Mikhail Simutin

University of Toronto - Rotman School of Management

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

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

SCHOLARLY PAPERS

18

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CITATIONS
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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 1,024 (20,278)
Citation 9

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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 973 (21,900)
Citation 5

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

3.

Levered Noise and the Limits of Arbitrage Pricing: Implications for the Term Structure of Equity Risk Premia

Number of pages: 52 Posted: 21 Sep 2011 Last Revised: 02 Apr 2019
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 832 (27,497)
Citation 6

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

4.

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 809 (28,573)

Abstract:

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Mutual fund performance, Portfolio management, closet indexing

5.

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 744 (32,072)
Citation 1

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

6.

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 735 (32,575)
Citation 2

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

7.

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 693 (35,276)

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

8.

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 665 (37,332)
Citation 6

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Overconditioning, Conditional CAPM, Performance Evaluation, Momentum

9.

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 614 (41,466)
Citation 1

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10.

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 California, Irvine - Paul Merage School of Business, University of Toronto - Rotman School of Management and University of British Columbia, Sauder School of Business, Students
Downloads 543 (48,627)

Abstract:

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

11.

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

Journal of Finance, Forthcoming, Rotman School of Management Working Paper No. 2633557
Number of pages: 87 Posted: 22 Jul 2015 Last Revised: 23 Aug 2018
Joon Woo Bae, Redouane Elkamhi and Mikhail Simutin
Case Western Reserve University - Weatherhead School of Management, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 428 (65,506)

Abstract:

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

12.

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 406 (69,805)

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

13.

Dissecting Conglomerates

Rotman School of Management Working Paper No. 2693847
Number of pages: 50 Posted: 22 Nov 2015 Last Revised: 24 Apr 2018
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 404 (70,234)

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

14.

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 369 (78,030)
Citation 1

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

15.

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: 50 Posted: 02 Oct 2015 Last Revised: 02 Mar 2018
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 327 (89,633)

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

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: 48 Posted: 10 Dec 2016 Last Revised: 07 Jul 2018
Ali Sharifkhani and Mikhail Simutin
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 283 (104,864)

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

17.

The Origins and Real Effects of the Gender Gap: Evidence from CEOs' Formative Years

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 69 Posted: 07 May 2018 Last Revised: 02 Jun 2018
Ran Duchin, Mikhail Simutin and Denis Sosyura
University of Washington - Michael G. Foster School of Business, University of Toronto - Rotman School of Management and Arizona State University
Downloads 264 (112,880)

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internal capital markets, conglomerates, division managers, gender, family descent

18.

IPO Offer Prices and Firm Performance

Number of pages: 51 Posted: 02 Dec 2009
Mikhail Simutin
University of Toronto - Rotman School of Management
Downloads 184 (160,198)

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IPOs, performance, offer prices