Joëlle MIFFRE

2023

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2023) . The negative pricing of the May 2020 WTI contract, Energy Journal, 44 (1), 119-142

2022

RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2022) . The strategic allocation to style-integrated portfolios of commodity futures, Journal of Commodity Markets, 28 (December 2022), 100259

2021

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2021) . The risk premia of energy futures, Energy Economics, 102 (October 2021), Article N° 105460

2020

FERNANDEZ-PEREZ, A., FUERTES, A., GONZALEZ-FERNANDEZ, M., MIFFRE, J. (2020) . Fear of hazards in commodity futures markets, Journal of Banking and Finance, 119 (October 2020), Article n° 105902

RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2020) . Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?, Journal of Empirical Finance, 58 (September 2020), 164-180

FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2020) . Speculative pressure, Journal of Futures Markets, 40 (4), 575–597

2019

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2019) . A comprehensive appraisal of style-integration methods, Journal of Banking and Finance, 105 134-150

2018

FERNANDEZ-PEREZ, A., FRIJNS, B., FUERTES, A., MIFFRE, J. (2018) . The skewness of commodity futures returns, Journal of Banking and Finance, 86 143-158

2017

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2017) . Commodity markets, long-horizon predictability and intertemporal pricing, Review of Finance, 21 (3), 1159-1188

2016

MIFFRE, J. (2016) . Long-short commodity investing: A review of the literature, Journal of Commodity Markets, 1 3-13

BROOKS, C., FERNANDEZ-PEREZ, A., MIFFRE, J., NNEJI, O. (2016) . Commodity risks and the cross-section of equity returns, British Accounting Review, 48 134-150

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2016) . Is idiosyncratic volatility priced in commodity futures markets?, International Review of Financial Analysis, 46 219-226

2015

FERNANDEZ-PEREZ, A., MIFFRE, J. (2015) . The case for long-short commodity investing, Journal of Alternative Investments, 18 92-104

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2015) . Commodity strategies based on momentum, term structure and idiosyncratic volatility, Journal of Futures Markets, 35 274-297

2013

BASU, D., MIFFRE, J. (2013) . Capturing the risk premium of commodity futures: The role of hedging pressure, Journal of Banking and Finance, 37 2652-2664

BROOKS, C., MIFFRE, J. (2013) . Do long-short speculators destabilize commodity futures markets?, International Review of Financial Analysis, 30 230-240

BROOKS, C., LI, X., MIFFRE, J. (2013) . Idiosyncratic volatility and the pricing of poorly-diversified portfolios, International Review of Financial Analysis, 30 78-85

FUERTES, A., MIFFRE, J., RALLIS, G. (2013) . Strategic and tactical roles of enhanced commodity indices, Journal of Futures Markets, 33 965-992

BASU, D., MIFFRE, J. (2013) . The performance of simple dynamic commodity strategies, Journal of Alternative Investments, 16 9-18

2012

BROOKS, C., CERNY, A., MIFFRE, J. (2012) . Optimal hedging with higher moments, Journal of Futures Markets, 32 909-944

2010

BROOKS, C., LI, X., MIFFRE, J. (2010) . Transaction costs, trading volume and momentum strategies, The Journal of Trading, 5 66-81

CHONG, J., MIFFRE, J. (2010) . Conditional correlation and volatility in commodity futures and traditional asset markets, Journal of Alternative Investments, 12 61-75

FUERTES, A., MIFFRE, J., RALLIS, G. (2010) . Tactical allocation in commodity futures markets: Combining momentum and term structure signals, Journal of Banking and Finance, 34 2530-2548

2009

BROOKS, C., LI, X., MIFFRE, J. (2009) . The value premium and time-varying volatility, Journal of Business Finance and Accounting, 36 1252-1272

FUERTES, A., MIFFRE, J., TAN, W. (2009) . Momentum profits, non-normality risks and the business cycle, Applied Financial Economics, 19 935-953

BROOKS, C., LI, X., MIFFRE, J. (2009) . Low-cost momentum strategies, Journal of Asset Management, 9 366-379

CHONG, J., MIFFRE, J., STEVENSON, S. (2009) . Conditional correlations and real estate investment trusts, Journal of Real Estate Portfolio Management, 15 173-184

2008

KAT, H., MIFFRE, J. (2008) . The impact of non-normality risks and tactical trading on hedge fund alphas, Journal of Alternative Investments, 10 8-22

MIFFRE, J. (2008) . Conditional risk premia in international government bond markets, Multinational Finance Journal, 12 185-204

BROOKS, C., LI, X., MIFFRE, J., O' SULLIVAN, N. (2008) . Momentum profits and time-varying unsystematic risk, Journal of Banking and Finance, 32 541-558

2007

MIFFRE, J. (2007) . Country-specific ETFs: An efficient approach to global asset allocation, Journal of Asset Management, 8 112-122

MIFFRE, J., RALLIS, G. (2007) . Momentum strategies in commodity futures markets, Journal of Banking and Finance, 31 1863-1886

2004

MIFFRE, J. (2004) . Conditional OLS minimum variance hedge ratios, Journal of Futures Markets, 24 945-964

MIFFRE, J. (2004) . The conditional price of basis risk: An investigation using foreign exchange instruments, Journal of Business Finance and Accounting, 31 1046-1068

2003

MIFFRE, J. (2003) . The cross section of expected futures returns and the Keynesian hypothesis, Applied Financial Economics, 13 731-739

2002

MIFFRE, J. (2002) . The predictability of futures returns: Market inefficiency or rational change in required returns?, Applied Financial Economics, 12 715-724

MIFFRE, J. (2002) . Portfolio beta under market segmentation, Derivatives Use, Trading and Regulation, 8 159-168

MIFFRE, J. (2002) . Economic significance of the predictable movements in futures returns, Economic Notes, 31 125-142

2001

MIFFRE, J. (2001) . Efficiency in the pricing of the FTSE100 futures contract, European Financial Management, 7 9-22

MIFFRE, J. (2001) . Economic activity and time variation in expected futures returns, Economics Letters, 73 73-79

2000

MIFFRE, J., PRIESTLEY, R. (2000) . Sources of systematic risk in futures and spot markets: A study of market integration, Journal of Business Finance and Accounting, 27 933-952

MIFFRE, J. (2000) . Normal backwardation is normal, Journal of Futures Markets, 20 803-821

1995

MIFFRE, J., CLARE, A. (1995) . A note on forecasting the CAC 40 and DAX stock index futures, Applied Economics Letters, 2 327-330