Raymond Kan

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From moments of sum to moments of product

Raymond Kan, 2008 .

Are the Discounts on Closed-End Funds a Sentiment Index?

Merton H. Miller, Raymond Kan, N. Chen, 1993 .

Two‐Pass Tests of Asset Pricing Models with Useless Factors

Raymond Kan, Chu Zhang, Raymond Kan, 1999 .

A Trend Factor: Any Economic Gains from Using Information over Investment Horizons?

Guofu Zhou, Jiang Wang, Yuhang Xing, 2016 .

Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models

Nikolay Gospodinov, Raymond Kan, Cesare Robotti, 2012 .

WORKING PAPER SERIESFEDERAL RESERVE BANK of ATLANTA WORKING PAPER SERIES Model Comparison Using the Hansen-Jagannathan Distance

Raymond Kan, Cesare Robotti, Raymond Kan, 2007 .

Modeling non-normality using multivariate t: implications for asset pricing

Raymond Kan, Guofu Zhou, Guofu Zhou, 2017 .

Long-Horizon Regression Test of Mean Reversion: A Finite-Sample Analysis

Zhi Chen, Raymond Kan, 2011 .

Optimal Portfolio Choice with Parameter Uncertainty

Raymond Kan, Guofu Zhou, Guofu Zhou, 2007, Journal of Financial and Quantitative Analysis.

COMPUTATIONALLY EFFICIENT RECURSIONS FOR TOP-ORDER INVARIANT POLYNOMIALS WITH APPLICATIONS

Raymond Kan, Xiaolu Wang, Raymond Kan, 2009, Econometric Theory.

Model Comparison with Sharpe Ratios Abstract

Raymond Kan, Cesare Robotti, Jay Shanken, 2018 .

On the Economic Value of Alphas

Raymond Kan, Xiaolu Wang, 2015 .

Are the Discounts on Closed-End Funds a Sentiment Index? A Rejoinder

Merton H. Miller, Raymond Kan, N. Chen, 1993 .

Analytical Solution for the Constrained Hansen-Jagannathan Distance Under Multivariate Ellipticity

Raymond Kan, Nikolay Gospodinov, Cesare Robotti, 2012 .

COMPUTATIONALLY EFFICIENT RECURSIONS FOR TOP-ORDER INVARIANT POLYNOMIALS WITH APPLICATIONS

Raymond Kan, G. Hillier, Xiaolu Wang, 2009, Econometric Theory.

The densities and distributions of the largest eigenvalue and the trace of a Beta–Wishart matrix

P. Koev, A. Edelman, V. Drensky, 2019 .

On the Moments of Ratios of Quadratic Forms in Normal Random Variables

Yong Bao, Raymond Kan, 2012, J. Multivar. Anal..

PROPERTIES OF THE INVERSE OF A NONCENTRAL WISHART MATRIX

Raymond Kan, G. Hillier, 2021, Econometric Theory.

Misspecification-Robust Inference in Linear Asset Pricing Models with Irrelevant Risk Factors

Raymond Kan, Nikolay Gospodinov, Cesare Robotti, 2013 .

On Moments of Folded and Truncated Multivariate Normal Distributions

Raymond Kan, Cesare Robotti, Raymond Kan, 2016 .

Moments of a Wishart Matrix

Raymond Kan, G. Hillier, 2021, Journal of Quantitative Economics.

GENERATING FUNCTIONS AND SHORT RECURSIONS, WITH APPLICATIONS TO THE MOMENTS OF QUADRATIC FORMS IN NONCENTRAL NORMAL VECTORS

Raymond Kan, Raymond Kan, G. Hillier, 2013, Econometric Theory.

The Distribution of the Sample Minimum-Variance Frontier

Raymond Kan, Daniel R. Smith, Raymond Kan, 2007, Manag. Sci..

Optimal Portfolio Choice with Estimation Risk: No Risk-free Asset Case

Raymond Kan, Guofu Zhou, Xiaolu Wang, 2018, Manag. Sci..

On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint

Raymond Kan, Nikolay Gospodinov, Cesare Robotti, 2012 .

Tests of Mean-Variance Spanning

Guofu Zhou, Raymond Kan, 2008 .

The Exact Distribution of the Hansen-Jagannathan Bound

Raymond Kan, Cesare Robotti, Raymond Kan, 2015, Manag. Sci..

On computing Schur functions and series thereof

Vesselin Drensky, Raymond Kan, Alan Edelman, 2018, Journal of Algebraic Combinatorics.

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

Raymond Kan, Cesare Robotti, Raymond Kan, 2009 .

Out-of-Sample Equity Premium Prediction : Consistently Beating the Historical Average

Michael W. McCracken, R. Jagannathan, Guofu Zhou, 2008 .

On Distributions of Ratios

Raymond Kan, Simon A. Broda, Raymond Kan, 2014 .

Technical Trading : A Trend Factor Yufeng Han

Guofu Zhou, Jiang Wang, Yuhang Xing, 2014 .

On the Distribution of the Sample Autocorrelation Coefficients

Raymond Kan, Xiaolu Wang, 2008 .

Exact Variance Ratio Test with Overlapping Data

Raymond Kan, 2006 .

Finite Sample Analysis of Predictive Regressions with Long-Horizon Returns

Raymond Kan, Jiening Pan, 2021, SSRN Electronic Journal.

Information Content of Aggregate Implied Volatility Spread *

Joon Woo Bae, Peter F. Christoffersen, Chayawat Ornthanalai, 2019 .

Sectoral Labor Reallocation and Return Predictability

Raymond Kan, E. Eiling, Ali Sharifkhani, 2016 .

Tests of the Relations among Marketwide Factors, Firm-Specific Variables, and Stock Returns Using a Conditional Asset Pricing Model

Lilian Ng, Raymond Kan, Jia He, 1996 .

Expected Return and the Bid-Ask Spread

Raymond Kan, Raymond Kan, Na Chen, 1995 .

An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor By Kuntara Pukthuanthong and Richard Roll

Kenneth I. Winston, Andrew J. Patton, Michael S. O'Doherty, 2016 .

A New Variance Bound on the Stochastic Discount Factor

Guofu Zhou, Raymond Kan, 2006 .

Model Comparison with Sharpe Ratios

Raymond Kan, Cesare Robotti, Francisco Barillas, 2019, Journal of Financial and Quantitative Analysis.

Asset Pricing Tests with Mimicking Portfolios

Raymond Kan, Zhaoguo Zhan, Lei Jiang, 2014 .

Hansen-Jagannathan Distance: Geometry and Exact Distribution

Guofu Zhou, Raymond Kan, 2002 .

Empirical Asset Pricing : the Beta Method versus the Stochastic Discount Factor Method

Raymond Kan, 2001 .

A critique of the stochastic discount factor methodology

Guofu Zhou, Raymond Kan, 1999 .

A Critique of the Use of t-ratios in Model Selection

Raymond Kan, N. Chen, Chu Zhang, 1998 .

On the Explanatory Power of Asset Pricing Models Across and Within Portfolios

Guofu Zhou, Raymond Kan, J. Berk, 1999 .

Does the Nonlinear APT Outperform the Conditional CAPM

Kevin Q. Wang, Raymond Kan, 2000 .

Optimal Portfolio Choice with Benchmark

Raymond Kan, Xiaolu Wang, 2020 .

In-Sample and Out-of-Sample Sharpe Ratios of Multi-Factor Asset Pricing Models

Raymond Kan, Xinghua Zheng, Xiaolu Wang, 2019, SSRN Electronic Journal.

Betting Against Alpha

Manuel S. Santos, Markus Pelger, Raymond Kan, 2017 .

Too Good to Be True? Fallacies in Evaluating Risk Factor Models

Raymond Kan, Nikolay Gospodinov, Cesare Robot, 2017, Journal of Financial Economics.

Spurious Inference in Reduced‐Rank Asset‐Pricing Models

Raymond Kan, Nikolay Gospodinov, Cesare Robotti, 2017 .

Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models

Raymond Kan, Nikolay Gospodinov, Cesare Robotti, 2015 .

Spurious Inference in Unidentified Asset-Pricing Models

Raymond Kan, Nikolay Gospodinov, Cesare Robotti, 2014 .

Continuously-Updated GMM Estimation of the Beta-Pricing Model

Nikolay Gospodinov, Raymond Kan, Cesare Robotti, 2016 .

Further Results on the Limiting Distribution of GMM Sample Moment Conditions

Raymond Kan, Nikolay Gospodinov, Cesare Robotti, 2012 .

WORKING PAPER SERIESFEDERAL RESERVE BANK of ATLANTA WORKING PAPER SERIES Specification Tests of Asset Pricing Models Using Excess Returns

Raymond Kan, Cesare Robotti, 2006 .

GMM tests of stochastic discount factor models with useless factors

Raymond Kan, Chu Zhang, Raymond Kan, 1999 .

WORKING PAPER SERIESFEDERAL RESERVE BANK of ATLANTA WORKING PAPER SERIES Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

Raymond Kan, Cesare Robotti, Jay Shanken, 2009 .

Estimating the Equity Premium

Lisa A. Kramer, Jacob S. Sagi, Thomas H. McCurdy, 2008, Journal of Financial and Quantitative Analysis.

Evaluation of Asset Pricing Models Using Two-Pass Cross-Sectional Regressions

Raymond Kan, Cesare Robotti, Raymond Kan, 2012 .

Model comparison using the Hansen-Jagannathan distance Working

Guofu Zhou, Raymond Kan, Jay Shanken, 2022 .

On the properties of the constrained Hansen–Jagannathan distance

Raymond Kan, Nikolay Gospodinov, Cesare Robotti, 2016 .

Model comparison using the Hansen-Jagannathan distance

Guofu Zhou, Raymond Kan, Jay Shanken, 2022 .

Stock Return Autocorrelations and Expected Option Returns

Raymond Kan, Yoontae Jeon, Gang Li, 2019, SSRN Electronic Journal.

What Likely Range of My Wealth Will Be?

Guofu Zhou, Raymond Kan, 2009 .

Optimal Portfolio Selection with and without Risk-Free Asset

Raymond Kan, Guofu Zhou, Xiaolu Wang, 2016 .

On the Value of Portfolio Optimization in the Presence of Estimation Risk: the Case with and without Risk-free Asset

Guofu Zhou, Raymond Kan, Xiaolu Wang, 2016 .

Optimal estimation for economic gains: portfolio choice with parameter uncertainty

Guofu Zhou, Raymond Kan, 1992 .

Densities of the extreme eigenvalues of Beta–MANOVA matrices

Raymond Kan, Plamen Koev, P. Koev, 2018, Random Matrices: Theory and Applications.