Simpson, Marc W

Marc W Simpson
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Positions

Chair, Department of Finance
Neff Endowed Chair Finance & Professor, Finance , College of Business and Innovation

Contact Info

Marc.Simpson@utoledo.edu

selected publications

Article (Faculty180)
- 2023
  
  Which sustainable growth rate is best at forecasting actual growth? . American Journal of Business.
- 2017
  
  An evaluation of the equilibrium value of the euro, its predecessors and their constituent currencies based on economic fundamentals. Applied Economics. 1.
- 2017
  
  The asymmetric impact of currency purchasing power imparities on ADR mispricing. Journal of Multinational Financial Management.
- 2017
  
  The impact of exchange rate deviations from relative PPP equilibrium on the US demand for foreign equities. Journal of International Money and Finance. 77:57.
- 2017
  
  The value of restrictive covenants in the changing bond market dynamics before and after the financial crisis. Journal of Corporate Finance. 46:307.
- 2016
  
  The Role of Industry Effects in Simultaneous Reversal and Momentum Patterns in One-Month Stock Returns. Journal of Behavioral Finance. 17:309.
- 2016
  
  What Difference Do Dividends Make?. Financial Analysts Journal. 72:28.
- 2015
  
  Bid-ask spreads, deviations from PPP and the forward prediction error: The case of the British pound and the euro. The Quarterly Review of Economics and Finance. 55:124.
- 2014
  
  An examination of the forward prediction error of US dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium asymmetry. The North American Journal of Economics and Finance. 28:221.
- 2014
  
  Euro conversion and return dynamics of European financial markets: a frequency domain approach. Journal of Economics and Finance. 38:1.
- 2014
  
  Forward premium anomaly of the British pound and the euro. International Review of Financial Analysis. 34:140.
- 2014
  
  Investigating the PPP hypothesis using constructed US dollar equilibrium exchange rate misalignments over the post-bretton woods period. Journal of Economics and Finance. 38:235.
- 2014
  
  The equilibrium level and forecasting performance of nominal effective exchange rate indexes using an export and import price-based relative PPP model. Applied Financial Economics. 24:1017.
- 2012
  
  Asymmetric and cross-sectional effects of inflation on stock returns under varying monetary conditions. Applied Financial Economics. 22:285.
- 2012
  
  Long-term reactions to large stock price declines and increases in the European stock market: a note on market efficiency. Journal of Economics and Finance. 36:400.
- 2012
  
  The makings of an information leader: the intraday price discovery process for individual stocks in the DJIA. Review of Quantitative Finance and Accounting. 38:347.
- 2011
  
  Barbarians in the Bank? State Fund Investments in the Financial Services Industry. International Journal of Finance and Economics. 23.
- 2011
  
  Can a relative purchasing power parity-based model outperform a random walk in forecasting short-term exchange rates?. International Journal of Finance \& Economics. 16:375.
- 2011
  
  Predictability of the US Dollar Index using a US export and import price index-based relative PPP model. Journal of Economics and Finance. 35:417.
- 2011
  
  Return and volatility transmission in US housing markets. Real Estate Economics. 39:701.
- 2010
  
  Barbarians in the Bank? Sovereign Wealth Fund Acquisitions of a Minority Stake in Financial Service Firms. International Journal of Finance. 22:6317.
- 2010
  
  Forecasting the Yen/US Dollar exchange rate: Empirical evidence from a capital enhanced relative PPP-based model. Journal of Asian Economics. 21:476.
- 2009
  
  Daylight saving effect. Journal of Multinational Financial Management. 19:127.
- 2009
  
  Overreaction and Underreaction to REIT Dividend Announcements and the Role of Monetary Policy. Journal of Real Estate Portfolio Management. 15:289.
- 2009
  
  Political cycles, partisan orientation, gridlock, and REIT returns. Journal of Real Estate Portfolio Management. 15:115.
- 2009
  
  The impact of deviation from relative purchasing power parity equilibrium on US foreign direct investment. The Quarterly Review of Economics and Finance. 49:521.
- 2008
  
  An inquiry into the economic fundamentals of the Fama and French equity factors. Journal of Empirical Finance. 15:801.
- 2008
  
  The effect of macroeconomic news on German closed-end funds. The Quarterly Review of Economics and Finance. 48:708.
- 2008
  
  US monetary policy surprises and currency futures markets: A new look. Financial Review. 43:509.
- 2007
  
  ADR mispricing: Do costly arbitrage and consumer sentiment explain the price deviation?. Journal of International Financial Markets, Institutions and Money. 17:361.
- 2007
  
  The asymmetric response of equity REIT returns to inflation. The Journal of Real Estate Finance and Economics. 34:513.
- 2006
  
  Selectively hedging the Euro. Journal of Multinational Financial Management. 16:27.
- 2006
  
  Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market. The Quarterly Review of Economics and Finance. 46:598.
- 2005
  
  The impact of macroeconomic surprises on spot and forward foreign exchange markets. Journal of International Money and Finance. 24:693.
- 2005
  
  The influence of macroeconomic news on term and quality spreads. The Quarterly Review of Economics and Finance. 45:84.
- 2004
  
  An examination of the impact of macroeconomic news on the spot and futures treasuries markets. Journal of Futures Markets. 24:453.
- 2004
  
  Selectively hedging the US dollar with foreign exchange futures contracts. Journal of International Financial Markets, Institutions and Money. 14:75.
- 2004
  
  The informational content of consumer expectations on the direction of exchange rate movements. American Journal of Business. 19:31.
- 2003
  
  Macroeconomic news and mortgage rates. The Journal of Real Estate Finance and Economics. 27:355.
- 2003
  
  The effect of consumer expectations on portfolio asset allocation. JOURNAL OF FINANCIAL PLANNING-DENVER-. 16:64.
- 2003
  
  The impact of inflationary news on money market yields and volatilities. Journal of Economics and Finance. 27:85.
- 2002
  
  Do Financial Crises Inhibit Market Efficiency? An Empirical Study with World Equity Benchmark Shares. Journal of emerging markets. 7:5.
- 2002
  
  Is differential sentiment a cause of closed-end country fund premia? An empirical examination of the Australian case. Applied Economics Letters. 9:615.
- 2001
  
  Predicting foreign exchange directional moves: Can simple fundamentals help?. The Journal of Investing. 10:43.
- 2001
  
  To hedge or not to hedge: the performance of simple strategies for hedging foreign exchange risk. Journal of Multinational Financial Management. 11:213.
Article (Web of Science)
- 2017
  
  The asymmetric impact of currency purchasing power imparities on ADR mispricing. JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT. 42-43:74-94.
  Full Text via DOI: 10.1016/j.mulfin.2017.11.001
- 2017
  
  The impact of exchange rate deviations from relative PPP equilibrium on the US demand for foreign equities. JOURNAL OF INTERNATIONAL MONEY AND FINANCE. 77:57-76.
  Full Text via DOI: 10.1016/j.jimonfin.2017.06.005
- 2017
  
  The value of restrictive covenants in the changing bond market dynamics before and after the financial crisis. JOURNAL OF CORPORATE FINANCE. 46:307-319.
  Full Text via DOI: 10.1016/j.jcorpfin.2017.08.002
- 2017
  
  An evaluation of the equilibrium value of the euro, its predecessors and their constituent currencies based on economic fundamentals. APPLIED ECONOMICS. 49:3280-3312.
  Full Text via DOI: 10.1080/00036846.2016.1259747
- 2016
  
  What Difference Do Dividends Make?. FINANCIAL ANALYSTS JOURNAL. 72:28-40.
- 2016
  
  The Role of Industry Effects in Simultaneous Reversal and Momentum Patterns in One-Month Stock Returns. JOURNAL OF BEHAVIORAL FINANCE. 17:309-320.
  Full Text via DOI: 10.1080/15427560.2016.1203323
- 2016
  
  What Difference Do Dividends Make?. FINANCIAL ANALYSTS JOURNAL. 72:28-40.
  Full Text via DOI: 10.2469/faj.v72.n6.1
- 2015
  
  Bid-ask spreads, deviations from PPP and the forward prediction error: The case of the British pound and the euro. The Quarterly Review of Economics and Finance. 55:124-139.
  Full Text via DOI: 10.1016/j.qref.2014.07.005
- 2014
  
  Forward premium anomaly of the British pound and the euro. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS. 34:140-156.
  Full Text via DOI: 10.1016/j.irfa.2014.05.013
- 2014
  
  An examination of the forward prediction error of US dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium asymmetry. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE. 28:221-238.
  Full Text via DOI: 10.1016/j.najef.2014.04.001
- 2012
  
  The makings of an information leader: the intraday price discovery process for individual stocks in the DJIA. REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING. 38:347-365.
  Full Text via DOI: 10.1007/s11156-011-0232-5
- 2011
  
  Can a relative purchasing power parity-based model outperform a random walk in forecasting short-term exchange rates?. International Journal of Finance & Economics. 16:375-392.
  Full Text via DOI: 10.1002/ijfe.435
- 2011
  
  Return and Volatility Transmission in U.S. Housing Markets. REAL ESTATE ECONOMICS. 39:701-741.
  Full Text via DOI: 10.1111/j.1540-6229.2010.00303.x
- 2010
  
  Forecasting the Yen/U.S. Dollar exchange rate: Empirical evidence from a capital enhanced relative PPP-based model. Journal of Asian Economics. 21:476-484.
  Full Text via DOI: 10.1016/j.asieco.2010.05.003
- 2009
  
  Daylight saving effect. JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT. 19:127-138.
  Full Text via DOI: 10.1016/j.mulfin.2008.09.001
- 2009
  
  The impact of deviation from relative purchasing power parity equilibrium on U.S. foreign direct investment. The Quarterly Review of Economics and Finance. 49:521-550.
  Full Text via DOI: 10.1016/j.qref.2008.02.001
- 2008
  
  An inquiry into the economic fundamentals of the Fama and French equity factors. JOURNAL OF EMPIRICAL FINANCE. 15:801-815.
  Full Text via DOI: 10.1016/j.jempfin.2008.02.003
- 2008
  
  The effect of macroeconomic news on German closed-end funds. The Quarterly Review of Economics and Finance. 48:708-724.
  Full Text via DOI: 10.1016/j.qref.2006.07.004
- 2008
  
  U.S. Monetary Policy Surprises and Currency Futures Markets: A New Look. Financial Review. 43:509-541.
  Full Text via DOI: 10.1111/j.1540-6288.2008.00206.x
- 2006
  
  Selectively hedging the Euro. JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT. 16:27-42.
  Full Text via DOI: 10.1016/j.mulfin.2005.02.002
- 2006
  
  Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market. The Quarterly Review of Economics and Finance. 46:598-619.
  Full Text via DOI: 10.1016/j.qref.2006.02.005
- 2005
  
  The impact of macroeconomic surprises on spot and forward foreign exchange markets. JOURNAL OF INTERNATIONAL MONEY AND FINANCE. 24:693-718.
  Full Text via DOI: 10.1016/j.jimonfin.2005.04.005
- 2005
  
  The influence of macroeconomic news on term and quality spreads. The Quarterly Review of Economics and Finance. 45:84-102.
  Full Text via DOI: 10.1016/s1062-9769(03)00030-9
- 2004
  
  An examination of the impact of macroeconomic news on the spot and futures treasuries markets. JOURNAL OF FUTURES MARKETS. 24:453-478.
  Full Text via DOI: 10.1002/fut.10132
- 2002
  
  Is differential sentiment a cause of closed-end country fund premia? An empirical examination of the Australian case. APPLIED ECONOMICS LETTERS. 9:615-619.
  Full Text via DOI: 10.1080/13504850110112567
Presentation (Faculty180)
Proceedings (Faculty180)
- 2009
  
  An Examination of Stock Market Dynamics in the Frequency Domain

full name

Marc W Simpson

visualizations

Cumulative publications in Scholars@UToledo

Co-author Network

research areas

Business & Economics