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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

28

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20,230

CITATIONS
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Top 7,881

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59

Scholarly Papers (28)

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1.

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

Downloads 10,129 ( 297)

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 9,346 (352)

Abstract:

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 524 (41,691)

Abstract:

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 259 (96,324)

Abstract:

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 1,401 (6,953)

Abstract:

3.

Macroeconomic Sources of FOREX Risk

Downloads 1,193 ( 13,022)
Citation 9

Macroeconomic Sources of FOREX Risk

Univ. of York Econ. Discussion Paper No. 2001/13
Number of pages: 47 Posted: 16 Oct 2001
Michael R. Wickens and Peter N. Smith
University of Cardiff; Centre for Economic Policy Research (CEPR) and University of York - Department of Economics and Related Studies
Downloads 1,164 (13,284)
Citation 9

Abstract:

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

Macroeconomic Sources of FOREX Risk

CEPR Discussion Paper No. 3148
Number of pages: 49 Posted: 05 Feb 2002
Peter N. Smith and Michael R. Wickens
University of York - Department of Economics and Related Studies and University of Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 29 (410,015)
Citation 9

Abstract:

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

4.

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 1,079 (11,390)

Abstract:

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

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 1,066 (13,758)
Citation 1

Abstract:

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: 37 Posted: 15 May 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 787 (19,716)

Abstract:

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

7.

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

Downloads 566 ( 38,263)

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 462 (48,963)

Abstract:

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 104 (216,596)

Abstract:

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

8.

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 501 (22,396)

Abstract:

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

9.

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 R. Wickens
University of York - Department of Economics and Related Studies and University of Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 357 (66,716)
Citation 11

Abstract:

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

10.

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 284 (84,940)

Abstract:

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

11.

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 274 (72,267)

Abstract:

Liquidity, Trading Probability, Turnover

12.

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 R. Wickens
University of York - Department of Economics and Related Studies, Moody's Investor Services and University of Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 189 (126,141)
Citation 1

Abstract:

Stock returns, asymmetry

13.

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

Downloads 137 (174,884)

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 R. Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 79 (259,816)

Abstract:

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 R. Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 33 (392,135)

Abstract:

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 R. Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 25 (430,288)

Abstract:

14.

The Gender Earnings Gap in Britain

IZA Discussion Paper No. 1109
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 129 (169,954)
Citation 9

Abstract:

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

15.

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

Number of pages: 17 Posted: 07 Nov 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 118 (134,318)

Abstract:

Size portfolios; trend following; international; developing

16.

Job Tenure in Britain: Employee Characteristics Versus Workplace Effects

Downloads 107 (211,092)
Citation 13

Job Tenure in Britain: Employee Characteristics Versus Workplace Effects

IZA Discussion Paper No. 1085
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 95 (230,755)
Citation 13

Abstract:

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

Job Tenure in Britain: Employee Characteristics versus Workplace Effects

Economica, Vol. 71, No. 282, pp. 275-297, May 2004
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 (505,196)
Citation 13

Abstract:

17.

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 99 (196,552)
Citation 4

Abstract:

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

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 58 (247,962)

Abstract:

job satisfaction, earnings, gender, segregation, workplace

19.

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 43 (329,551)

Abstract:

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

20.

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 42 (317,946)

Abstract:

Equity Returns, Equity Premium, Business Cycle

21.

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 (474,732)
Citation 7

Abstract:

22.

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

Scottish Journal of Political Economy, Vol. 51, No. 3, pp. 402-421, August 2004
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 (479,821)
Citation 3

Abstract:

23.

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 R. Wickens
University of York - Department of Economics and Related Studies, Moody's Investor Services and University of Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 4 (522,756)
Citation 1

Abstract:

business cycles, demand and supply shocks, equity premium, stock returns

24.

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 0 (518,432)

Abstract:

gender pay gap, low pay

25.

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 0 (100,500)

Abstract:

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

26.

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 R. Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 0 (354,371)

Abstract:

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

27.

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 0 (543,111)

Abstract:

28.

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

Abstract:

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

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