Joëlle MIFFRE

Professeur

Expertises

Asset Pricing
Asset Management
Commodities
Equities
Investments
Derivatives
Fixed-Income

Curriculum vitae

PhD en Finance
Brunel University (1998)

Master en Finance
Brunel University (1994)

B.Sc. (français) en Gestion des entreprises
ESLSCA (1993)

Publications

Forthcoming

Commodity Markets, Long-Horizon Predictability and Intertemporal Pricing, Review of Finance, (with A. Fernández-Pérez and A.-M. Fuertes)

2018

FERNANDEZ-PEREZ, A., FRIJNS, B., FUERTES, A.-M., & MIFFRE, J. (2018). The Skewness of Commodity Futures Returns. Journal of Banking & Finance, 86, 143-158.

2017

Is Idiosyncratic Volatility Priced in Commodity Futures Markets? International Review of
Financial Analysis
46, 219-226 (with A. Fernández-Pérez and A.-M. Fuertes)

2016

Commodity Risks and the Cross-Section of Equity Returns, British Accounting Review, 2016, 48, 134-150 (with C. Brooks, A. Fernández-Pérez and O. Nneji)

Long-Short Commodity Investing: A Review of the Literature, Journal of Commodity Markets, 2016, 1, 3-13, Invited publication

2015

Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility, Journal of Futures Markets, 2015, 35, 3, 274-297 (with A. Fernández-Pérez and A.-M. Fuertes)

The Case for Long-Short Commodity Investing, Journal of Alternative Investments, 2015, 18, 92-104 (with A. Fernández-Pérez)

2013

Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure, Journal of Banking and Finance, 2013, 37, 7, 2652-2664 (with D. Basu)

Idiosyncratic Volatility and the Pricing of Poorly-Diversified Portfolios, International Review of
Financial Analysis, 2013, 30, 78-85 (with C. Brooks and X. Li)

Do Long-Short Speculators Destabilize Commodity Futures Markets?, International Review ofFinancial Analysis, 2013, 30, 230-240 (with C. Brooks)

Strategic and Tactical Roles of Enhanced Commodity Indices, Journal of Futures Markets, 2013,33, 10, 965-992 (with A.-M. Fuertes and G. Rallis)

The Performance of Simple Dynamic Commodity Strategies, Journal of Alternative Investments, 2013, 16, 1, 9-18 (with D. Basu)

2012

Optimal Hedging with Higher Moments, Journal of Futures Markets, 2012, 32, 10, 909-944 (with C. Brooks and A. Černý)

2010

Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure
Signals, Journal of Banking and Finance, 2010, 34, 10, 2530–2548 (with A.-M. Fuertes and G. Rallis)

Conditional Correlation and Volatility in Commodity Futures and Traditional Asset Markets,
Journal of Alternative Investments, 2010, 12, 3, 61–75 (with J. Chong)

Transaction Costs, Trading Volume and Momentum Strategies, Journal of Trading, 2010, 5, 1, 66–81 (with C. Brooks and X. Li)

2009

The Value Premium and Time-Varying Volatility, Journal of Business Finance and Accounting,
2009, 36, 9-10, 1252–1272 (with C. Brooks and X. Li)

Conditional Correlations and Real Estate Investment Trusts, Journal of Real Estate Portfolio
Management, 2009, 15, 2, 173-184 (with J. Chong and S. Stevenson)

Momentum Profits, Non-Normality Risks and the Business Cycle, Applied Financial Economics, 2009, 19, 935-953 (with A.-M. Fuertes and W.-H. Tan)

Low-Cost Momentum Strategies, Journal of Asset Management, 2009, 9, 6, 366-379 (with C. Brooks and X. Li)

2008

Momentum Profits and Time-Varying Unsystematic Risk, Journal of Banking and Finance, 2008, 32, 4, 541-558 (with C. Brooks, X. Li and N. O’ Sullivan)

The Impact of Non-Normality Risks and Tactical Trading on Hedge Fund Alphas, Journal of
Alternative Investments, 2008, 10, 4, 8-22 (with H. M. Kat)

Conditional Risk Premia in International Government Bond Markets, Multinational Finance
Journal, 2008, 12, 3/4, 185-204

2007

Momentum Strategies in Commodity Futures Markets, Journal of Banking and Finance, 2007, 31, 6, 1863-1886 (with G. Rallis)

Country-Specific ETFs: An Efficient Approach to Global Asset Allocation, Journal of Asset
Management, 2007, 8, 2, 112-122

2004

The Conditional Price of Basis Risk: An Investigation Using Foreign Exchange Instruments,
Journal of Business Finance and Accounting, 2004, 31, 7-8, 1043-1068

Conditional OLS Minimum Variance Hedge Ratios, Journal of Futures Markets, 2004, 24, 10,
945-964

2003

The Cross Section of Expected Futures Returns and the Keynesian Hypothesis, Applied Financial Economics, 2003, 13, 10, 731-739

2002

The Predictability of Futures Returns: Market Inefficiency or Rational Change in Required
Returns?, Applied Financial Economics, 2002, 12, 10, 715-724

Portfolio Beta under Market Segmentation, Derivatives Use, Trading and Regulation, 2002, 8, 2, 159-168

Economic Significance of the Predictable Movements in Futures Returns, Economic Notes, 2002, 31, 1, 125-142

2001

Efficiency in the Pricing of the FTSE100 Futures Contract, European Financial Management,
2001, 7, 1, 9-22

Economic Activity and Time Variation in Expected Futures Returns, Economics Letters, 2001, 73, 1, 73-79

2000

Sources of Systematic Risk in Futures and Spot Markets: A Study of Market Integration, Journal of Business Finance and Accounting, 2000, 27, 7-8, 933-952 (with R. Priestley)

Normal Backwardation is Normal, Journal of Futures Markets, 2000, 20, 9, 803-821

1995

A Note on Forecasting the CAC 40 and DAX Stock Index Futures, Applied Economics Letters, 1995, 2, 10, 327-330 (with A. Clare)

Nombreuses communications au sein de :

  • British Accounting Association
  • Commodity Market Conference
  • Energy and Commodity Finance Conference
  • European Financial Management Association
  • EFM Symposium on Risk and Asset Management
  • European Finance Association
  • Financial Management Association, European Meeting
  • Financial Management Association, International Meeting
  • French Finance Association
  • Global Association of Risk Professionals
  • INFINITI Conference
  • Modeling Macroeconomics and Financial Time-Series
  • Money, Macro and Finance Research Group
  • Multinational Finance Society
  • Royal Economic Society
  • World Finance Conference

2015

Skewness: A New Signal for Long-Short Commodity Investing, Investment and Pensions US, EDHEC-Risk Institute Research Insights, 2015, 1, 9, 28-30 (with A. Fernández-Pérez, B. Frijns and A.-M. Fuertes)

Skewness Strategies in Commodity Futures Markets, Hedge Funds Review, June 2015, 31-33 (with A. Fernández-Pérez, B. Frijns and A.-M. Fuertes)

2014

Comparing First, Second and Third Generation Commodity Indices, Alternative Investment
Analyst Review, 2014, 3, 2, 22-33

Performance of Idiosyncratic Volatility Strategies in Commodity Markets: Delusion or Reality?, Investment and Pension Europe, EDHEC-Risk Institute Research Insights, Summer 2014, 14-17 (with A. Fernández-Pérez and A.-M. Fuertes)

2013

Comparing the Different Generations of Commodity Indices, Swiss Derivatives Review, Summer 2013, 52, 15-17

Triple Scoring of Commodities: Momentum, Term Structure and Idiosyncratic Volatility, Hedge Funds Review, May 2013 (with A. Fernández-Pérez and A.-M. Fuertes)

2012

A Comparison of First, Second and Third Generation Commodity Indices, Hedge Funds Review, October 2012

Long-Short Commodity Investing: Implications for Portfolio Risk and Market Regulation,
Investment and Pension Europe, EDHEC-Risk Institute Research Insights, April 2012, 4-5

A Long Look at Long-Short Commodity Investing, Commodities Now, March 2012

Hedging Pressure-Based Long-Short Commodity Strategy Used for Third Generation Commodity Index, Hedge Funds Review, January, 20 2012

Academic Analysis Supports Long/Short Commodity Investing Without Regulatory Intervention, Hedge Funds Review, January, 4 2012

2011

Investors Tracking Maturity-Enhanced Commodity Indexes Face Liquidity Risk, Hedge Funds
Review, June, 1 2011, 41-42 (with A.-M. Fuertes and G. Rallis)

2010

Merits of a Well-Built Commodity Benchmark, Financial Times, July, 18 2010

Tactical Allocation in Commodity Futures Markets, Hedge Funds Review, February, 2 2010, 37-38 (with A.-M. Fuertes and G. Rallis)

2007

Momentum Strategies in Commodity Markets: Focus on the Short Term Brings Profits in the Long Term, Hedge Fund Journal 27, September 2007, 7, 64-65 (with G. Rallis)

Encadrement Doctoral

  • H. Lei: Exchange traded funds, 2004-2008
  • X. Li: Momentum and value strategies, 2004-2008
  • G. Rallis: Commodity trading strategies, 2005-2011
  • B. Kandavel: Short-term nodal trading in electricity markets, 2010-2015
  • C. Galimberti: Energy derivatives, 2016-
  • M. Refermat: Momentum, 2016-

Activités scientifiques

Membre du comité éditorial (éditeur associé) de : 

  • Finance Research Letters
  • International Review of Financial Analysis
  • Journal of Banking and Finance
  • Journal of Commodity Markets

Reviewer régulier pour :

  • Journal of Finance
  • Journal of Financial and Quantitative Analysis
  • Review of Finance
  • American Journal of Agricultural Economics
  • Economic Modelling
  • Energy Economics
  • Financial Analysts Journal
  • Journal of Applied Econometrics
  • Journal of Banking and Finance
  • Journal of Business Finance and Accounting
  • Journal of Empirical Finance
  • Journal of Futures Markets
  • Journal of International Money and Finance
  • International Review of Financial Analysis

Membre du Comité de programme :

  • ISINI 7th international congress, 2003
  • French Finance Association (AFFI) conference, 2004
  • Multinational Finance Society conference, 2009
  • FMA International annual meeting, 2014
  • Auckland Finance Meeting, 2015
  • Computational and Financial Econometrics, 9th conference, 2015
  • Commodity Markets Conference, 2016
  • INFINITI, 14th conference, 2016
  • Griffith Alternative Investments Conference, 2016
  • 1st Australasian Commodity Markets Conference, 2017