Timothy T. Simin

About

I am a Professor of Finance at the Smeal College of Business at Penn State. My research is in empirical asset pricing and financial econometrics, including return predictability, the evaluation of asset pricing models, factor models and anomalies, commodity futures, and the performance of mutual funds and hedge funds.

I received my Ph.D. in Finance, with a supporting area in Statistics, from the University of Washington in 2002, and my B.S. in Economics and Finance, summa cum laude, from the University of Texas at Dallas. I served as Director of the Finance Ph.D. program at Penn State from 2015 to 2022 and currently serve as an Associate Editor of the Review of Quantitative Finance and Accounting and the Review of Pacific Basin Financial Markets and Policies.

Working Papers

• "The Market’s Off-Frontier Component: Predictable but Not Priced"
  "Internet Appendix"
• Coherent Option Pricing
  with Charles Cao and Daniel McKeever
• Does Working from Home Impair Mutual Fund Performance?
  with Charles Cao and Han Xiao
• Betting Against Leverage
  with Kimberly Cornaggia and Fatma Sonmez-Leopold
• Are Hedge Fund Capacity Constraints Binding? Evidence on Scale and Competition
  with Charles Cao and Raisa Velthuis

Publications

• Deep Learning and the International Capital Asset Pricing Model
  with Stephen Owen · The Journal of Finance and Data Science, 2026
• Macro Sentiment and Hedge Fund Returns
  with Mustafa O. Caglayan, Mehmet Canayaz, and L. Zhao · Journal of Banking and Finance, 2026
• Firm Location and the Value-Growth Premium
  with Brent W. Ambrose and Y. Chen · Journal of Empirical Finance, 2026
• A Dynamic Partial Equilibrium Model of Capital Gains Taxation
  with Stephen Lenkey · The Journal of Finance and Data Science, 2023
• Scarcity and Risk Premiums in Commodity Futures
  with Saqib Khan and Zeigham Khokher · Quarterly Journal of Finance, 2022
• Information Choice, Uncertainty, and Expected Returns
  with Charles Cao and David Gempesaw · Review of Financial Studies, 2021
• Predicting the Equity Premium with Implied Volatility Spreads
  with Charles Cao and Han Xiao · Journal of Financial Markets, 2020
• The Decline of Informed Trading in the Equity and Options Markets
  with Charles Cao and David Gempesaw · Journal of Alternative Investments, 2018
• The Information Content of a Nonlinear Macro-Finance Model for Commodity Prices
  with Saqib Khan and Zeigham Khokher · Review of Financial Studies, 2017
• Bringing Leased Assets onto the Balance Sheet: The Impact on Common Risk and Performance Metrics
  with Kimberly Cornaggia and Laurel Franzen · Journal of Corporate Finance, 2013
• Do Mutual Fund Managers Time Market Liquidity?
  with Charles Cao and Ying Wang · Journal of Financial Markets, 2013
• Asset Pricing Regressions with Interaction Terms
  with Wayne Ferson and Sergei Sarkissian · Journal of Financial and Quantitative Analysis, 2008
• The (Poor) Predictive Performance of Asset Pricing Models
  Journal of Financial and Quantitative Analysis, 2008
• Do Growth Options Explain the Trend in Firm-Specific Risk?
  with Charles Cao and Jing Zhao · Review of Financial Studies, 2008
• Measuring Distress Risk: The Effect of R&D Intensity
  with Kimberly Cornaggia and Laurel Franzen · Journal of Finance, 2007
• Can Event Study Methods Solve the Currency Exposure Puzzle?
  with Kathryn L. Dewenter and Robert C. Higgins · Pacific-Basin Finance Journal, 2005
• Is Stock Return Predictability Spurious?
  with Wayne Ferson and Sergei Sarkissian · Journal of Investment Management, 2003
• Outlier-Resistant Estimates of Beta
  with R. Douglas Martin · Financial Analysts Journal, 2003
• Spurious Regressions in Financial Economics?
  with Wayne Ferson and Sergei Sarkissian · Journal of Finance, 2003
• The Alpha Factor Asset Pricing Model: A Parable
  with Wayne Ferson and Sergei Sarkissian · Journal of Financial Markets, 2000
• The Market Reaction to Federal Reserve Policy Action from 1989 to 1992
  with Vincent Reinhart · Journal of Economics and Business, 1997

Book Chapters

• Predicting the Equity Premium with the Implied Volatility Spread
  with Charles Cao and Han Xiao · in C.F. Lee (ed.), World Scientific, 2024
• Spurious Regression and Data Mining in Conditional Asset Pricing Models
  with Wayne Ferson and Sergei Sarkissian · in C.F. Lee (ed.), Handbook of Quantitative Finance and Risk Management, Springer, 2010

Teaching

• FIN 406H — Scientific Analysis of Portfolio Management (Honors, undergraduate)
• FIN 583 / FIN 883 — Portfolio Management (MBA and Executive MBA)
• FIN 597 — Ph.D. Special Topics
• Ph.D. Math Camp, Smeal College of Business (2011–2024)

Honors

• Dillwyn P. Paiste III Award for Excellence in Undergraduate Teaching, Smeal College of Business
• Faculty Recognition, Executive MBA Program (2018) and Smeal MBA Association (2016)
• Best Investments Paper, Northern Finance Association (2001)
• Best Paper Award, NTU International Conference on Economics, Finance and Accounting (2005)

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