Rotman School of Management

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Raymond Kan

Raymond Kan

    Raymond Kan

    National Bank Financial Professor in Capital Markets  
    Professor of Finance
    On leave from July 1, 2014 to June 30, 2015

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





    Email: Send an email to 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

    2009-Present  Professor; Rotman School of Management, University of Toronto
    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  Arthur Andersen & Co., Hong Kong

    Selected Publications - Papers

    • 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
    • The Distribution of the Sample Minimum Variance Frontier; Raymond Kan, Daniel Smith; Management Science; Issue: 54(7); 2008; Pages: 1364-1380
    • Specification Tests of Asset Pricing Models Using Excess Returns; Raymond Kan, Cesare Robotti; Journal of Empirical Finance; Issue: 15; 2008; Pages: 816-838
    • 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
    • GMM Tests of Stochastic Discount Factor Models with Useless Factors; with C. Zhang; Journal of Financial Economics; Issue: 54(1); 1999; Pages: 103-127
    • A Critique of the Stochastic Discount Factor Methodology; with G. Zhou; Journal of Finance; Issue: 54; 1999; Pages: 1221-1248
    • 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
    • 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
    • A Rejoinder; with N. Chen and M. Miller; Journal of Finance; Issue: 48; 1993; Pages: 809-810

    Honors and Awards

    2008  Wharton Reserach Data Services Best Empirical Paper Award; Northern Finance Meetings
    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

    Research and Teaching Interests

    Research interests centre on empirical asset pricing, portfolio management, and computational statistics  

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    http://www.rotman.utoronto.ca/~kan/