Details about Peter Smith

Homepage:	http://www-users.york.ac.uk/~pns2/
Phone:	01904 323765
Postal address:	Department of Economics and Related Studies University of York Heslington York YO10 5DD United Kingdom
Workplace:	Centre for Applied Macroeconomic Analysis (CAMA), Crawford School of Public Policy, Australian National University, (more information at EDIRC) Department of Economics and Related Studies, University of York, (more information at EDIRC)

Access statistics for papers by Peter Smith.

Last updated 2024-10-09. Update your information in the RePEc Author Service.

Short-id: psm22

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Working Papers

2021

1. Analysis of systematic risk around firm-specific news in an emerging market using high frequency data
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   Also in Discussion Papers, Department of Economics, University of York (2020)

2020

2. How to better align the U.K.’s corporate tax structure with national objectives
   Discussion Papers, Department of Economics, University of York

2019

3. Absolute momentum, sustainable withdrawal rates and glidepath investing in US retirement portfolios from 1925
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
4. The Gender Earnings Gap in British Workplaces: A Knowledge Exchange Report
   Discussion Papers, Department of Economics, University of York
5. The Rehabilitation of Glidepath Investing
   Discussion Papers, Department of Economics, University of York

2017

6. Decumulation, Sequencing Risk and the Safe Withdrawal Rate: Why the 4% Withdrawal Rule leaves Money on the Table
   Discussion Papers, Department of Economics, University of York

2016

7. Reducing sequence risk using trend following investment strategies and the CAPE
   Discussion Papers, Department of Economics, University of York
8. Workplaces, Low Pay and the Gender Earnings Gap in Britain
   IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (3)

2015

9. Carry and Trend Following Returns in the Foreign Exchange Market
   Discussion Papers, Department of Economics, University of York
10. Size Matters: Tail Risk, Momentum and Trend Following in International Equity Portfolios
    Discussion Papers, Department of Economics, University of York

2014

11. European Equity Investing through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?
    Discussion Papers, Department of Economics, University of York
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2014)
12. When Growth Beats Value: Removing Tail Risk From Global Equity Momentum Strategies
    Discussion Papers, Department of Economics, University of York

2013

13. Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
    Also in Discussion Papers, Department of Economics, University of York (2012)
    See also Journal Article Equity Returns and the Business Cycle: the Role of Supply and Demand Shocks, Manchester School, University of Manchester (2013) View citations (2) (2013)
14. The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
    Also in Discussion Papers, Department of Economics, University of York (2012) View citations (7)
    See also Journal Article The trend is our friend: Risk parity, momentum and trend following in global asset allocation, Journal of Behavioral and Experimental Finance, Elsevier (2016) View citations (11) (2016)
15. What do the Fama-French Factors Add to C-CAPM?
    CESifo Working Paper Series, CESifo View citations (10)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2013) View citations (10)
    See also Journal Article What do the Fama–French factors add to C-CAPM?, Journal of Empirical Finance, Elsevier (2013) View citations (8) (2013)

2012

16. BREAKING INTO THE BLACKBOX: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500
    Discussion Papers, Department of Economics, University of York
    See also Journal Article Breaking into the blackbox: Trend following, stop losses and the frequency of trading – The case of the S&P500, Journal of Asset Management, Palgrave Macmillan (2013) View citations (5) (2013)
17. Durable Consumption, Long-Run Risk and The Equity Premium
    Discussion Papers, Department of Economics, University of York
18. Peer Salaries and Employee Satisfaction in the Workplace
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (8)
19. Trend Following, Risk Parity and Momentum in Commodity Futures
    Discussion Papers, Department of Economics, University of York View citations (1)
    See also Journal Article Trend following, risk parity and momentum in commodity futures, International Review of Financial Analysis, Elsevier (2014) View citations (11) (2014)

2009

20. The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Journal Article The equity premium and the business cycle: the role of demand and supply shocks, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2010) View citations (7) (2010)

2007

21. Assessing the Importance of Male and Female Part-Time Work for the Gender Earnings Gap in Britain
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (3)
22. The Asymmetric Effect of the Business Cycle on the Equity Premium (This is an extensively revised version of earlier paper No. 06/04)
    Discussion Papers, Department of Economics, University of York
23. The Public-Private Sector Gender Wage Differential: Evidence from Matched Employee-Workplace Data
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (8)
24. The Public-Private Sector Wage Differential: Gender, Workplaces and Family Friendliness
    Dundee Discussion Papers in Economics, Economic Studies, University of Dundee View citations (3)

2006

25. THE ASYMMETRIC EFFECT OF THE BUSINESS CYCLE ON THE RELATION BETWEEN STOCK MARKET RETURNS AND THEIR VOLATILITY
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
    Also in Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group (2005) View citations (1)
26. The New Consensus in Monetary Policy: Is the NKM fit for the purpose of inflation targeting?
    CDMA Conference Paper Series, Centre for Dynamic Macroeconomic Analysis View citations (6)

2004

27. Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium
    Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group
28. IPO Pricing and the Relative Importance of Investor Sentiment: Evidence from Germany
    Discussion Papers, University of Bamberg, Chair of Finance
    Also in Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) View citations (2)
29. Job Tenure in Britain: Employee Characteristics Versus Workplace Effects
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (29)
    Also in Discussion Papers, Department of Economics, University of York View citations (20)
30. The Existence and Effectiveness of Price Support Activities in Germany: A Note
    Discussion Papers, University of Bamberg, Chair of Finance
31. The Gender Earnings Gap in Britain
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (4)
    Also in Discussion Papers, Department of Economics, University of York View citations (31)

2002

32. Macroeconomic Sources of FOREX Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)

1997

33. Job Reallocation: Theory and Workplace Evidence
    CEP Discussion Papers, Centre for Economic Performance, LSE
34. The Hiring Function Reconsidered: On Closing the Circle
    CEP Discussion Papers, Centre for Economic Performance, LSE View citations (4)
    Also in Discussion Papers, Department of Economics, University of York View citations (4)
    See also Journal Article The Hiring Function Reconsidered: on Closing the Circle, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1999) View citations (28) (1999)

1993

35. Predicting the Long-Term Unemployed: A primer for the Commonwealth Employment Service
    CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University View citations (2)

1991

36. Modelling Rsik Premia in International Asset Markets
    Working Papers, Australian National University - Department of Economics
    See also Journal Article Modelling risk premia in international asset markets, European Economic Review, Elsevier (1993) View citations (2) (1993)

1984

37. An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    See also Journal Article An Empirical Investigation into the Causes of Failure of the Monetary Model of the Exchange Rate, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1986) View citations (10) (1986)

Undated

38. A Cross Section of Equity Returns: The No-Arbitrage Test
    Discussion Papers, Department of Economics, University of York
    See also Journal Article Can stochastic discount factor models explain the cross-section of equity returns?, Review of Financial Economics, Elsevier (2016) View citations (1) (2016)
39. An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors
    Discussion Papers, Department of Economics, University of York View citations (4)
40. Asset Pricing with Observable Stochastic Discount Factors
    Discussion Papers, Department of Economics, University of York View citations (42)
    See also Journal Article Asset Pricing with Observable Stochastic Discount Factors, Journal of Economic Surveys, Wiley Blackwell (2002) View citations (42) (2002)
41. Consumption, Size and Book-to-Market Ratio in Equity Returns
    Discussion Papers, Department of Economics, University of York
    See also Journal Article What do the Fama–French factors add to C-CAPM?, Journal of Empirical Finance, Elsevier (2013) View citations (8) (2013)
42. Job Reallocation and Average Job Tenure: Theory and Workplace Evidence From Australia
    Discussion Papers, Department of Economics, University of York
    Also in Discussion Papers, Department of Economics, University of York View citations (1)
43. Job Tenure in Australia and Britain: Individual Versus Workplace effects
    Discussion Papers, Department of Economics, University of York View citations (4)
44. Macroeconomic Sources of Equity Risk
    Discussion Papers, Department of Economics, University of York View citations (10)
45. Men, Women and the Hiring Function
    Discussion Papers, Department of Economics, University of York
    See also Journal Article Men, Women and the Hiring Function, The Economic Record, The Economic Society of Australia (2000) (2000)
46. Portfolio return autocorrelation and non-synchronous trading in UK equities
    Discussion Papers, Department of Economics, University of York View citations (3)
47. Predicting UK Stock Returns and Robust Tests of Mean Variance Efficiency
    Discussion Papers, Department of Economics, University of York

Journal Articles

2024

1. The Effects of Language Policy on Minority Languages
   European Journal of Linguistics, 2024, 3, (3), 54 - 66

2021

2. Can sustainable withdrawal rates be enhanced by trend following?
   International Journal of Finance & Economics, 2021, 26, (1), 27-41 View citations (1)

2017

3. Reducing Sequence Risk Using Trend Following and the CAPE Ratio
   Financial Analysts Journal, 2017, 73, (4), 91-103

2016

4. Can stochastic discount factor models explain the cross-section of equity returns?
   Review of Financial Economics, 2016, 28, (C), 56-68 View citations (1)
   Also in Review of Financial Economics, 2016, 28, (1), 56-68 (2016)
   See also Working Paper A Cross Section of Equity Returns: The No-Arbitrage Test, Discussion Papers
5. The trend is our friend: Risk parity, momentum and trend following in global asset allocation
   Journal of Behavioral and Experimental Finance, 2016, 9, (C), 63-80 View citations (11)
   See also Working Paper The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation, CAMA Working Papers (2013) View citations (1) (2013)

2015

6. Peer Salaries and Gender Differences in Job Satisfaction in the Workplace
   Manchester School, 2015, 83, (3), 307-313 View citations (3)

2014

7. Trend following, risk parity and momentum in commodity futures
   International Review of Financial Analysis, 2014, 31, (C), 1-12 View citations (11)
   See also Working Paper Trend Following, Risk Parity and Momentum in Commodity Futures, Discussion Papers (2012) View citations (1) (2012)

2013

8. Breaking into the blackbox: Trend following, stop losses and the frequency of trading – The case of the S&P500
   Journal of Asset Management, 2013, 14, (3), 182-194 View citations (5)
   See also Working Paper BREAKING INTO THE BLACKBOX: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500, Discussion Papers (2012) (2012)
9. Equity Returns and the Business Cycle: the Role of Supply and Demand Shocks
   Manchester School, 2013, 81, 100-124 View citations (2)
   See also Working Paper Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks, CAMA Working Papers (2013) View citations (2) (2013)
10. What do the Fama–French factors add to C-CAPM?
    Journal of Empirical Finance, 2013, 22, (C), 113-127 View citations (8)
    See also Working Paper What do the Fama-French Factors Add to C-CAPM?, CESifo Working Paper Series (2013) View citations (10) (2013)
    Working Paper Consumption, Size and Book-to-Market Ratio in Equity Returns, Discussion Papers

2011

11. The public-private sector gender wage differential in Britain: evidence from matched employee-workplace data
    Applied Economics, 2011, 43, (26), 3819-3833 View citations (23)

2010

12. Discussion of the Fisher Effect Puzzle: A Case of Non-Linear Relationship
    Open Economies Review, 2010, 21, (1), 105-108
13. The equity premium and the business cycle: the role of demand and supply shocks
    International Journal of Finance & Economics, 2010, 15, (2), 134-152 View citations (7)
    See also Working Paper The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks, CEPR Discussion Papers (2009) View citations (1) (2009)

2009

14. What determines the part-time and gender earnings gaps in Britain: evidence from the workplace
    Oxford Economic Papers, 2009, 61, (suppl_1), i56-i75 View citations (51)

2007

15. THE GENDER EARNINGS GAP IN BRITAIN: INCLUDING THE WORKPLACE*
    Manchester School, 2007, 75, (6), 653-672 View citations (21)

2004

16. JOB REALLOCATION, EMPLOYMENT CHANGE AND AVERAGE JOB TENURE: THEORY AND WORKPLACE EVIDENCE FROM AUSTRALIA
    Scottish Journal of Political Economy, 2004, 51, (3), 402-421

2003

17. Determinants of current job tenure: a cross country comparison
    Australian Journal of Labour Economics (AJLE), 2003, 6, (3), 435-451 View citations (3)

2002

18. Asset Pricing with Observable Stochastic Discount Factors
    Journal of Economic Surveys, 2002, 16, (3), 397-446 View citations (42)
    See also Working Paper Asset Pricing with Observable Stochastic Discount Factors, Discussion Papers View citations (42)

2000

19. Men, Women and the Hiring Function
    The Economic Record, 2000, 76, (235), 374-385
    See also Working Paper Men, Women and the Hiring Function, Discussion Papers
20. Output price determination and the business cycle
    Economic Modelling, 2000, 17, (1), 49-69 View citations (5)

1999

21. The Hiring Function Reconsidered: on Closing the Circle
    Oxford Bulletin of Economics and Statistics, 1999, 61, (3), 343-364 View citations (28)
    See also Working Paper The Hiring Function Reconsidered: On Closing the Circle, CEP Discussion Papers (1997) View citations (4) (1997)

1998

22. Comparing global economic models
    Economic Modelling, 1998, 15, (1), 1-48 View citations (25)

1997

23. UK stock returns and robust tests of mean variance efficiency
    Journal of Banking & Finance, 1997, 21, (5), 641-660 View citations (22)

1996

24. Global macroeconomic shocks, time-varying covariances and tests of the international CAPM
    Applied Economics Letters, 1996, 3, (2), 109-113 View citations (2)
25. Targeting inflation: Comparative control exercises on models of the UK economy
    Economic Modelling, 1996, 13, (2), 169-184 View citations (1)

1995

26. Comparative Properties of Models of the UK Economy
    National Institute Economic Review, 1995, 153, 59-72
    Also in National Institute Economic Review, 1993, 145, 87-107 (1993)
27. GAUSS 3.2 and COUNT 2.0
    Journal of Economic Surveys, 1995, 9, (1), 89-101

1994

28. Econometric Evaluation of Consumers' Expenditure Equations
    Oxford Review of Economic Policy, 1994, 10, (2), 71-85 View citations (12)
29. Macroeconomic modelling and policy implications: In honour of Pertti Kukkonen: S. Honkapohja and M. Ingberg, eds, (North-Holland, Amsterdam, 1993) Pp. xvi + 218, ISBN 0 444 89626 0, US $93.0/Dfl. 175.0 hardback
    European Journal of Political Economy, 1994, 10, (4), 805-806

1993

30. Modelling risk premia in international asset markets
    European Economic Review, 1993, 37, (1), 159-176 View citations (2)
    See also Working Paper Modelling Rsik Premia in International Asset Markets, Working Papers (1991) (1991)

1991

31. Wage dispersion and inflation: Evidence from U.K. manufacturing industries
    Economics Letters, 1991, 37, (4), 357-362

1989

32. Interrelated factor demands for manufacturing: A dynamic translog cost function approach
    European Economic Review, 1989, 33, (1), 111-126 View citations (9)
33. The London Business School econometric model: Some recent developments
    Economic Modelling, 1989, 6, (3), 243-351 View citations (3)

1988

34. The gains from optimal control in a small econometric model of the UK
    Journal of Economic Dynamics and Control, 1988, 12, (1), 13-18
35. Unemployment, Vacancies and the Long-term Unemployed
    Economic Journal, 1988, 98, (393), 1071-91 View citations (43)

1987

36. A Two-Sector Analysis of the UK Labour Market
    Oxford Bulletin of Economics and Statistics, 1987, 49, (1), 79-102 View citations (7)
37. Current Account Movements, Wealth Effects and the Determination of the Real Exchange Rate
    The Manchester School of Economic & Social Studies, 1987, 55, (4), 353-77 View citations (1)
38. Long-term unemployment and the shifting U-V curve: A multi-country study
    European Economic Review, 1987, 31, (1-2), 296-305 View citations (17)

1986

39. An Empirical Investigation into the Causes of Failure of the Monetary Model of the Exchange Rate
    Journal of Applied Econometrics, 1986, 1, (2), 143-62 View citations (10)
    See also Working Paper An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate, CEPR Discussion Papers (1984) View citations (2) (1984)

Edited books

2020

1. The UK Economy in the Long Expansion and its Aftermath
   Cambridge Books, Cambridge University Press

2016

2. The UK Economy in the Long Expansion and its Aftermath
   Cambridge Books, Cambridge University Press View citations (5)

Chapters

Undated

1. Choques transitorios y de largo plazo en el PIB mexicano: un modelo de vectores autorregresivos estructurales con Stata
   StataCorp LLC