Timothy T. Simin

Pennsylvania State University

Asst. Professor

University Park, PA 16802

United States

http://timsimin.net

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 7,295

SSRN RANKINGS

Top 7,295

in Total Papers Downloads

7,651

SSRN CITATIONS
Rank 3,307

SSRN RANKINGS

Top 3,307

in Total Papers Citations

78

CROSSREF CITATIONS

332

Scholarly Papers (22)

1.

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 1,162 (22,268)
Citation 10

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

2.
Downloads 1,113 ( 23,692)
Citation 165

Spurious Regressions in Financial Economics?

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 994 (27,495)
Citation 7

Abstract:

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Spurious Regressions in Financial Economics?

NBER Working Paper No. w9143
Number of pages: 36 Posted: 06 Sep 2002 Last Revised: 27 Jun 2021
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 119 (287,152)
Citation 23

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3.

Managing the Balance Sheet with Leases

Number of pages: 43 Posted: 21 Jul 2012 Last Revised: 07 Jun 2018
Pennsylvania State University - Department of Finance, Loyola Marymount University and Pennsylvania State University
Downloads 872 (33,561)
Citation 5

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

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 849 (34,850)
Citation 2

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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 773 (39,634)
Citation 17

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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 Khokher and Timothy T. Simin
affiliation not provided to SSRN, Tulane University and Pennsylvania State University
Downloads 647 (50,282)
Citation 8

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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 590 (56,664)
Citation 7

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Liquidity timing, mutual fund performance, market liquidity, bootstrap

8.

Predicting the Equity Premium with the Implied Volatility Spread

Journal of Financial Markets, Vol.51, 2020
Number of pages: 53 Posted: 01 Oct 2020 Last Revised: 18 Nov 2020
Charles Cao, Timothy T. Simin and Han Xiao
Pennsylvania State University, Pennsylvania State University and Pennsylvania State University
Downloads 298 (125,986)

Abstract:

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Implied volatility spread, Equity premium, Prediction

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 282 (133,489)
Citation 2

Abstract:

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Exchange rate sensitivity, hedging, price reaction, event study

10.

Can Event Study Methods Solve the Currency Exposure Puzzle?

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 250 (150,885)

Abstract:

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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 165 (220,737)
Citation 1

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

12.

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 158 (228,987)

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

13.

Information Choice, Uncertainty, and Expected Returns

Review of Financial Studies, forthcoming
Number of pages: 80 Posted: 10 Aug 2019 Last Revised: 10 Dec 2020
Charles Cao, David Gempesaw and Timothy T. Simin
Pennsylvania State University, Miami University and Pennsylvania State University
Downloads 155 (232,676)
Citation 1

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Information Choice, Learning, Expected Returns, Cross-Section of Stock Returns, Volatility, Risk, Uncertainty

14.

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

Number of pages: 45 Posted: 21 Nov 2014
Fatma Sonmez-Leopold and Timothy T. Simin
Martin J. Whitman School of Manamegent and Pennsylvania State University
Downloads 109 (303,768)

Abstract:

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

15.

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 104 (313,707)

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Bankruptcy, Financial Distress, Absolute Priority, Distressed Equity Valuation

16.

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 Last Revised: 01 Feb 2021
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 75 (383,708)
Citation 4

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17.

Firm Location and the Value-Growth Premium

Number of pages: 51 Posted: 08 Jun 2021 Last Revised: 17 Jun 2021
Brent W. Ambrose, Yifan Chen and Timothy T. Simin
Pennsylvania State University, Pennsylvania State University and Pennsylvania State University
Downloads 49 (472,778)

Abstract:

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Value, Growth, Value premium, Firm location

18.

The Decline of Informed Trading in the Equity and Options Markets

Journal of Alternative Investments (2018), Volume 21 (2), 16-29
Posted: 02 Mar 2018 Last Revised: 02 Aug 2019
Charles Cao, David Gempesaw and Timothy T. Simin
Pennsylvania State University, Miami University and Pennsylvania State University

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informed trading, hedge funds, implied volatility, stock return predictability

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 - The School of Business

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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 - The School of Business

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20.

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

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Out-of-sample, prediction, mean square error

21.

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

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

22.

Outlier-Resistant Estimates of Beta

Posted: 29 Jan 2004
R. Douglas Martin and Timothy T. Simin
Independent and Pennsylvania State University

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