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Carry and trend following returns in the foreign exchange market
Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2015
Persistent link: https://www.econbiz.de/10010531060
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Size matters : tail risk, momentum and trend following in international equity portfolios
Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2015
Persistent link: https://www.econbiz.de/10010531062
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Absolute momentum, sustainable withdrawal rates and glidepath investing in US retirement portfolios from 1925
Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2019
Persistent link: https://www.econbiz.de/10012223797
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Portfolio return autocorrelation and non-synchronous trading in UK equities
Morgan, G. S.; Smith, Peter N.; Thomas, Stephen - 2000
Persistent link: https://www.econbiz.de/10001541322
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Expected returns, yield spreads, and asset pricing tests
Campbello, Murillo; Chen, Long; Zhang, Lu - 2005
Persistent link: https://www.econbiz.de/10002823463
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Trend following, risk parity and momentum in commodity futures
Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2012
Persistent link: https://www.econbiz.de/10009663202
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A cross section of equity returns : the no-arbitrage test
Abhakorn, Pongrapeeporn; Smith, Peter N.; Wickens, … - 2011
Persistent link: https://www.econbiz.de/10009381294
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When growth beats value : removing tail risk from global equity momentum strategies
Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2014
Persistent link: https://www.econbiz.de/10010376537
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The stock market and aggregate employment
Chen, Long; Zhang, Lu - 2009
Persistent link: https://www.econbiz.de/10003875812
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Durable consumption, long-run risk and the equity premium
Guo, Na; Smith, Peter N. - 2012
Persistent link: https://www.econbiz.de/10009728052