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Peter N. Smith



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 28 PhD students to completion. He is an honorary Vice-President of the Money, Macro and Finance Research Group.

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)



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.


  • 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


  • Justas Dainauskas
  • Lisha Li
  • Dongna Zhang
  • Sara Elsayed


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 OECD, Paris, France
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. & Lildholdt, Peter & 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 & Sorensen, Steffen & 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 & Steffen, Sorensen & Michael Wickens, 2010. "The equity premium and the business cycle: the role of demand and supply shocks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 134-152.
  • Peter N. Smith & Steffen, Sorensen & 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 & Motto, Roberto & 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.
  • Pongareeporn Abhakorn, Peter N. Smith & 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.
  • Pongareeporn AbhakornPeter N. Smith & Michael Wickens, 2016. "Can stockastic 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

“When Growth beats Value: Applying Momentum Filters to Growth and Value Portfolios”, Journal of Investing, 2019, (forthcoming), (with A. Clare, J. Seaton and S. Thomas).

"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).

See also my personal page:



2016/17 Postgraduate MSc Teaching

  • ECO00019M : Financial Market Microstructure
  • ECO00020M : Financial Markets

External activities


Invited talks and conferences

  • Money, Macro and Finance Research Group Conference; Gogerburn, Edinburgh, September 2018
  • Quantitative Finance and Financial Econometrics Conference, AMSE, Marseille, June 2018
  • Money, Macro and Finance Research Group Conference; Kings College, University of London, September 2017
  • Forecasting Financial Markets Conference; Liverpool University, May 2017
  • Money, Macro and Finance Research Group Conference; Bath University, September 2016
  • European Monetary Forum Conference, Bank of England, London, April 2016
  • Money, Macro and Finance Research Group Conference; Cardiff University, September 2015
  • University of Nottingham, November 2014
  • University of Hull, May 2014
  • University of Liverpool, February 2014

Peter N Smith

Peter Smith
Department of Economics
Room: A/EC/120

Tel: 01904 323765 
Personal Website

Office & feedback hours during term time:
Monday    9am - 10am
Monday    2pm - 3pm
Please note, due to Covid-19, these will be carried out virtually via Google Meet
(or similar). Other times may be available by email appointment.