Similar Search Results - EconBiz

Durable consumption, long-run risk and the equity premium

Guo, Na; Smith, Peter N. - 2012

Persistent link: https://www.econbiz.de/10009728052

Equity returns and the business cycle : the role of supply and demand shocks

Mendoza Velázquez, Alfonso; Smith, Peter N. - 2012

Persistent link: https://www.econbiz.de/10009728053

What do the Fama-French Factors add to C-CAPM?

Pongrapeeporn Abhakorn; Smith, Peter N.; Wickens, Michael R. - 2013 - Revised March 2013

This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) the Fama-French factors. CCAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the SMB...

Persistent link: https://www.econbiz.de/10009731215

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

The trend is our friend : risk parity, momentum and trend following in global asset allocation

Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2012

Persistent link: https://www.econbiz.de/10009663206

European equity investing through the financial crisis : can risk parity, momentum or trend following help to reduce tail risk?

Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2014

Persistent link: https://www.econbiz.de/10010235408

European equity investing through the financial crisis : can risk parity, momentum or trend following help to reduce tail risk?

Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2014

Persistent link: https://www.econbiz.de/10010244616

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

Equity returns and the business cycle : the role of supply and demand shocks

Mendoza Velázquez, Alfonso; Smith, Peter N. - In: Papers in money, macroeconomics and finance : … 81 (2013), pp. 100-124

Persistent link: https://www.econbiz.de/10010254178

Reducing sequence risk using trend following investment strategies and the CAPE

Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2016

Persistent link: https://www.econbiz.de/10011560684

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