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

SCHOLARLY PAPERS

33

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33,076

SSRN CITATIONS
Rank 13,949

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Top 13,949

in Total Papers Citations

61

CROSSREF CITATIONS

50

Scholarly Papers (33)

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 13,436 (636)

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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 705 (69,537)
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 398 (140,621)
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 2,467 (11,186)
Citation 3

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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 2,172 (13,728)
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 1,894 (17,040)
Citation 10

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

5.
Downloads 1,563 (22,965)
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 1,534 (23,203)
Citation 9

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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 (912,436)
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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 1,407 (26,845)
Citation 7

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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 1,346 (28,615)
Citation 4

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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 1,249 (32,002)

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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 1,193 (34,173)

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

10.
Downloads 827 (57,138)
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 466 (116,728)

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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 361 (157,001)
Citation 1

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

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 535 (98,808)

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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 192 (296,550)

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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 408 (137,918)
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 396 (143,116)

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Liquidity, Trading Probability, Turnover

14.

Developing a Measure of Sequence Risk

Number of pages: 27 Posted: 27 Jan 2020
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 374 (152,141)

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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 347 (165,147)

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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 306 (188,753)
Citation 7

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job satisfaction, earnings, gender, segregation, workplace

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

CESifo Working Paper Series No. 4197
Number of pages: 25 Posted: 24 Apr 2013
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of YorkCardiff Business School
Downloads 116 (451,221)

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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
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of YorkCardiff Business School
Downloads 88 (548,288)

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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
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of YorkCardiff Business School
Downloads 54 (719,105)

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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
University of York - Department of Economics and Related Studies, Moody's Investor Services and University of YorkCardiff Business School
Downloads 241 (242,449)

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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 214 (269,314)
Citation 4

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

20.

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 167 (336,393)

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

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 154 (360,288)
Citation 1

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

22.

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 152 (364,116)
Citation 2

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

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 148 (372,198)
Citation 1

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

24.

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 111 (464,191)

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

25.

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

Number of pages: 29 Posted: 27 Jan 2016
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of YorkCardiff Business School
Downloads 98 (506,713)

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

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 97 (510,050)

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Equity Returns, Equity Premium, Business Cycle

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 51 (738,417)

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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 29 (912,436)

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

28.

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 77 (587,698)

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

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 32 (860,138)
Citation 2

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gender pay gap, low pay

30.

Saving to Decumulate: a Lifetime Journey, Introducing the Perfect Contribution Rate and its Relation to the Perfect Withdrawal Rate 

Number of pages: 24 Posted: 17 Jun 2024
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 28 (913,412)

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Pension accumulation, Decumulation, Sequence Risk, Withdrawal Risk, Mean Reversion

31.

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
University of York - Department of Economics and Related Studies, Moody's Investor Services and University of YorkCardiff Business School
Downloads 4 (1,133,711)
Citation 1
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business cycles, demand and supply shocks, equity premium, stock returns

32.

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

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

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

Abstract:

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