Timothy T. Simin

Pennsylvania State University

Asst. Professor

University Park, PA 16802

United States

http://timsimin.net

SCHOLARLY PAPERS

20

DOWNLOADS
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SSRN RANKINGS

Top 4,310

in Total Papers Downloads

7,394

CITATIONS
Rank 2,208

SSRN RANKINGS

Top 2,208

in Total Papers Citations

253

Scholarly Papers (20)

1.

An Empirical Analysis of Commodity Convenience Yields

Number of pages: 46 Posted: 24 Jun 2005
Cantekin Dincerler, Zeigham Khoker and Timothy T. Simin
McKinsey & Co. Inc., University of Western Ontario - Finance-Economics Area Group and Pennsylvania State University
Downloads 1,205 (11,358)
Citation 3

Abstract:

Futures, Commodity, Convenience Yields, Net Hedging Pressure

2.
Downloads 1,057 ( 14,948)
Citation 153

Spurious Regressions in Financial Economics?

AFA 2001 New Orleans Meetings
Number of pages: 31 Posted: 17 Oct 2000
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 977 (16,493)
Citation 153

Abstract:

Spurious Regressions in Financial Economics?

NBER Working Paper No. w9143
Number of pages: 36 Posted: 06 Sep 2002
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 80 (247,031)
Citation 153

Abstract:

3.

Bringing Leased Assets onto the Balance Sheet

Journal of Corporate Finance 22, 345-360.
Number of pages: 44 Posted: 21 Sep 2010 Last Revised: 18 Mar 2014
Pennsylvania State University - Department of Finance, Loyola Marymount University and Pennsylvania State University
Downloads 848 (17,473)
Citation 2

Abstract:

Accounting performance, Capital structure, Financial risk, Lease financing, Off-Balance-Sheet, Risk metrics

4.

Measuring Distress Risk: The Effect of R&D Intensity

AFA 2007 Chicago Meetings Paper, Journal of Finance, Vol. 62, No. 6, pp. 2331-2368.
Number of pages: 59 Posted: 03 Dec 2005 Last Revised: 23 Mar 2014
Loyola Marymount University, Pennsylvania State University - Department of Finance and Pennsylvania State University
Downloads 728 (24,406)
Citation 17

Abstract:

Accounting conservatism, bankruptcy prediction, distress risk, financial distress

5.

The Alpha Factor Asset Pricing Model: A Parable

Number of pages: 36 Posted: 29 Jun 2005
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 641 (28,836)
Citation 51

Abstract:

Asset pricing, Factor models, Cross-sectional regressions, Arbitrage portfolios, Anomalies

6.

Expected Commodity Futures Returns

Number of pages: 23 Posted: 28 Mar 2008
Saqib A. Khan, Zeigham Khoker and Timothy T. Simin
affiliation not provided to SSRN, University of Western Ontario - Finance-Economics Area Group and Pennsylvania State University
Downloads 576 (33,614)
Citation 4

Abstract:

commodity futures pricing, multifactor models, conditional asset pricing

7.

Do Mutual Fund Managers Time Market Liquidity?

Journal of Financial Markets, Vol. 16, Iss. 2, Pg 279–307, 2013,
Number of pages: 43 Posted: 03 Jul 2009 Last Revised: 03 Oct 2013
Charles Cao, Timothy T. Simin and Ying Wang
Pennsylvania State University, Pennsylvania State University and State University of New York at Albany - School of Business
Downloads 502 (39,527)
Citation 5

Abstract:

Liquidity timing, mutual fund performance, market liquidity, bootstrap

8.

Managing the Balance Sheet with Leases

Number of pages: 43 Posted: 21 Jul 2012 Last Revised: 27 Oct 2015
Pennsylvania State University - Department of Finance, Loyola Marymount University and Pennsylvania State University
Downloads 452 (32,344)

Abstract:

Financial risk, Manipulation, Lease financing, Off-Balance-Sheet

9.

Is There a Contemporaneous Relation Between Exchange Rates and Stock Prices? Evidence from Decisions to Allow the Mexican Peso and Thai Baht to Float

Number of pages: 33 Posted: 18 Apr 2002
Kathryn L. Dewenter, Robert C. Higgins and Timothy T. Simin
University of Washington - Michael G. Foster School of Business, University of Washington - Department of Finance and Business Economics and Pennsylvania State University
Downloads 270 (87,541)
Citation 3

Abstract:

Exchange rate sensitivity, hedging, price reaction, event study

10.

Can Event Study Methods Solve the Currency Exposure Puzzle?

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 50 Posted: 07 Dec 2004
Timothy T. Simin, Kathryn L. Dewenter and Robert C. Higgins
Pennsylvania State University, University of Washington - Michael G. Foster School of Business and University of Washington - Department of Finance and Business Economics
Downloads 231 (100,734)
Citation 3

Abstract:

Exchange rate exposure, currency crises, event study

11.

Return Predictability Under the Alternative

Number of pages: 54 Posted: 26 Aug 2012 Last Revised: 03 Dec 2013
Marco Rossi, Timothy T. Simin and Daniel R. Smith
Texas A&M, Pennsylvania State University and Queensland University of Technology - School of Economics and Finance
Downloads 92 (193,234)
Citation 1

Abstract:

Predictability, overlapping observations, analytical standard errors, size, power

12.

Pricing Expected Deviations from Absolute Priority in Bankruptcy

Number of pages: 35 Posted: 23 Feb 2012 Last Revised: 03 Sep 2012
Kimberly Rodgers Cornaggia, Timothy T. Simin and Arun Upneja
Pennsylvania State University - Department of Finance, Pennsylvania State University and Boston University
Downloads 83 (234,122)

Abstract:

Bankruptcy, Financial Distress, Absolute Priority, Distressed Equity Valuation

13.

Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression

NBER Working Paper No. w12658
Number of pages: 38 Posted: 20 Nov 2006
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 60 (287,012)
Citation 11

Abstract:

14.

Testing Black's Leverage Effect by Using 'Seemingly' Zero Leverage Firms

Number of pages: 45 Posted: 21 Nov 2014
Fatma Sonmez and Timothy T. Simin
Queens School of Business and Pennsylvania State University
Downloads 49 (254,328)

Abstract:

All equity; Debt-financed; Zero leverage; Operating lease expense; Off- balance sheet financing; Leverage effect; Volatility; Return/Volatility Relationship

15.

The Value of Uninformative Credit Ratings

Number of pages: 38 Posted: 27 Oct 2015
Pennsylvania State University - Department of Finance, Pennsylvania State University - Department of Finance and Pennsylvania State University
Downloads 0 (230,814)

Abstract:

Corporate Debt, Credit Ratings, NRSROs, Information Intermediary, Capital Markets Regulation

Can Growth Options Explain the Trend in Idiosyncratic Risk?

Review of Financial Studies, Forthcoming
Posted: 10 Oct 2006
Charles Cao, Timothy T. Simin and Jing Zhao
Pennsylvania State University, Pennsylvania State University and Portland State University - School of Business Administration

Abstract:

Idiosyncratic volatility, growth options, real options

Can Growth Options Explain the Trend in Idiosyncratic Risk?

The Review of Financial Studies, Vol. 21, Issue 6, pp. 2599-2633, 2008
Posted: 15 Dec 2008
Charles Cao, Timothy T. Simin and Jing Zhao
Pennsylvania State University, Pennsylvania State University and Portland State University - School of Business Administration

Abstract:

17.

The (Poor) Predictive Performance of Asset Pricing Models

Journal of Financial and Quantitative Analysis, Forthcoming
Posted: 04 Oct 2006
Timothy T. Simin
Pennsylvania State University

Abstract:

Out-of-sample, prediction, mean square error

18.

The Convenience Yield and Risk Premia of Storage

Posted: 22 Mar 2005
Cantekin Dincerler, Zeigham Khoker and Timothy T. Simin
McKinsey & Co. Inc., University of Western Ontario - Finance-Economics Area Group and Pennsylvania State University

Abstract:

Commodity futures, convenience yield, basis

19.

Is Stock Return Predictability Spurious?

Journal of Investment Management, 2003, 1(3), 1-10
Posted: 31 Mar 2004 Last Revised: 27 Apr 2012
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University

Abstract:

Dividend yield, valuation ratios, time series, yield spreads, predicting stock returns, asset allocation, market timing, active portfolio management

20.

Outlier-Resistant Estimates of Beta

Financial Analysts Journal, Vol. 59, No. 5, pp. 56-69, September/October 2003
Posted: 29 Jan 2004
R. Douglas Martin and Timothy T. Simin
Independent and Pennsylvania State University

Abstract:

Equity Investments: fundamental analysis and valuation models; Risk Measurement and Management: single assets