Timothy T. Simin

Pennsylvania State University

Asst. Professor

University Park, PA 16802

United States

http://timsimin.net

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 5,762

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6,305

CITATIONS
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SSRN RANKINGS

Top 2,263

in Total Papers Citations

250

Scholarly Papers (18)

1.
Downloads 1,062 ( 16,241)
Citation 152

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 979 (17,975)
Citation 152

Abstract:

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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 83 (259,639)
Citation 152

Abstract:

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2.

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 (17,858)
Citation 2

Abstract:

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

3.

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 (26,241)
Citation 18

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Accounting conservatism, bankruptcy prediction, distress risk, financial distress

4.

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 (30,655)
Citation 52

Abstract:

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

5.

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 576 (35,871)
Citation 4

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commodity futures pricing, multifactor models, conditional asset pricing

6.

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 (41,904)
Citation 4

Abstract:

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Liquidity timing, mutual fund performance, market liquidity, bootstrap

7.

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 (31,978)

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

8.

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 (94,714)
Citation 3

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Exchange rate sensitivity, hedging, price reaction, event study

9.

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 (106,980)
Citation 3

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Exchange rate exposure, currency crises, event study

10.

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 (198,876)
Citation 1

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

11.

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 (248,154)

Abstract:

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Bankruptcy, Financial Distress, Absolute Priority, Distressed Equity Valuation

12.

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: 04 Aug 2010
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 65 (295,769)
Citation 11

Abstract:

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13.

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 (257,407)

Abstract:

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

14.

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 (222,053)

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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 - 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

Abstract:

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16.

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

17.

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

18.

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

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