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

30

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Scholarly Papers (30)

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1.

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

Downloads 11,930 ( 293)

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 11,054 (336)

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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 582 (44,160)

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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 294 (100,625)

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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 1,981 (7,173)

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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 1,496 (11,378)

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

4.

Macroeconomic Sources of Forex Risk

Downloads 1,281 ( 14,528)

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 Cardiff; Centre for Economic Policy Research (CEPR) and University of York - Department of Economics and Related Studies
Downloads 1,252 (14,772)

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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 Wickens
University of York - Department of Economics and Related Studies and University of Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 29 (475,901)
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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 1,214 (15,812)

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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 1,062 (19,334)

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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 968 (22,205)

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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 799 (29,229)

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

9.

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

Downloads 598 ( 43,204)

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 477 (57,050)

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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 121 (228,543)

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

10.

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 426 (66,192)

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Sequence Risk, Perfect Withdrawal Rate, Decumulation, Trend Following

11.

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 Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 368 (78,696)

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

12.

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 355 (82,039)

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Liquidity, Trading Probability, Turnover

13.

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 304 (97,581)

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

14.

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 Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 203 (147,059)

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Stock returns, asymmetry

15.

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

Downloads 167 (175,415)

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 Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 86 (289,344)

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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 Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 53 (377,558)

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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 Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 28 (481,239)

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16.

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

Downloads 157 (185,809)

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 106 (251,718)

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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

Number of pages: 34 Posted: 29 Mar 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 51 (387,725)

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

17.

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 148 (194,215)

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

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 126 (220,726)

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job satisfaction, earnings, gender, segregation, workplace

19.

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 123 (224,713)

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

20.

Job Tenure in Britain: Employee Characteristics Versus Workplace Effects

Downloads 110 (243,884)

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 98 (265,832)

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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 (581,076)
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21.

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 Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 57 (359,233)

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

22.

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 55 (365,370)

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Equity Returns, Equity Premium, Business Cycle

23.

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 50 (381,271)

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

24.

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 (546,665)
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25.

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 (552,588)
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26.

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 7 (588,857)

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gender pay gap, low pay

27.

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 Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 4 (608,274)
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business cycles, demand and supply shocks, equity premium, stock returns

28.

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 (638,107)
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29.

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

30.

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