Timothy T. Simin

Color portrait of Timothy Simin

Associate Professor of Finance, Smeal Research Fellowship in Finance

Office Address 345 Business Building
Phone Number 814-865-3457
Email Address tts3@psu.edu

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Tim Simin graduated Summa Cum Laude from the University of Texas at Dallas with a Bachelor of Science in Economics and Finance in 1992. Between 1992 and 1994 he worked in the Division of Monetary Affairs at the Federal Reserve Board of Governors in Washington, D.C.. He earned a Ph.D. in Finance from the University of Washington. Tim has taught finance and economics at the University of Washington, held a visiting position at the University of North Carolina at Chapel Hill, and is currently an Assistant Professor in the Finance Department at the Smeal College of Business at the Pennsylvania State University. His research interests include empirical issues in asset pricing, robust econometric methods, and international finance. He has published research in the Journal of Economics and Business, the Journal of Financial Markets, the Journal of Finance, the Financial Analysts Journal, the Journal of Investment Management, has several book chapters, and has won the Best Investments Paper award from the Northern Finance Association. He also serves as a referee for the Journal of Finance, the Journal of Financial and Quantitative Analysis, the Review of Financial Studies, and Management Science. Tim has a daughter Sydnie, two younger sons Alexander and Noah and two step-sons Holden and Owen.

Expertise

Professor Simin is doing empirical research on the predictability of equity returns, robust estimation techniques, pricing of commodity futures, and predicting financial distress. Please see Professor Simin's vita at http://timsimin.net/ for a listing of publications and working papers.

Education

Ph D, Finance (Statistics), University of Washington, 2002

BS, Economics and Finance, University of Texas at Dallas, 1992

Courses Taught

FIN 406 – Security Analysis and Portfolio Management (3)
Advanced valuation theory; fundamentals of security analysis; portfolio construction and management.

FIN 406H – Security Analysis and Portfolio Management (3)
Advanced valuation theory; fundamentals of security analysis; portfolio construction and management.

FIN 583 – Modern Portfolio Management: Theory and Practice (2)
Theoretical foundations and tools needed for structuring, managing, and monitoring the performance of an investment portfolio.

FIN 590 – Colloquium (1)
Continuing seminars which consist of a series of individual lectures by faculty, students, or outside speakers.

FIN 596 – Individual Studies (variable)
Creative projects, including nonthesis research, which are supervised on an individual basis and which fall outside the scope of formal courses.

FIN 597 – Special Topics (Variable)
Formal courses given on a topical or special interest subject which may be offered infrequently; several different topics may be taught in one year or term.

FIN 597C – Research Methods (3)
Special topics course.

FIN 601 – PH.D. DISSERTATION FULL-TIME
NO DESCRIPTION.

PSU 006 – First-Year Seminar Business (1)
Facilitate student's adjustment to the high expectations, demanding workload, increased academic liberties, and other aspects of the transition to college life.

Selected Publications

Simin T. T., Cao C., Gempesaw D., "The Decline of Informed Trading in the Equity and Options Markets." Journal of Alternative Investments, 2018.
Simin T. T., Khan S., Khokher Z., "The Information Content of a Nonlinear Macro-Finance Model for Commodity Prices." Review of Financial Studies, 2017.
Simin T. T., Cornaggia K., Franzen L., "Bringing leased assets onto the balance sheet: The impact on common risk and performance metrics." Journal of Corporate Finance, 2013.
Cao Q., Simin T. T., Wang Y., "Do Mutual Fund Managers Time Market Liquidity." Journal of Financial Markets, 2013.
Simin T. T., Ferson W., Sarkissian S., "Spurious Regression and Data Mining in Conditional Asset Pricing Models." Handbook of Quantitative Finance, (Springer), vol. 3, no. 1, 2010.
Simin T. T., Ferson W. E., Sarkissian S., "Asset Pricing Regressions with Interaction Terms." Journal of Financial and Quantitative Analysis, 2008.
Simin T. T., "The (Poor) Predictive Performance of Asset Pricing Models." Journal of Financial and Quantitative Analysis, 2008.
Cao Q., Simin T. T., Zhao J., "Do Growth Options Explain the Trend in Firm Specific Risk?." Review of Financial Studies, 2008.
Simin T. T., Cornaggia K., Franzen L., "Measuring Distress Risk: The Effect of R&D Intensity." Journal of Finance, 2007.
Simin T. T., Dewenter K. L., Higgins R. C., "Can Event Study Methods Solve the Currency Exposure Puzzle?." Pacific-Basin Finance Journal, 2005.
Simin T. T., Ferson W. E., Sarkissian S., "Spurious Regression and Data Mining in Conditional Asset Pricing Models." vol. 3, no. 1, 2004.
Simin T. T., Ferson W., Sarkissian S., "Is Stock Return Predictability Spurious?." Journal of Investment Management, 2003.
Simin T. T., Martin R. D., "Outlier Resistant Estimates of Beta." Financial Analysts Journal, 2003.
Simin T. T., Ferson W., Sarkissian S., "Spurious Regressions in Financial Economics?." Journal of Finance, 2003.
Simin T. T., Martin R. D., "Robust Beta Mining." 2001.
Simin T. T., Dewenter K. L., Higgins R. C., "Estimating the exchange rate exposure of US multinational firms: Evidence from an event study methodology." 2000.
Simin T. T., Ferson W., Sarkissian S., "The Alpha Factor Asset Pricing Model: A Parable." Journal of Financial Markets, 2000.
Simin T. T., Martin R. D., "Estimates of Small-Stock Betas are Often Very Distorted by Outliers." vol. 22, 1999, pp. 345-360.
Simin T. T., Martin R. D., "Robust Estimation of Beta." vol. 22, 1999, pp. 345-360.
Simin T. T., Reinhart V., "The Market Reaction to Federal Reserve Policy Action from 1989 to 1992." Journal of Economics and Business, vol. 49, 1997, pp. 149-168.

Research Impact and Media Mention

"Lesor of two evils", Financial Times, Newspaper

Editorships

Canadian Journal of Administrative Schiences, Associate Editor, January 2012 - Present
Quantitative Finance Letters, Associate Editor, January 2012 - Present