Raymond Kan
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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