Peter N. Smith

University of York - Department of Economics and Related Studies

Heslington

York 010 5DD

United Kingdom

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

ANU College of Business and Economics

Canberra, Australian Capital Territory 0200

Australia

  • University of York - Department of Economics and Related Studies

    • Email
    • Tel: +44 1904 433 765
    • Fax: +44 1904 433 759

  • Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

SCHOLARLY PAPERS

33

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101

Scholarly Papers (33)

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1.

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Downloads 12,798 ( 330)
Citation 11

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Number of pages: 42 Posted: 08 Aug 2012 Last Revised: 27 Aug 2015
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 11,876 (382)

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Risk parity, trend following,bhavioral finance, momentum, global asset allocation, equities, bonds, real estate, commodities

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Number of pages: 34 Posted: 08 Jun 2013
Andrew Clare, Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 609 (49,733)
Citation 3

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risk parity, trend following, momentum, global asset allocation, equities, bonds,

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Number of pages: 34 Posted: 16 May 2013
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 313 (110,877)
Citation 11

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risk parity, trend following, momentum, global asset allocation, equities, bonds, commodities, real estate

2.

Trend Following, Risk Parity and Momentum in Commodity Futures

Number of pages: 34 Posted: 09 Aug 2012 Last Revised: 17 Jan 2013
Steve Thomas, Andrew Clare, James Seaton and Peter N. Smith
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and University of York - Department of Economics and Related Studies
Downloads 2,086 (8,115)
Citation 1

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3.

Breaking into the Blackbox: Trend Following, Stop Losses, and the Frequency of Trading: The Case of the S&P500

Number of pages: 19 Posted: 08 Aug 2012
Steve Thomas, James Seaton, Andrew Clare and Peter N. Smith
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and University of York - Department of Economics and Related Studies
Downloads 1,717 (11,162)
Citation 8

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trend following, S&P500, stop losses, trading frequency, fundamental investment metrics

4.

Macroeconomic Sources of Forex Risk

Downloads 1,358 ( 16,125)
Citation 4

Macroeconomic Sources of Forex Risk

Univ. of York Econ. Discussion Paper No. 2001/13
Number of pages: 47 Posted: 16 Oct 2001
Michael Wickens and Peter N. Smith
University of York and University of York - Department of Economics and Related Studies
Downloads 1,329 (16,345)
Citation 8

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FOREX, Market efficiency, risk premium, stochastic discount factors, GARCH

Macroeconomic Sources of Forex Risk

Number of pages: 49 Posted: 05 Feb 2002
Peter N. Smith and Michael Wickens
University of York - Department of Economics and Related Studies and University of York
Downloads 29 (551,259)
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FOREX, market efficiency, risk premium, stochastic discount factors, GARCH

5.

IPO Pricing and the Relative Importance of Investor Sentiment - Evidence from Germany

Number of pages: 43 Posted: 18 Sep 2004
Andreas Oehler, Marco Rummer and Peter N. Smith
Bamberg University, University of Oxford - Said Business School and University of York - Department of Economics and Related Studies
Downloads 1,273 (17,761)
Citation 5

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Initial Public Offerings (IPO), Underpricing, Investor Sentiment, Hot-issue Markets, Ex-ante Uncertainty

6.

When Growth Beats Value: Removing Tail Risk From Global Equity Momentum Strategies

Number of pages: 30 Posted: 15 May 2014 Last Revised: 28 Feb 2018
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 1,125 (21,425)

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International equity; Value investing; Growth investing; Relative momentum; Trend following; Tail risk

7.

Carry and Trend Following Returns in the Foreign Exchange Market

Number of pages: 32 Posted: 22 Jul 2015
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 1,017 (24,890)

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Forward exchange rate returns, trend following, carry trade, market liquidity and exchange risk.

8.

Reducing Sequence Risk Using Trend Following and the CAPE Ratio

Financial Analysts Journal, Forthcoming
Number of pages: 34 Posted: 16 Apr 2016 Last Revised: 10 May 2017
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 1,015 (24,965)
Citation 5

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Sequence Risk, Perfect Withdrawal Rate, Decumulation, Trend Following, CAPE

9.

Can Sustainable Withdrawal Rates Be Enhanced by Trend Following?

Number of pages: 34 Posted: 17 Aug 2017 Last Revised: 26 Mar 2018
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 882 (30,534)
Citation 2

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Sequence Risk, Perfect Withdrawal Rate, Decumulation, Trend Following

10.

European Equity Investing Through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?

Downloads 621 ( 49,104)

European Equity Investing Through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?

Number of pages: 31 Posted: 17 Dec 2013
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 490 (65,488)

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Trend following; Momentum investing;tail; risk; European equity sectors, Financial Crisis.

European Equity Investing Through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?

CAMA Working Paper No. 8/2014
Number of pages: 32 Posted: 23 Jan 2014 Last Revised: 24 Jan 2014
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 131 (250,516)

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Trend following, Momentum investing, Tail risk, European equity sectors, Financial crisis

11.

The Rehabilitation of Glidepath Investing

Downloads 456 ( 72,433)
Citation 1

The Rehabilitation of Glidepath Investing

Number of pages: 36 Posted: 29 Mar 2019 Last Revised: 27 Oct 2019
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 262 (133,943)

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Sequence Risk, Perfect Withdrawal Rate, Decumulation, Absolute Momentum,Trend Following

Absolute Momentum, Sustainable Withdrawal Rates and Glidepath Investing in US Retirement Portfolios From 1925

CAMA Working Paper No. 31/2019
Number of pages: 36 Posted: 04 Apr 2019
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 194 (179,418)
Citation 1

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Sequence Risk, Perfect Withdrawal Rate, Decumulation, Absolute Momentum, Trend Following

12.

Asset Pricing with Observable Discount Factors

U of York, Economics Discussion Paper No. 2002/03
Number of pages: 52 Posted: 27 Mar 2002
Peter N. Smith and Michael Wickens
University of York - Department of Economics and Related Studies and University of York
Downloads 374 (91,397)
Citation 3

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Asset Pricing, Stochastic Discount Factors, Forex, Equity, Term Structure, Affine Factor Models, Consumption CAPM, Financial Econometrics, GARCH

13.

Trading Probability and Turnover as Measures of Liquidity Risk: Evidence from the U.K. Stock Market

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 7 Posted: 17 Nov 2008 Last Revised: 07 Jan 2009
Ian D. McManus, Peter N. Smith and Steve Thomas
University of Southampton - School of Management, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 358 (96,023)

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Liquidity, Trading Probability, Turnover

14.

The Existence and Effectiveness of Price Support Activities in Germany - a Note

Number of pages: 19 Posted: 08 Dec 2004
Andreas Oehler, Marco Rummer and Peter N. Smith
Bamberg University, University of Oxford - Said Business School and University of York - Department of Economics and Related Studies
Downloads 312 (111,896)

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Initial Public Offerings (IPO), price support, overallotment option

15.

The Asymmetric Effect of the Business Cycle on the Relation between Stock Market Returns and Their Volatility

University of York, Discussion Paper No. 2006/03
Number of pages: 37 Posted: 03 Mar 2005
Peter N. Smith, Steffen Sorensen and Michael Wickens
University of York - Department of Economics and Related Studies, Moody's Investor Services and University of York
Downloads 209 (167,498)

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Stock returns, asymmetry

16.

Developing a Measure of Sequence Risk

Number of pages: 27 Posted: 27 Jan 2020
Andrew Clare, Simon Glover, James Seaton, Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School, affiliation not provided to SSRN, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 197 (177,042)

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Glidepath Investing, Sequence Risk, Perfect Withdrawal Rates, Trend Following

17.

What Do the Fama-French Factors Add to C-CAPM?

Downloads 189 (183,792)
Citation 4

What Do the Fama-French Factors Add to C-CAPM?

CESifo Working Paper Series No. 4197
Number of pages: 25 Posted: 24 Apr 2013
Pongrapeeporn Abhakorn, Peter N. Smith and Michael Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of York
Downloads 91 (324,037)

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C-CAPM, asset pricing, Fama-French factors

What Do the Fama-French Factors Add to C-CAPM?

Number of pages: 26 Posted: 16 May 2013
Pongrapeeporn Abhakorn, Peter N. Smith and Michael Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of York
Downloads 67 (388,683)

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What Do the Fama-French Factors Add to C-CAPM?

CAMA Working Paper 23/2013
Number of pages: 26 Posted: 08 Jun 2013
Pongrapeeporn Abhakorn, Peter N. Smith and Michael Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of York
Downloads 31 (539,409)

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18.

Peer Salaries and Employee Satisfaction in the Workplace

IZA Discussion Paper No. 6673
Number of pages: 16 Posted: 07 Jul 2012
Karen Mumford and Peter N. Smith
University of York (UK) and University of York - Department of Economics and Related Studies
Downloads 181 (190,957)
Citation 1

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job satisfaction, earnings, gender, segregation, workplace

19.

The Gender Earnings Gap in Britain

Number of pages: 25 Posted: 22 Apr 2004
Karen Mumford and Peter N. Smith
University of York (UK) and University of York - Department of Economics and Related Studies
Downloads 161 (211,138)

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gender earnings, wage-gap, fixed-effects, segregation

20.

The Public-Private Sector Gender Wage Differential: Evidence from Matched Employee-Workplace Data

IZA Discussion Paper No. 3158
Number of pages: 31 Posted: 28 Nov 2007
Monojit Chatterji, Karen Mumford and Peter N. Smith
University of Dundee - Department of Economic Studies, University of York (UK) and University of York - Department of Economics and Related Studies
Downloads 128 (253,964)
Citation 2

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public sector earnings, gender, gap, family friendly, decomposition

21.

Job Tenure in Britain: Employee Characteristics Versus Workplace Effects

Downloads 114 (276,524)
Citation 17

Job Tenure in Britain: Employee Characteristics Versus Workplace Effects

Number of pages: 33 Posted: 02 Apr 2004
Karen Mumford and Peter N. Smith
University of York (UK) and University of York - Department of Economics and Related Studies
Downloads 102 (300,728)

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job tenure, individual, fixed-effects, voice, segmentation

Job Tenure in Britain: Employee Characteristics Versus Workplace Effects

Number of pages: 24 Posted: 03 Jun 2004
Karen Mumford and Peter N. Smith
University of York (UK) and University of York - Department of Economics and Related Studies
Downloads 12 (673,416)
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22.

Can Stochastic Discount Factor Models Explain the Cross Section of Equity Returns?

Number of pages: 29 Posted: 27 Jan 2016
Pongrapeeporn Abhakorn, Peter N. Smith and Michael Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of York
Downloads 71 (372,085)

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Risk Premium; Equity Return; Stochastic Discount Factor; No-arbitrage Condition

23.

Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks

CAMA Working Paper Series Paper 22/2013
Number of pages: 33 Posted: 16 May 2013 Last Revised: 27 Sep 2013
Alfonso Mendoza Velazquez and Peter N. Smith
Centro de Investigación e Inteligencia Económica and University of York - Department of Economics and Related Studies
Downloads 59 (409,485)

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Equity Returns, Equity Premium, Business Cycle

24.

Assessing the Importance of Male and Female Part-Time Work for the Gender Earnings Gap in Britain

IZA Discussion Paper No. 2981
Number of pages: 49 Posted: 05 Sep 2007
Karen Mumford and Peter N. Smith
University of York (UK) and University of York - Department of Economics and Related Studies
Downloads 53 (430,494)

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gender earnings, wage gap, part-time, fixed effects, segregation

25.

Analysis of Systematic Risk around Firm-specific News in an Emerging Market using High Frequency Data

Number of pages: 34 Posted: 08 Oct 2020
Shabir Saleem, Peter N. Smith and Abdullah Yalaman
Eskisehir Osmangazi University, University of York - Department of Economics and Related Studies and University of York - The York Management School
Downloads 25 (560,336)

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Realized Beta, Firm-specific News, Earnings Announcements, Emerging Market

26.

The Gender Earnings Gap in Britain: Including the Workplace

Manchester School, Vol. 75, Issue 6, pp. 653-672, December 2007
Number of pages: 20 Posted: 22 Oct 2007
Karen Mumford and Peter N. Smith
University of York (UK) and University of York - Department of Economics and Related Studies
Downloads 14 (633,343)
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27.

Job Reallocation, Employment Change and Average Job Tenure: Theory and Workplace Evidence from Australia

Number of pages: 20 Posted: 27 Jul 2004
Karen Mumford and Peter N. Smith
University of York (UK) and University of York - Department of Economics and Related Studies
Downloads 13 (640,497)
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28.

Workplaces, Low Pay and the Gender Earnings Gap in Britain

IZA Discussion Paper No. 10453
Number of pages: 105 Posted: 10 Jan 2017
Karen Mumford, Peter N. Smith and Tim Butcher
University of York (UK), University of York - Department of Economics and Related Studies and Low Pay Commission
Downloads 12 (647,707)

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gender pay gap, low pay

29.

The Equity Premium and the Business Cycle: The Role of Demand and Supply Shocks

CEPR Discussion Paper No. DP7227
Number of pages: 34 Posted: 07 Apr 2009
Peter N. Smith, Steffen Sorensen and Michael Wickens
University of York - Department of Economics and Related Studies, Moody's Investor Services and University of York
Downloads 4 (706,002)
Citation 1
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business cycles, demand and supply shocks, equity premium, stock returns

30.

Perfect Withdrawal in a Noisy World: Investing Lessons with and without Annuities while in Drawdown between 2000 and 2019

Number of pages: 31
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 3

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Sequence Risk, Longevity Risk, Withdrawal Risk, Delayed Annuities, Adaptive Withdrawals

31.

Peer Salaries and Gender Differences in Job Satisfaction in the Workplace

The Manchester School, Vol. 83, Issue 3, pp. 307-313, 2015
Number of pages: 7 Posted: 07 Apr 2015
Karen Mumford and Peter N. Smith
University of York (UK) and University of York - Department of Economics and Related Studies
Downloads 1 (736,179)
Citation 1
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32.

Size Matters: Tail Risk, Momentum and Trend Following in International Equity Portfolios

https://doi.org/10.3905/joi.2017.26.3.053
Posted: 21 May 2019
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School

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Size portfolios; trend following; international; developing

33.

Is the Investor Sentiment Approach the Solution to the IPO Underpricing Phenomenon?

Posted: 20 Oct 2008
Andreas Oehler, Marco Rummer and Peter N. Smith
Bamberg University, University of Oxford - Said Business School and University of York - Department of Economics and Related Studies

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Initial Public Offerings (IPO), Underpricing, Investor Sentiment, Hot-issue Markets, Ex-ante Uncertainty