Raymond Kan

National Bank Financial Professor in Capital Markets
Professor of Finance

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
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
The Exact Distribution of the Hansen-Jagannathan Bound; Raymond Kan, Cesare Robotti; Management Science; Issue: 62(7); 2016; Pages: 1915-1943
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
On Distributions of Ratios; Simon Broda, Raymond Kan; Biometrika; Issue: 105(1); 2016; Pages: 205-218
Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models; Nikolay Gospodinov, Raymond Kan, Cesare Robotti; Econometric Reviews, forthcoming; 2016
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
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

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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