Joëlle MIFFRE

Professor

  • Finance Department

Teaching Domains

Finance

Research Domains

Finance and Insurance

Curriculum vitae

PhD in Finance
Brunel University, Great Britain (1998)

MSc in Finance
Brunel University, Great Britain (1994)

Bachelor of Science, Business administration, Management
ESLSCA, France (1993)

Publications

2018

Adrian FERNANDEZ-PEREZ, Bart FRIJNS, Ana-Maria FUERTES, Joëlle MIFFRE (2018) . The Skewness of Commodity Futures Returns, Journal of Banking & Finance, 86 143-158

2017

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

2016

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

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

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

2015

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

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

2013

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

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

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

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

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

2012

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

2010

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

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

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

2009

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

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

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

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

2008

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

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

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

J. MIFFRE, G. RALLIS (2008) . Momentum strategies in commodity futures markets, Journal of Banking and Finance, 31 1863-1886

2007

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

2004

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

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

2003

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

2002

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

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

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

2001

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

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

2000

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

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

1995

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

Scientific activities

Associate Editor :

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

Reviewer for an academic journal :

  • 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

Awards and Honors

  • Hedging pressure everywhere? , 2018
  • 2017 best paper award - CEMA conference , 2017
  • 2016 best paper award published in the British Accounting Review , 2016
  • Harvesting the benefits of multiple commodity signals , 2016
  • New portfolio construction methods for commodities: Idiosyncratic risk-based strategies , 2011
  • Skewness, kurtosis and the conditional performance of hedge funds , 2004
  • Higher moments and the profitability of momentum strategies , 2004
  • Conditional OLS minimum variance hedge ratio , 2001

Doctoral supervision

Thesis director

Since 2015, B. Kandavel : Short-term nodal trading in electricity markets
EDHEC Business School, France

Thesis co-director

Since 2011, G. Rallis : Commodity trading strategies
Cass Business School, Great Britain

Since 2008, H. Lei : Exchange traded funds
Cass Business School, Great Britain

Since 2008, X. Li : Momentum and value strategies
Cass Business School, Great Britain