Peter N. Smith
Professor

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Profile
Research
Publications
Teaching
External activity

Biography

Peter N Smith is Professor of Economics and Finance at the University of York where he has worked since 1995. He is Director of the MSc Economics and Finance and Director of Taught Graduate Admissions. He has supervised 34 PhD students to completion. He is chair of the Trustees of the Money, Macro and Finance Society.

Departmental roles

Programme Director, MSc Economics and Finance
Chair, Graduate Admissions Panel
PG Module Review Committee (ex officio Director PG Econ/Fin)
Performance Reviewer
PhD Studentship Selection Panel (ex officio, Chair PG Admissions)

Overview

Peter N Smith is engaged in research in areas of financial economics, macro economics and labour economics. In recent times he has published research papers on the analysis of the importance of macroeconomic sources of risk in domestic and international asset markets, the significance of trend following as an investment strategy and risk factor in a range of asset markets and on the determination of the gender pay gap. He has published research papers in 29 different international journals and in 10 books.

Projects

Trend following in asset market returns
The role of durable goods in a consumption-based asset pricing model with long-run risk
Measuring the cost of discrimination and the determination of the gender gap
Understanding the role of asset returns in defined contribution pension schemes

Supervision

Nicola Delf
Shanyan Lai
Abdulla Shaheed
Huan Xiao

See http://www.york.ac.uk/economics/our-people/phd-students/

Former Research Students

My former students include:

Pongrapeeporn Abhakorn	Ministry of Finance, Thailand
Jian-Hua Gang	Renmin University, China
Na Guo	Beijing Technology & Business University, China
Emanuel Leao	ISCTE-Lisbon University Institute, Portugal
Xiang Li	Shanghai Business School, China
Rachel Male	Queen Mary University of London, UK
Alfonso Mendoza	Universidad Popular Autonoma del Estado de Puebla, Mexico
Roberto Motto	European Central Bank, Germany
Susanna Paleologou	Aristotle University of Thessaloniki, Greece
Junho Park	Government of Korea, Seoul, Korea
Beatrice Pialuigi	European Central Bank, Germany
Carmelo Petraglia	Università degli Studi della Basilicata, Italy
Mario Quagliariello	European Banking Authority, London, UK
Steffen Sorensen	Moodys, New York, USA
Raymond Swaray	Hull University, UK
Matteo De Tina	Bath University, UK
Yu Wang	Xiamen University, China
Ben Warner	Ministry of Defence, London, UK
Ociel Hernandez Zamudio	BBVA, Mexico

Some recent publications by my former students:

Joyce, Michael A.S. and Lildholdt, Peter and Sorensen, Steffen, 2010. "Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 281-294, February.
Drehmann, Mathias and Sorensen, Steffen and Stringa, Marco, 2010. "The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 713-729, April.
Peter N. Smith and Steffen, Sorensen and Michael Wickens, 2010. "The equity premium and the business cycle: the role of demand and supply shocks," International Journal of Finance and Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 134-152.
Peter N. Smith and Steffen, Sorensen and Michael Wickens, 2008. “General equilibrium theories of the equity risk premium: estimates and tests”, Quantitative and Qualitative Analysis in Social Sciences, 2, 3.
Christiano, Lawrence and Motto, Roberto and Rostagno, Massimo, 2008. "Shocks, structures or monetary policies? The Euro Area and US after 2001," Journal of Economic Dynamics and Control, Elsevier, vol. 32(8), pages 2476-2506, August.
Pongraeeporn Abhakorn, Peter N. Smith and Michael Wickens, 2013. “What do Fama-French factors add to C-CAPM?”, Journal of Empirical Finance.
Alfonso Mendoza Velázquez and Peter N Smith, 2013. “Expected returns and the business cycle: the role of supply and demand shocks”, Manchester School.
Daniele Bregantini, 2013. “Moment-Based estimation of Stochastic Volatility”, Journal of Banking and Finance.
Christiano, Lawrence J., Roberto Motto, and Massimo Rostagno. 2014. "Risk Shocks." American Economic Review, 104(1): 27-65.
Pongraeeporn Abhakorn, Peter N. Smith and Michael Wickens, 2016. "Can stochastic discount factor models explain the cross-section of equity returns?", Review of Financial Economics.

Selected publications

A full set of publications can be found at RePEc and SSRN

“Perfect Withdrawal in a Noisy World: Investing Lessons with and without Annuities while in Drawdown between 2000 and 2019”, Journal of Retirement, 2021, 9, 1, (with A. Clare, J. Seaton and S. Thomas), see also “Practical Applications of Perfect Withdrawal in a Noisy World: Investing Lessons with and without Annuities while in Drawdown between 2000 and 2019”, Practical Applications, 2021, 9.

“Can Sustainable Withdrawal Rates be Enhanced by Trend Following?”, International Journal of Finance and Economics, 2021, 26, pp 27-41, (with A. Clare, J. Seaton and S. Thomas).

“Measuring Sequence of Returns Risk”, Journal of Retirement, 2020, 8, 1, pp 65-79, (with A. Clare, S. Glover, J. Seaton and S. Thomas), see also “Practical Applications of Measuring Sequence of Returns Risk”, Practical Applications, 2020, 8, 2.

“When growth beats value: applying momentum filters to growth and value portfolios”, Journal of Investing, 2019, 28, 5, pp 69-84, (with A. Clare, J. Seaton and S. Thomas), see also “Practical Applications of When Growth Beats Value: Applying Momentum Filters to Growth and Value Portfolios”, Practical Applications, 2020, 8,2.

"Reducing sequence risk using trend following investment strategies and the CAPE", Financial Analysts Journal, 2017, 73, 4, pp 91-103, (with A. Clare, J. Seaton and S. Thomas).

“Size matters: tail risk, momentum and trend following in international equity portfolios”, Journal of Investing, 2017, 26, 3, pp 53-64 , (with A. Clare, J. Seaton and S. Thomas).

“The trend is our friend: global asset allocation using trend following", Journal of Behavioral and Experimental Finance, 2016, 9, pp 63-80, (with A. Clare, J. Seaton and S. Thomas).

“Can stochastic discount factor models explain the cross section of equity returns?”, Review of Financial Economics, 2016, 28, pp 56-68, (with P. Abhakorn and M.R. Wickens).

“Peer salaries and employee satisfaction in the workplace”, Manchester School, 2015, 83, pp 307-311. (with K.A. Mumford).

"Trend following, risk parity and momentum in commodity futures", International Review of Financial Analysis, 2014, 31, pp 1-12 (with A. Clare, J. Seaton and S. Thomas).

“What do Fama-French factors add to C-CAPM?”, Journal of Empirical Finance, 2013, 22, pp 113-127. (with P. Abhakorn and M.R. Wickens).

Also see my personal page: https://sites.google.com/a/york.ac.uk/peters-site/

Peter N. Smith Professor

Profile

Biography

Departmental roles

Research

Overview

Projects

Supervision

Former Research Students

Publications

Selected publications

Teaching

Undergraduate

Postgraduate

External activities

Memberships

Invited talks and conferences

Peter N. Smith
Professor