[UofT]
Research Interests
  • Empirical Asset Pricing
  • Portfolio Management
  • Computational Statistics

Recent Publications

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Moments of a Wishart Matrix (Matlab Programs)

    with Grant Hillier, in Journal of Quantitative Economics, forthcoming.

Properties of the Inverse of a Noncentral Wishart Matrix (Matlab Programs)

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

The Densities and Distributions of the Largest Eigenvalue and the Trace of a Beta-Wishart Matrix

Model Comparison with Sharpe Ratios

On Computing Schur Functions and Series Thereof

Densities of the Extreme Eigenvalues of Beta-MANOVA Matrices (Matlab Programs)

    with Plamen Koev, in Random Matrices: Theory and Applications, 8(1), 2019.

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

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

Spurious Inference in Reduced-Rank Asset-Pricing Models

On Moments of Folded and Truncated Multivariate Normal Distributions (Errata, Matlab Programs)

    with Cesare Robotti, in Journal of Computational and Graphical Statistics, 26(4), 930-934, 2017.

Modeling Non-normality Using Multivariate t: Implications for Asset Pricing (Matlab Programs)

    with Guofu Zhou, in China Finance Review International, 7(1), 2-32, 2017.

On Distributions of Ratios (Supplementary Material, Matlab Programs)

On the Properties of the Constrained Hansen-Jagannathan Distance

The Exact Distribution of the Hansen-Jagannathan Bound (Matlab Programs)

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

Generating Functions and Short Recursions, with Applications to the Moments of Quadratic Forms in Noncentral Normal Vectors (Matlab Programs)

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology (Appendix, Matlab Programs)

On the Moments of Ratios of Quadratic Forms in Normal Random Variables (Matlab Programs)

    with Yong Bao, in Journal of Multivariate Analysis, 117, 229-245, 2013.

Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models (Appendix, Matlab Programs)

Further Results on the Limiting Distribution of GMM Sample Moment Conditions

Tests of Mean-Variance Spanning (Matlab Programs)

    with Guofu Zhou, in Annals of Economics and Finance, 13(1), 145-193, 2012.

On the Estimation of Asset Pricing Models Using Univariate Betas (Matlab Programs)

On the Distribution of the Sample Autocorrelation Coefficients (Matlab Programs)

    with Xiaolu Wang, in Journal of Econometrics, 154(2), 101-121, 2010.

Model Comparison Using the Hansen-Jagannathan Distance (Unpublished Appendix, Errata)

    with Cesare Robotti, in Review of Financial Studies, 22(9), 3449-3490, 2009.

What Will the Likely Range of My Wealth Be? (Matlab Programs)

    with Guofu Zhou, in Financial Analysts Journal, 65(4), 68-77, 2009.

Computationally Efficient Recursions for Top-Order Invariant Polynomials with Applications (Matlab Programs)

Specification Tests of Asset Pricing Models Using Excess Returns (Errata)

The Distribution of the Sample Minimum-Variance Frontier

    with Daniel Smith, in Management Science 54(7), 1364-1380, 2008.

From Moments of Sum to Moments of Product (Errata, Matlab Programs)

    in Journal of Multivariate Analysis 99(3), 542-554, 2008.

Optimal Portfolio Choice with Parameter Uncertainty

    with Guofu Zhou, in Journal of Financial and Quantitative Analysis 42(3), 621-656, 2007.

A New Variance Bound on the Stochastic Discount Factor

    with Guofu Zhou, in Journal of Business 79(2), 941-961, 2006.

GMM Tests of Stochastic Discount Factor Models with Useless Factors

    with Chu Zhang, in Journal of Financial Economics 54(1), 103-127, 1999.

A Critique of the Stochastic Discount Factor Methodology

    with Guofu Zhou, in Journal of Finance 54, 1221-1248, 1999.

Two-pass Tests of Asset Pricing Models with Useless Factors

    with Chu Zhang, in Journal of Finance 54, 203-235, 1999.

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

    with Jia He, Lilian Ng, and Chu Zhang, in Journal of Finance 51, 1891-1908, 1996.

Biases in Evaluating Trading Strategies

    with George Kirikos, Canadian Investment Review, 9-18, Summer 1996. (This is the original version of the paper, which is slightly different but better than the published version.)

Expected Return and the Bid-Ask Spread

    with Nai-fu Chen, in Modern Portfolio Theory and Applications, (S. Saitou, K. Sawaki, and K. Kubota eds.), Gakujutsu Shuppan Center, Osaka, 1996.

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

    with Nai-fu Chen and Merton Miller, in Journal of Finance 48, 795-800, 1993.

A Rejoinder

    with Nai-fu Chen and Merton Miller, in Journal of Finance 48, 809-810, 1993.

Working Papers

Shape of the Yield Curve Under CIR Single Factor Model: A Note, 1992.

The Value-weighted Average Misspecification in Asset Pricing Models

On the Predicted Returns Explained by Asset Pricing Models

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

On the Explanatory Power of Asset Pricing Models Across and Within Portfolios, 1999.

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

Hansen-Jagannathan Distance: Geometry and Exact Distribution

Finite Sample Analysis of Two-Pass Cross-Sectional Regressions

Exact Variance Ratio Test with Overlapping Data (Matlab Programs), 2011.


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