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Raymond Kan

Raymond Kan

Professor of Finance
National Bank Financial Professor in Capital Markets

Degrees:

PhD, University of Chicago
MBA, University of Chicago
BBA, Chinese University of Hong Kong

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

  • 2009-Present

    Professor, Rotman School of Management, University of Toronto

  • 2014-2015

    Visiting Professor, Hong Kong University of Science and Technology

  • 2000-2009

    Associate Professor, Rotman School of Management, University of Toronto

  • 1995-2000

    Assistant Professor, Rotman School of Management, University of Toronto

  • 1998-1999

    Visiting Assistant Professor, Graduate School of Management, University of California at Irvine

  • 1996-1997

    Visiting Assistant Professor, John M. Olin School of Business, Washington University

  • 1992-1995

    Lecturer, Faculty of Management, University of Toronto

Non-Academic Positions

  • 2004-Present

    External Director, United Pacific Bank

  • 1984-1985

    Staff Accountant, Arthur Andersen & Co., Hong Kong

Selected Publications - Papers

  • 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

  • On Moments of Folded and Truncated Multivariate Normal Distributions

    Raymond Kan, Cesare Robotti

    Journal of Computational and Graphical Statistics, forthcoming

    2017

  • Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models

    Nikolay Gospodinov, Raymond Kan, Cesare Robotti

    Econometric Reviews, forthcoming

    2016

  • On Distributions of Ratios

    Simon Broda, Raymond Kan

    Biometrika

    Issue:105(1)

    2016

    Pages: 205-218

  • 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

  • The Exact Distribution of the Hansen-Jagannathan Bound

    Raymond Kan, Cesare Robotti

    Management Science

    Issue:62(7)

    2016

    Pages: 1915-1943

  • 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

  • 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

  • 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

  • On the Distribution of Sample Autocorrelation Coefficients

    Raymond Kan, Xiaolu Wang

    Journal of Econometrics

    Issue:154(2)

    2010

    Pages: 101-121

  • 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

  • Model Comparison Using the Hansen-Jagannathan Distance

    Raymond Kan, Cesare Robotti

    Review of Financial Studies

    Issue:22(9)

    2009

    Pages: 3449-3490

  • What Will the Likely Range of My Wealth Be?

    Raymond Kan, Guofu Zhou

    Financial Analysts Journal

    Issue:65(4)

    2009

    Pages: 68-77

  • From Moments of Sum to Moments Product

    Raymond Kan

    Journal of Multivariate Analysis

    Issue:99(3)

    2008

    Pages: 542-554

  • Specification Tests of Asset Pricing Models Using Excess Returns

    Raymond Kan, Cesare Robotti

    Journal of Empirical Finance

    Issue:15

    2008

    Pages: 816-838

  • The Distribution of the Sample Minimum Variance Frontier

    Raymond Kan, Daniel Smith

    Management Science

    Issue:54(7)

    2008

    Pages: 1364-1380

  • Optimal Portfolio Choice with Parameter Uncertainty

    Raymond Kan, Guofu Zhou

    Journal of Financial and Quantitative Analysis

    Issue:42(3)

    2007

    Pages: 621-656

  • A New Variance Bound on the Stochastic Discount Factor

    Raymond Kan, Guofu Zhou

    Journal of Business

    Issue:79(2)

    2006

    Pages: 941-961

  • A Critique of the Stochastic Discount Factor Methodology

    with G. Zhou

    Journal of Finance

    Issue:54

    1999

    Pages: 1221-1248

  • GMM Tests of Stochastic Discount Factor Models with Useless Factors

    with C. Zhang

    Journal of Financial Economics

    Issue:54(1)

    1999

    Pages: 103-127

  • Two-pass Tests of Asset Pricing Models with Useless Factors

    with C. Zhang

    Journal of Finance

    Issue:54

    1999

    Pages: 204-235

  • 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

  • A Rejoinder

    with N. Chen and M. Miller

    Journal of Finance

    Issue:48

    1993

    Pages: 809-810

  • 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

  • 2016

    GTA Best Paper Award, China Finance Review International Conference

  • 2008

    Wharton Reserach Data Services Best Empirical Paper Award, Northern Finance Meetings

  • 2013-2016

    Reseach Grant, Social Sciences and Humanities Research Council of Canada

  • 2009-2011

    Research Grant, Social Sciences and Humanities Research Council of Canada

  • 2001-2004

    Research Grant, Social Sciences and Humanities Research Council of Canada

  • 1998-2001

    Research Grant, Social Sciences and Humanities Research Council of Canada

  • 1999

    Petro Canada Young Innovator Award, University of Toronto

  • 1992

    Connaught Grant, University of Toronto

  • 1985-1992

    University of Chicago Fellowship,

  • 1991

    Dimensional Fund Advisor Award,

  • 1987

    Beta Gamma Sigma, Graduate School of Business, University of Chicago

  • 1983-1986

    Dean's Honour List, Graduate School of Business, University of Chicago

  • 1983

    Chinese Manufacturers Association and Donors Scholarship, Chinese University of Hong Kong

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