EconPapers    
Economics at your fingertips  
 

Details about Peter Smith

E-mail:
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:Department of Economics and Related Studies, University of York, (more information at EDIRC)
Centre for Applied Macroeconomic Analysis (CAMA), Crawford School of Public Policy, Australian National University, (more information at EDIRC)

Access statistics for papers by Peter Smith.

Last updated 2019-04-16. Update your information in the RePEc Author Service.

Short-id: psm22


Jump to Journal Articles Edited books Chapters

Working Papers

2019

  1. 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 Downloads

2017

  1. 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 Downloads

2016

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

2015

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

2014

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

2013

  1. 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 Downloads View citations (1)
    Also in Discussion Papers, Department of Economics, University of York (2012) Downloads

    See also Journal Article in Manchester School (2013)
  2. 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 Downloads View citations (1)
    Also in Discussion Papers, Department of Economics, University of York (2012) Downloads View citations (2)

    See also Journal Article in Journal of Behavioral and Experimental Finance (2016)
  3. What do the Fama-French Factors Add to C-CAPM?
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (8)
    Also in Discussion Papers, Department of Economics, University of York Downloads
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2013) Downloads View citations (8)

    See also Journal Article in Journal of Empirical Finance (2013)

2012

  1. 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 Downloads
  2. Durable Consumption, Long-Run Risk and The Equity Premium
    Discussion Papers, Department of Economics, University of York Downloads
  3. Peer Salaries and Employee Satisfaction in the Workplace
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads View citations (3)
  4. Trend Following, Risk Parity and Momentum in Commodity Futures
    Discussion Papers, Department of Economics, University of York Downloads View citations (1)
    See also Journal Article in International Review of Financial Analysis (2014)

2009

  1. The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    See also Journal Article in International Journal of Finance & Economics (2010)

2007

  1. 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) Downloads View citations (3)
  2. 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 Downloads
  3. The Public-Private Sector Gender Wage Differential: Evidence from Matched Employee-Workplace Data
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads View citations (8)
  4. The Public-Private Sector Wage Differential: Gender, Workplaces and Family Friendliness
    Dundee Discussion Papers in Economics, Economic Studies, University of Dundee Downloads View citations (2)

2006

  1. 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 Downloads
    Also in Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group (2005) Downloads View citations (1)
  2. 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 Downloads View citations (2)

2004

  1. 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 Downloads
  2. IPO Pricing and the Relative Importance of Investor Sentiment: Evidence from Germany
    Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group Downloads View citations (2)
    Also in Discussion Papers, University of Bamberg, Chair of Finance (2004) Downloads
  3. Job Tenure in Britain: Employee Characteristics Versus Workplace Effects
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads View citations (21)
    Also in Discussion Papers, Department of Economics, University of York Downloads

    See also Journal Article in Economica (2004)
  4. The Existence and Effectiveness of Price Support Activities in Germany: A Note
    Discussion Papers, University of Bamberg, Chair of Finance Downloads
  5. The Gender Earnings Gap in Britain
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads View citations (2)
    Also in Discussion Papers, Department of Economics, University of York Downloads View citations (5)

2002

  1. Macroeconomic Sources of FOREX Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (16)

1997

  1. Job Reallocation: Theory and Workplace Evidence
    CEP Discussion Papers, Centre for Economic Performance, LSE Downloads
  2. 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 Downloads View citations (4)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (1999)

1993

  1. 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 (1)

1991

  1. Modelling Rsik Premia in International Asset Markets
    Working Papers, Australian National University - Department of Economics
    See also Journal Article in European Economic Review (1993)

1984

  1. 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 Downloads View citations (1)

Undated

  1. A Cross Section of Equity Returns: The No-Arbitrage Test
    Discussion Papers, Department of Economics, University of York Downloads
    See also Journal Article in Review of Financial Economics (2016)
  2. An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors
    Discussion Papers, Department of Economics, University of York Downloads View citations (4)
  3. Asset Pricing with Observable Stochastic Discount Factors
    Discussion Papers, Department of Economics, University of York Downloads View citations (34)
    See also Journal Article in Journal of Economic Surveys (2002)
  4. Job Reallocation and Average Job Tenure: Theory and Workplace Evidence From Australia
    Discussion Papers, Department of Economics, University of York Downloads
    Also in Discussion Papers, Department of Economics, University of York Downloads
  5. Job Tenure in Australia and Britain: Individual Versus Workplace effects
    Discussion Papers, Department of Economics, University of York Downloads View citations (3)
  6. Macroeconomic Sources of Equity Risk
    Discussion Papers, Department of Economics, University of York Downloads View citations (8)
  7. Men, Women and the Hiring Function
    Discussion Papers, Department of Economics, University of York Downloads
    See also Journal Article in The Economic Record (2000)
  8. Portfolio return autocorrelation and non-synchronous trading in UK equities
    Discussion Papers, Department of Economics, University of York Downloads View citations (3)
  9. Predicting UK Stock Returns and Robust Tests of Mean Variance Efficiency
    Discussion Papers, Department of Economics, University of York

Journal Articles

2016

  1. Can stochastic discount factor models explain the cross-section of equity returns?
    Review of Financial Economics, 2016, 28, (C), 56-68 Downloads
    See also Working Paper
  2. 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 Downloads View citations (3)
    See also Working Paper (2013)

2015

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

2014

  1. Trend following, risk parity and momentum in commodity futures
    International Review of Financial Analysis, 2014, 31, (C), 1-12 Downloads View citations (6)
    See also Working Paper (2012)

2013

  1. Equity Returns and the Business Cycle: the Role of Supply and Demand Shocks
    Manchester School, 2013, 81, 100-124 Downloads View citations (1)
    See also Working Paper (2013)
  2. What do the Fama–French factors add to C-CAPM?
    Journal of Empirical Finance, 2013, 22, (C), 113-127 Downloads View citations (6)
    See also Working Paper (2013)

2011

  1. The public-private sector gender wage differential in Britain: evidence from matched employee-workplace data
    Applied Economics, 2011, 43, (26), 3819-3833 Downloads View citations (8)

2010

  1. Discussion of the Fisher Effect Puzzle: A Case of Non-Linear Relationship
    Open Economies Review, 2010, 21, (1), 105-108 Downloads
  2. The equity premium and the business cycle: the role of demand and supply shocks
    International Journal of Finance & Economics, 2010, 15, (2), 134-152 Downloads View citations (4)
    See also Working Paper (2009)

2009

  1. What determines the part-time and gender earnings gaps in Britain: evidence from the workplace
    Oxford Economic Papers, 2009, 61, (suppl_1), i56-i75 Downloads View citations (23)

2007

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

2004

  1. JOB REALLOCATION, EMPLOYMENT CHANGE AND AVERAGE JOB TENURE: THEORY AND WORKPLACE EVIDENCE FROM AUSTRALIA
    Scottish Journal of Political Economy, 2004, 51, (3), 402-421 Downloads
  2. Job Tenure in Britain: Employee Characteristics versus Workplace Effects
    Economica, 2004, 71, (281), 275-297 Downloads View citations (18)
    See also Working Paper (2004)

2003

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

2002

  1. Asset Pricing with Observable Stochastic Discount Factors
    Journal of Economic Surveys, 2002, 16, (3), 397-446 Downloads View citations (35)
    See also Working Paper

2000

  1. Men, Women and the Hiring Function
    The Economic Record, 2000, 76, (235), 374-85
    See also Working Paper
  2. Output price determination and the business cycle
    Economic Modelling, 2000, 17, (1), 49-69 Downloads View citations (5)

1999

  1. The Hiring Function Reconsidered: On Closing the Circle
    Oxford Bulletin of Economics and Statistics, 1999, 61, (3), 343-64 Downloads View citations (27)
    See also Working Paper (1997)

1998

  1. Comparing global economic models
    Economic Modelling, 1998, 15, (1), 1-48 Downloads View citations (26)

1997

  1. UK stock returns and robust tests of mean variance efficiency
    Journal of Banking & Finance, 1997, 21, (5), 641-660 Downloads View citations (14)

1996

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

1995

  1. GAUSS 3.2 and COUNT 2.0
    Journal of Economic Surveys, 1995, 9, (1), 89-101

1994

  1. Econometric Evaluation of Consumers' Expenditure Equations
    Oxford Review of Economic Policy, 1994, 10, (2), 71-85 View citations (14)
  2. 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 Downloads

1993

  1. Modelling risk premia in international asset markets
    European Economic Review, 1993, 37, (1), 159-176 Downloads View citations (2)
    See also Working Paper (1991)

1991

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

1989

  1. Interrelated factor demands for manufacturing: A dynamic translog cost function approach
    European Economic Review, 1989, 33, (1), 111-126 Downloads View citations (7)
  2. The London Business School econometric model: Some recent developments
    Economic Modelling, 1989, 6, (3), 243-351 Downloads View citations (3)

1988

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

1987

  1. A Two-Sector Analysis of the UK Labour Market
    Oxford Bulletin of Economics and Statistics, 1987, 49, (1), 79-102 View citations (5)
  2. 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)
  3. Long-term unemployment and the shifting U-V curve: A multi-country study
    European Economic Review, 1987, 31, (1-2), 296-305 Downloads View citations (13)

1986

  1. 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 Downloads View citations (6)

Edited books

2016

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

Chapters

Undated

  1. Choques transitorios y de largo plazo en el PIB mexicano: un modelo de vectores autorregresivos estructurales con Stata
    StataCorp LP
 
Page updated 2019-05-20