Timothy T. Simin

Color portrait of Timothy T. Simin

Professor of Finance, Smeal Research Fellow in Finance

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

Download Photo Personal Website

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.


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.


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

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

Courses Taught

FIN 601 – Ph D Dis Full-Time

FIN 600 – Thesis Research (Variable)

Theoretical foundations and tools needed for structuring, managing, and monitoring the performance of an investment portfolio.

FIN 406H – Sc Aly Prf Mgt Hn (3)
Advanced valuation theory; fundamentals of security analysis; portfolio construction and management. FIN 406H - Security Analysis and Portfolio Management (Honors)(3) Finance 406 is about how to invest money in stocks, bonds and derivative securities. The course focus is on creating portfolios of assets rather than on picking individual assets for investment. To create a portfolio of assets, the portfolio manager must have knowledge of the assets available for purchase, the markets the assets are traded in, and the statistical and mathematical techniques needed to assign weights to the assets within the portfolio. The manager must also be able to predict changes in the economy that justify changes in the portfolio, as well as be able to evaluate the performance of the portfolio relative to standard benchmark portfolios such as the S&P500.The course begins with a review of the structure of the asset markets, basic pricing formulas, fundamental and technical analysis, and the tools from previous statistics, economics, and calculus classes needed. Different models relating risk and return such as the CAPM and arbitrage pricing model are covered. These models exemplify how investors are willing to trade-off the variance in returns from investments with the expected value of the investment. The students then learn how to choose the weights to assign to each asset available to maximize the expected return while minimizing risk of the portfolio using the portfolio theory of Markowitz. While the focus of this section of the class is on investing in equities, the portfolio theory learned is applicable to all types of assets. Because there are important differences between stocks and bonds, the next section of the class focuses on the unique characteristics of fixed income securities. Models explaining the different risk and return characteristics of bonds are examined. Because fixed income securities prices and returns are directly linked to changes in interest rates, theories of what determines interest rates are presented and applied to evaluating the performance of portfolios including fixed income securities. The course concludes with an overview of investment in options and futures contracts. The basic pricing models for these types of assets are reviewed as well as practical concepts of investing in derivatives such as margin accounts and creating synthetic returns using combinations of different types of options.As an Honors course, the level of research and academic investigation is enhanced with outside journal readings in topics such as portfolio theory, anomalies and market efficiency, overpricing, and current topics in Portfolio Management as material is published. This material is incorporated into class discussions and course exams beyond what is covered in the standard version of the class.

FIN 406 – Sec Anly &Prt Mgmt (3)
Advanced valuation theory; fundamentals of security analysis; portfolio construction and management.

FIN 590 – Colloquium (Variable)

FIN 597 – Special Topics (1.5)

This course explores tools used by corporate portfolio managers. Topics covered include a review of the structure of the asset markets, basic pricing formulas, fundamental and technical analysis, and the different models relating risk and return, as well as portfolio management and derivative pricing. Statistical concepts such as mean, variance, covariance, and regression analysis will be used extensively throughout the course. In particular, corporate portfolio management has become part of the DNA of the organization. Tactically, how does strategic management of corporate assets (both short- and long-term) i.e., the corporate portfolio, create shareholder value? In this course, students will gain an understanding of the theory underlying optimal portfolio construction, the different ways portfolios are actually built in practice, and how to measure and manage the risk of such portfolios. The course covers investment strategies for bonds, equities, and structured products, including the use of derivatives in managing risk as it relates to overall short- and long- term corporate strategy. Portfolio optimization and asset allocation are covered, as well as how to measure portfolio performance. Ethical investment, the role of taxation, and behavioral investment biases are also explored. At the end of the course students will be able to choose between different bonds, equities, and structured products, as well as make asset allocation decisions that match overall corporate strategic decision making. Students will also be able to decide on and know how to manage a diversified investment portfolio and its currency risk.

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 597C – Research Methods (3)
The class focuses on the empirical research methods, data, and econometrics used in the asset pricing subfields of financial economics.

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 Q., Xiao H., "Predicting the Equity Premium with Implied Volatility Spreads." Journal of Financial Markets, vol. 51, 2020, pp. 1-17
Simin T. T., Dincerler C., Khokher Z., "An empirical Analysis of Commodity Convenience Yields." Quarterly Journal of Finance, vol. 10, no. 2, 2020, pp. 2050009:1-27
Simin T. T., Cao C., Gempesaw D., "The Decline of Informed Trading in the Equity and Options Markets." Journal of Alternative Investments, vol. 21, no. 2, 2018, pp. 16-29
Simin T. T., Khan S., Khokher Z., "The Information Content of a Nonlinear Macro-Finance Model for Commodity Prices." Review of Financial Studies, vol. 30, no. 8, 2017, pp. 345-360
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, vol. 22, 2013, pp. 345-360
Cao Q., Simin T. T., Wang Y., "Do Mutual Fund Managers Time Market Liquidity." Journal of Financial Markets, vol. 6, no. 2, 2013, pp. 279-307
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, vol. 48, no. 2, 2008, pp. 331-354
Simin T. T., "The (Poor) Predictive Performance of Asset Pricing Models." Journal of Financial and Quantitative Analysis, vol. 43, no. 2, 2008, pp. 355-380
Cao Q., Simin T. T., Zhao J., "Do Growth Options Explain the Trend in Firm Specific Risk?." Review of Financial Studies, vol. 21, no. 6, 2008, pp. 2599-2634
Simin T. T., Cornaggia K., Franzen L., "Measuring Distress Risk: The Effect of R&D Intensity." Journal of Finance, vol. 62, no. 6, 2007, pp. 2391-2968
Simin T. T., Dewenter K. L., Higgins R. C., "Can Event Study Methods Solve the Currency Exposure Puzzle?." Pacific-Basin Finance Journal, vol. 13, no. 2, 2005, pp. 119-144
Simin T. T., Ferson W., Sarkissian S., "Is Stock Return Predictability Spurious?." Journal of Investment Management, no. 1, 2003, pp. 1-10
Simin T. T., Martin R. D., "Outlier Resistant Estimates of Beta." Financial Analysts Journal, vol. 59, no. 5, 2003, pp. 56-69
Simin T. T., Ferson W., Sarkissian S., "Spurious Regressions in Financial Economics?." Journal of Finance, vol. 58, no. 4, 2003, pp. 1393-1413
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, vol. 2, no. 1, 2000, pp. 49-68
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

"Lessor of two evils", Financial Times, Newspaper


Review of Quantitative Finance and Accounting, Associate Editor, January 2018 - Present
Review of Pacific Basin Financial Markets and Policies, Associate Editor, January 2017 - Present
Quantitative Finance Letters, Associate Editor, January 2012 - January 2017
Canadian Journal of Administrative Sciences, Associate Editor, January 2012 - January 2015