Mikhail Simutin

University of Toronto - Rotman School of Management

105 St. George Street

Toronto, Ontario M5S 3E6

Canada

http://www.rotman.utoronto.ca/simutin

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 4,180

SSRN RANKINGS

Top 4,180

in Total Papers Downloads

7,779

CITATIONS
Rank 12,609

SSRN RANKINGS

Top 12,609

in Total Papers Citations

31

Scholarly Papers (18)

1.

Excess Cash and Stock Returns

Financial Management, 2010, 39 (3), p. 1197-1222
Number of pages: 49 Posted: 15 Jan 2009 Last Revised: 31 May 2013
Mikhail Simutin
University of Toronto - Rotman School of Management
Downloads 793 (19,336)
Citation 9

Abstract:

Cash holdings, stock returns, investment, growth options

2.

Cash Holdings and Mutual Fund Performance

Review of Finance, Forthcoming, AFA 2011 Denver Meetings Paper
Number of pages: 52 Posted: 02 Dec 2009 Last Revised: 08 Jul 2013
Mikhail Simutin
University of Toronto - Rotman School of Management
Downloads 720 (21,367)
Citation 5

Abstract:

Mutual fund, cash holdings, fund liquidity, fire sales, stock selection skills

3.

Leverage and the Limits of Arbitrage Pricing: Implications for Dividend Strips and the Term Structure of Equity Risk Premia

Number of pages: 36 Posted: 21 Sep 2011 Last Revised: 07 May 2013
Arizona State University (ASU) - Finance Department, University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of Toronto - Rotman School of Management
Downloads 594 (26,850)
Citation 6

Abstract:

equity risk premium, dividend strips, term structure of equity risk premia, limits to arbitrage, microstructure frictions

4.

Conditional Risk and Performance Evaluation: Volatility Timing, Overconditioning, and New Estimates of Momentum Alphas

Journal of Financial Economics (JFE), 102 (2), 363-389, November 2011.
Number of pages: 54 Posted: 04 Jul 2007 Last Revised: 07 May 2013
Arizona State University (ASU) - Finance Department, University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of Toronto - Rotman School of Management
Downloads 496 (36,418)
Citation 8

Abstract:

Overconditioning, Conditional CAPM, Performance Evaluation, Momentum

5.

Horizon Effects in Average Returns: The Role of Slow Information Diffusion

Number of pages: 57 Posted: 16 Mar 2011 Last Revised: 01 Apr 2015
Arizona State University (ASU) - Finance Department, University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of Toronto - Rotman School of Management
Downloads 366 (38,165)

Abstract:

6.

Standing Out in the Fund Family: Deviation from a Family Portfolio Predicts Mutual Fund Performance

Number of pages: 51 Posted: 01 Sep 2011 Last Revised: 22 Jun 2013
Mikhail Simutin
University of Toronto - Rotman School of Management
Downloads 319 (68,705)
Citation 1

Abstract:

Mutual fund performance, value of active management, fund family, fund company

7.

A Labor Capital Asset Pricing Model

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 01 Sep 2012 Last Revised: 14 Feb 2017
Carnegie Mellon University - David A. Tepper School of Business, University of Toronto - Rotman School of Management and Arizona State University (ASU) - W.P. Carey School of Business
Downloads 305 (38,624)
Citation 2

Abstract:

Cross-sectional asset pricing, labor search frictions, matching efficiency

8.

Of Age, Sex, and Money: Insights from Corporate Officer Compensation on the Wage Inequality between Genders

Management Science, Forthcoming
Number of pages: 43 Posted: 30 Apr 2014 Last Revised: 16 May 2014
David Newton and Mikhail Simutin
Concordia University, Quebec - Department of Finance and University of Toronto - Rotman School of Management
Downloads 259 (64,969)

Abstract:

gender, officer compensation, wage inequality, pay gap, discrimination

9.

On the Demand for High-Beta Stocks: Evidence from Mutual Funds

Number of pages: 40 Posted: 15 Mar 2012 Last Revised: 24 Feb 2017
Susan Kerr Christoffersen and Mikhail Simutin
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 253 (45,792)

Abstract:

Retirement saving, agency costs, risk-taking, mutual funds, beta-return relation, volatility anomaly

10.

Managerial Activeness and Mutual Fund Performance

Review of Asset Pricing Studies, Forthcoming
Number of pages: 44 Posted: 20 Apr 2014 Last Revised: 09 May 2015
Hitesh Doshi, Redouane Elkamhi and Mikhail Simutin
University of Houston - C.T. Bauer College of Business, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 230 (39,444)

Abstract:

Mutual fund performance, Portfolio management, closet indexing

11.

Leverage Constraints and Asset Prices: Insights from Mutual Fund Risk Taking

Rotman School of Management Working Paper No. 2517704
Number of pages: 43 Posted: 02 Nov 2014 Last Revised: 26 Aug 2016
Oliver Boguth and Mikhail Simutin
Arizona State University (ASU) - Finance Department and University of Toronto - Rotman School of Management
Downloads 187 (46,293)
Citation 1

Abstract:

Leverage constraints, asset prices, betting-against-beta, mutual fund performance, cross-section of stock returns

12.

IPO Offer Prices and Firm Performance

Number of pages: 51 Posted: 02 Dec 2009
Mikhail Simutin
University of Toronto - Rotman School of Management
Downloads 170 (136,642)

Abstract:

IPOs, performance, offer prices

13.

The Best of Both Worlds: Accessing Emerging Economies via Developed Markets

Rotman School of Management Working Paper No. 2633557
Number of pages: 57 Posted: 22 Jul 2015 Last Revised: 01 Oct 2016
Joon Woo Bae, Redouane Elkamhi and Mikhail Simutin
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 80 (90,325)

Abstract:

International diversification, emerging markets, developed markets, diversification benefits, performance, export links, market integration

14.

The Fragility of Organization Capital

Number of pages: 47 Posted: 01 Oct 2016
Oliver Boguth, David Newton and Mikhail Simutin
Arizona State University (ASU) - Finance Department, Concordia University, Quebec - Department of Finance and University of Toronto - Rotman School of Management
Downloads 41 (349,984)

Abstract:

Organization Capital, Intangibles, Fragility, Top Management Team, Executives, CEO Deaths, Stock Returns, Cross-Sectional Asset Pricing

15.

Cheaper is Not Better: On the Superior Performance of High-Fee Mutual Funds

Rotman School of Management Working Paper No. 2912511
Number of pages: 42 Posted: 09 Feb 2017 Last Revised: 14 Apr 2017
Jinfei Sheng, Mikhail Simutin and Terry Zhang
University of British Columbia, Sauder School of Business, University of Toronto - Rotman School of Management and University of British Columbia, Sauder School of Business, Students
Downloads 0 (121,652)

Abstract:

Mutual fund performance, expenses, fee-performance relation, factor models

16.

Feedback Loops in Industry Trade Networks and the Term Structure of Momentum Profits

Rotman School of Management Working Paper No. 2882770
Number of pages: 43 Posted: 10 Dec 2016
Ali Sharifkhani and Mikhail Simutin
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 0 (135,324)

Abstract:

Industry trade networks, echo, stock returns, information diffusion, inter-sectoral input-output links, momentum, customer-supplier product market networks

17.

Dissecting Conglomerates

Rotman School of Management Working Paper No. 2693847
Number of pages: 50 Posted: 22 Nov 2015 Last Revised: 02 Oct 2016
Oliver Boguth, Ran Duchin and Mikhail Simutin
Arizona State University (ASU) - Finance Department, University of Washington - Michael G. Foster School of Business and University of Toronto - Rotman School of Management
Downloads 0 (91,779)

Abstract:

boundaries of the firm, segment valuation, conglomerate investment, internal capital markets, quantile regressions

18.

The Fragility of Organization Capital

Rotman School of Management Working Paper No. 2667882, 27th Annual Conference on Financial Economics and Accounting Paper
Number of pages: 47 Posted: 02 Oct 2015 Last Revised: 09 Sep 2016
Oliver Boguth, David Newton and Mikhail Simutin
Arizona State University (ASU) - Finance Department, Concordia University, Quebec - Department of Finance and University of Toronto - Rotman School of Management
Downloads 0 (116,096)

Abstract:

Organization capital, intangibles, fragility, top management team, executives, CEO deaths, stock returns, cross-sectional asset pricing