raymond Kan, Cesare Robotti
Journal of Computational and Graphical Statistics, forthcoming
2017
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Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models
Nikolay Gospodinov, Raymond Kan, Cesare Robotti
Econometric Reviews, forthcoming
2016
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On Distributions of Ratios
Simon Broda, Raymond Kan
Biometrika
Issue:105(1)
2016
Pages: 205-218
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On the Hansen-Jagannathan Distance with a No-arbitrage Constraint
Nikolay Gospodinov, Raymond Kan, Cesare Robotti
Journal of Empirical Finance
Issue:36
2016
Pages: 121-150
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The Exact Distribution of the Hansen-Jagannathan Bound
Raymond Kan, Cesare Robotti
Management Science
Issue:62(7)
2016
Pages: 1915-1943
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Generating Functions and Short Recursions, with Applications to the Moments of Quadratic Forms in Noncentral Normal Vectors
Grant Hillier, Raymond Kan, Xiaolu Wang
Econometric Theory
Issue:30(2)
2014
Pages: 436-473
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Misspecification-Robust Inference in Linear Asset Pricing Models
Nikolay Gospodinov, Raymond Kan, Cesare Robotti
Review of Financial Studies
Issue:27(7)
2014
Pages: 2139-2170
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Pricing Model Performance and the Two-pass Cross-Sectional Regression Methodology
Raymond Kan, Cesare Robotti, Jay Shanken
Journal of Finance
Issue:68(6)
2013
Pages: 2617-2649
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On the Distribution of Sample Autocorrelation Coefficients
Raymond Kan, Xiaolu Wang
Journal of Econometrics
Issue:154(2)
2010
Pages: 101-121
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Computationally Efficient Recursions for Top-Order Invariant Polynomials with Applications
Grant Hillier, Raymond Kan, Xiaolu Wang
Econometric Theory
Issue:25(1)
2009
Pages: 211-242
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Model Comparison Using the Hansen-Jagannathan Distance
Raymond Kan, Cesare Robotti
Review of Financial Studies
Issue:22(9)
2009
Pages: 3449-3490
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What Will the Likely Range of My Wealth Be?
Raymond Kan, Guofu Zhou
Financial Analysts Journal
Issue:65(4)
2009
Pages: 68-77
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From Moments of Sum to Moments Product
Raymond Kan
Journal of Multivariate Analysis
Issue:99(3)
2008
Pages: 542-554
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Specification Tests of Asset Pricing Models Using Excess Returns
Raymond Kan, Cesare Robotti
Journal of Empirical Finance
Issue:15
2008
Pages: 816-838
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The Distribution of the Sample Minimum Variance Frontier
Raymond Kan, Daniel Smith
Management Science
Issue:54(7)
2008
Pages: 1364-1380
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Optimal Portfolio Choice with Parameter Uncertainty
Raymond Kan, Guofu Zhou
Journal of Financial and Quantitative Analysis
Issue:42(3)
2007
Pages: 621-656
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A New Variance Bound on the Stochastic Discount Factor
Raymond Kan, Guofu Zhou
Journal of Business
Issue:79(2)
2006
Pages: 941-961
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A Critique of the Stochastic Discount Factor Methodology
with G. Zhou
Journal of Finance
Issue:54
1999
Pages: 1221-1248
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GMM Tests of Stochastic Discount Factor Models with Useless Factors
with C. Zhang
Journal of Financial Economics
Issue:54(1)
1999
Pages: 103-127
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Two-pass Tests of Asset Pricing Models with Useless Factors
with C. Zhang
Journal of Finance
Issue:54
1999
Pages: 204-235
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Tests of the Relations Among Marketwide Factors, Firm-Specific Variables, and Stock Returns Using a Conditional Asset Pricing Model
with J. He, L. Ng and C. Zhang
Journal of Finance
Issue:51
1996
Pages: 1891-1908
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A Rejoinder
with N. Chen and M. Miller
Journal of Finance
Issue:48
1993
Pages: 809-810
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Are the Discounts on Closed-end Funds a Sentiment Index?
with N. Chen and M. Miller
Journal of Finance
Issue:48
1993
Pages: 795-800
Honors and Awards
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2016
GTA Best Paper Award, China Finance Review International Conference
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2008
Wharton Research Data Services Best Empirical Paper Award, Northern Finance Meetings
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2013-2016
Reseach Grant, Social Sciences and Humanities Research Council of Canada
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2009-2011
Research Grant, Social Sciences and Humanities Research Council of Canada
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2001-2004
Research Grant, Social Sciences and Humanities Research Council of Canada
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1998-2001
Research Grant, Social Sciences and Humanities Research Council of Canada
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1999
Petro Canada Young Innovator Award, University of Toronto
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1992
Connaught Grant, University of Toronto
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1985-1992
University of Chicago Fellowship,
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1991
Dimensional Fund Advisor Award,
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1987
Beta Gamma Sigma, Graduate School of Business, University of Chicago
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1983-1986
Dean's Honour List, Graduate School of Business, University of Chicago
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1983
Chinese Manufacturers Association and Donors Scholarship, Chinese University of Hong Kong