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

32

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49

Scholarly Papers (32)

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1.

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

Downloads 14,168 ( 497)
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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 13,122 (562)

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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 of London - Bayes Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 670 (65,351)
Citation 4

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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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 376 (132,184)
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 - The Business School, City, University of London - Bayes Business School, City University London - The Business School and University of York - Department of Economics and Related Studies
Downloads 2,357 (10,496)
Citation 2

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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 - The Business School, City University London - The Business School, City, University of London - Bayes Business School and University of York - Department of Economics and Related Studies
Downloads 2,055 (13,094)
Citation 9

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

4.

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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 1,827 (15,731)
Citation 8

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

5.

Macroeconomic Sources of Forex Risk

Downloads 1,514 (21,025)
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, Michael Wickens and Peter N. Smith
University of YorkCardiff Business School and University of York - Department of Economics and Related Studies
Downloads 1,485 (21,257)
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, Michael Wickens and Michael Wickens
University of York - Department of Economics and Related Studies and University of YorkCardiff Business School
Downloads 29 (802,401)
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FOREX, market efficiency, risk premium, stochastic discount factors, GARCH

6.

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 1,382 (24,130)
Citation 6

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

7.

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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 1,290 (26,675)
Citation 3

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Sequence Risk, Perfect Withdrawal Rate, Decumulation, Trend Following

8.

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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 1,220 (28,991)

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

9.

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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 1,122 (32,732)

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

10.

The Rehabilitation of Glidepath Investing

Downloads 749 (57,300)
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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 420 (116,600)

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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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 329 (152,983)
Citation 1

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

11.

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

Downloads 694 (63,297)

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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 522 (89,604)

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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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 172 (288,478)

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

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, Michael Wickens and Michael Wickens
University of York - Department of Economics and Related Studies and University of YorkCardiff Business School
Downloads 399 (124,551)
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 - The Business School
Downloads 378 (132,504)

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Liquidity, Trading Probability, Turnover

14.

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 of London - Bayes Business School, affiliation not provided to SSRN, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 342 (147,814)

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

15.

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 336 (150,634)

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

16.

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 290 (176,028)
Citation 10

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job satisfaction, earnings, gender, segregation, workplace

17.

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

Downloads 238 (214,353)

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, Michael Wickens and Michael Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of YorkCardiff Business School
Downloads 108 (417,286)

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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, Michael Wickens and Michael Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of YorkCardiff Business School
Downloads 81 (505,276)

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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, Michael Wickens and Michael Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of YorkCardiff Business School
Downloads 49 (659,084)

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18.

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, Michael Wickens and Michael Wickens
University of York - Department of Economics and Related Studies, Moody's Investor Services and University of YorkCardiff Business School
Downloads 228 (223,550)

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Stock returns, asymmetry

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 193 (260,625)
Citation 3

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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 149 (325,562)
Citation 2

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

21.

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 128 (366,358)
Citation 1

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

22.

Measuring Success in Decumulation: The Minimum Acceptable Annual Withdrawal Rate (MAAW)

Number of pages: 43 Posted: 06 May 2022
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 123 (377,515)

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

23.

Perfect Withdrawal in a Noisy World: Investing Lessons With and Without Annuities While in Drawdown Between 2000 and 2019

Number of pages: 31 Posted: 08 Feb 2021
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 115 (396,481)
Citation 1

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

24.

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, Michael Wickens and Michael Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of YorkCardiff Business School
Downloads 90 (468,908)

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

25.

The Science of Flexible Retirement Choices: Switching Retirement Savings into an Annuity

Number of pages: 27 Posted: 25 Apr 2023
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 86 (482,325)

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Sequence Risk; Longevity Risk, Withdrawal Risk, Delayed Annuities, Adaptive Withdrawals, Residual Sum

26.

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 83 (492,781)

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Equity Returns, Equity Premium, Business Cycle

27.

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 66 (560,458)

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

28.

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

Downloads 64 (569,469)
Citation 1

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 45 (683,796)

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

Analysis of systematic risk around firm-specific news in an emerging market using high frequency data

CAMA Working Paper No. 35/2021
Number of pages: 36 Posted: 29 Mar 2021
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 19 (893,695)

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

29.

Workplaces, Low Pay and the Gender Earnings Gap in Britain

IZA Discussion Paper No. 10453
Number of pages: 105 Posted: 10 Jan 2017 Last Revised: 16 Apr 2023
Tim Butcher, Karen Mumford, Peter N. Smith and Tim Butcher
affiliation not provided to SSRN, University of York (UK), University of York - Department of Economics and Related Studies and Low Pay Commission
Downloads 22 (837,602)
Citation 1

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gender pay gap, low pay

30.

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, Michael Wickens and Michael Wickens
University of York - Department of Economics and Related Studies, Moody's Investor Services and University of YorkCardiff Business School
Downloads 4 (1,002,952)
Citation 1
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business cycles, demand and supply shocks, equity premium, stock returns

31.

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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

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Size portfolios; trend following; international; developing

32.

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