Adrian Fernandez-Perez

University College Dublin (UCD) - Department of Banking & Finance

SCHOLARLY PAPERS

35

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19,985

TOTAL CITATIONS
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Top 7,929

in Total Papers Citations

142

Scholarly Papers (35)

1.

The Skewness of Commodity Futures Returns

Journal of Banking and Finance, 2018, 86, 143-158
Number of pages: 43 Posted: 08 Oct 2015 Last Revised: 20 May 2019
Adrian Fernandez-Perez, Bart Frijns, Ana-Maria Fuertes and Joëlle Miffre
University College Dublin (UCD) - Department of Banking & Finance, Open University of the Netherlands - School of Management, Bayes Business School, City, University of London and Audencia Business School
Downloads 3,959 (5,924)
Citation 32

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Skewness; Commodities; Futures pricing; Selective hedging

2.
Downloads 3,915 ( 6,011)
Citation 20

Music Sentiment and Stock Returns Around the World

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 43 Posted: 18 Feb 2021 Last Revised: 14 Aug 2021
Alex Edmans, Adrian Fernandez-Perez, Alexandre Garel and Ivan Indriawan
London Business School - Institute of Finance and Accounting, University College Dublin (UCD) - Department of Banking & Finance, Audencia Business School and University of Adelaide
Downloads 3,909 (5,906)

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Investor Sentiment, Investor Mood, Behavioral Finance

Music Sentiment and Stock Returns Around the World

CEPR Discussion Paper No. DP15756
Number of pages: 41 Posted: 11 Feb 2021
Alex Edmans, Adrian Fernandez-Perez, Alexandre Garel and Ivan Indriawan
London Business School - Institute of Finance and Accounting, University College Dublin (UCD) - Department of Banking & Finance, Audencia Business School and University of Adelaide
Downloads 6 (1,362,595)
Citation 20
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3.

Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility

Journal of Futures Markets, 2015, 35, 3, 274-297
Number of pages: 41 Posted: 14 Dec 2011 Last Revised: 10 Nov 2015
Ana-Maria Fuertes, Joëlle Miffre and Adrian Fernandez-Perez
Bayes Business School, City, University of London, Audencia Business School and University College Dublin (UCD) - Department of Banking & Finance
Downloads 1,988 (17,891)
Citation 8

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commodity futures, momentum, term structure, idiosyncratic volatility

4.

A Comprehensive Appraisal of Style-Integration Methods

Journal of Banking and Finance, Volume 105, August 2019, pages 134-150
Number of pages: 54 Posted: 24 Jul 2017 Last Revised: 30 Jun 2024
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
University College Dublin (UCD) - Department of Banking & Finance, Bayes Business School, City, University of London and Audencia Business School
Downloads 743 (74,736)
Citation 11

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Style integration; Futures markets; Long-short asset allocation

5.

Is Idiosyncratic Volatility Priced in Commodity Futures Markets?

International Review of Financial Analysis, 2016, 46, 219-226
Number of pages: 30 Posted: 01 Aug 2012 Last Revised: 20 May 2019
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
University College Dublin (UCD) - Department of Banking & Finance, Bayes Business School, City, University of London and Audencia Business School
Downloads 719 (77,831)
Citation 4

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Commodity futures; Idiosyncratic volatility; Backwardation; Contango

6.

Speculative Pressure

Journal of Futures Markets, 2020, 40, 575-597
Number of pages: 39 Posted: 02 Dec 2018 Last Revised: 09 Jan 2023
John Hua Fan, Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Griffith University - Department of Accounting, Finance and Economics, University College Dublin (UCD) - Department of Banking & Finance, Bayes Business School, City, University of London and Audencia Business School
Downloads 710 (79,103)

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Speculative Pressure, Futures Markets, Risk Premium, Pricing

7.

The Negative Pricing of the May 2020 WTI Contract

Energy Journal, 2023, 44, 1, 119-142
Number of pages: 41 Posted: 16 Dec 2020 Last Revised: 09 Jan 2023
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
University College Dublin (UCD) - Department of Banking & Finance, Bayes Business School, City, University of London and Audencia Business School
Downloads 658 (87,288)

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WTI crude oil futures contract; Negative price; Contango; Cash and carry; Index trackers; Disinformation

8.

The Intraday Properties of the VIX and the VXO

Number of pages: 31 Posted: 14 Dec 2016
Adrian Fernandez-Perez, Bart Frijns, Alireza Tourani-Rad and Robert I. Webb
University College Dublin (UCD) - Department of Banking & Finance, Open University of the Netherlands - School of Management, Auckland University of Technology - Faculty of Business & Law and University of Virginia - McIntire School of Commerce
Downloads 641 (90,459)
Citation 3

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VIX, Seasonality, Intraday data

9.

When No News is Good News – The Decrease in Investor Fear after the FOMC Announcement

Number of pages: 41 Posted: 17 Nov 2014 Last Revised: 18 Nov 2014
Adrian Fernandez-Perez, Bart Frijns and Alireza Tourani-Rad
University College Dublin (UCD) - Department of Banking & Finance, Open University of the Netherlands - School of Management and Auckland University of Technology - Faculty of Business & Law
Downloads 626 (92,834)
Citation 12

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VIX, VIX Futures, FOMC Announcement, Intraday data

10.

Genetic Algorithm for Arbitrage with More than Three Currencies

DEFI Working Paper No. 12-04
Number of pages: 13 Posted: 19 Jul 2012
University College Dublin (UCD) - Department of Banking & Finance, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 500 (123,953)

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arbitrage, foreign exchange market, genetic algorithm

11.

Commodity Risks and the Cross-Section of Equity Returns

British Accounting Review, Vol. 48, 134-150
Number of pages: 38 Posted: 02 Sep 2014 Last Revised: 20 May 2019
Chris Brooks, Adrian Fernandez-Perez, Joëlle Miffre and Ogonna Nneji
University of Reading - ICMA Centre, University College Dublin (UCD) - Department of Banking & Finance, Audencia Business School and University of Reading - ICMA Centre
Downloads 434 (146,540)
Citation 6

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Long-only commodity portfolio, term structure portfolio, commodity risk, cross-section of equity returns

12.

Newswire Tone-Overlay Commodity Portfolios

Michael J. Brennan Irish Finance Working Paper Series Research Paper No.25-4
Number of pages: 64 Posted: 23 Jun 2023 Last Revised: 09 Apr 2025
Adrian Fernandez-Perez, Ana-Maria Fuertes, Joëlle Miffre and Nan Zhao
University College Dublin (UCD) - Department of Banking & Finance, Bayes Business School, City, University of London, Audencia Business School and Barclays PLC
Downloads 406 (157,844)

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Textual analysis, Sentiment, Commodity futures, Tactical allocation, Mispricing, Newswire tone-overlay portfolio, Salience

13.

Commodity Markets, Long-Run Predictability and Intertemporal Pricing

Review of Finance, 2017, 21, 3, 1159-1188
Number of pages: 36 Posted: 07 May 2014 Last Revised: 20 May 2019
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
University College Dublin (UCD) - Department of Banking & Finance, Bayes Business School, City, University of London and Audencia Business School
Downloads 403 (158,708)
Citation 3

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Commodities; Backwardation; Contango; Long-Run Predictability; Intertemporal Pricing

14.

COVID-19 Pandemic and Stock Market Response: A Culture Effect

Number of pages: 56 Posted: 08 Jun 2020 Last Revised: 18 Dec 2020
Adrian Fernandez-Perez, Aaron B. Gilbert, Ivan Indriawan and Nhut H. Nguyen
University College Dublin (UCD) - Department of Banking & Finance, Auckland University of Technology - Faculty of Business & Law, University of Adelaide and Auckland University of Technology
Downloads 367 (176,277)
Citation 18

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Coronavirus, COVID-19, Pandemic, Culture, Disaster, Abnormal Return, Volatility

15.

Fear of Hazards in Commodity Futures Markets

Journal of Banking and Finance, Vol. 119, 2020
Number of pages: 62 Posted: 30 Jun 2019 Last Revised: 24 Aug 2020
University College Dublin (UCD) - Department of Banking & Finance, Bayes Business School, City, University of London, Universidad de León and Audencia Business School
Downloads 355 (183,441)
Citation 8

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Commodity futures; Fear; Attention; Hazards; Internet searches; Sentiment; Long-short portfolios

16.

Cross-Asset Time-Series Momentum: Crude Oil Volatility and Global Stock Markets

Number of pages: 59 Posted: 24 May 2021 Last Revised: 23 Sep 2022
Adrian Fernandez-Perez, Ivan Indriawan, Yiuman Tse and Yahua Xu
University College Dublin (UCD) - Department of Banking & Finance, University of Adelaide, University of Missouri at Saint Louis and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 305 (216,270)
Citation 9

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Cross-asset predictability; Crude oil market; International stock markets; OVX; Time-series momentum

17.

Internationalization of Futures Markets: Lessons from China

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 54 Posted: 15 Nov 2019 Last Revised: 08 Sep 2020
John Hua Fan, Adrian Fernandez-Perez, Ivan Indriawan and Neda Todorova
Griffith University - Department of Accounting, Finance and Economics, University College Dublin (UCD) - Department of Banking & Finance, University of Adelaide and Griffith University
Downloads 295 (223,351)
Citation 1

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China; Futures markets; Internationalization; Market quality; PTA; Iron ore

18.

Capturing Energy Risk Premia

Energy Economics, 2021, 102, 105460
Number of pages: 41 Posted: 07 May 2019 Last Revised: 19 Aug 2021
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
University College Dublin (UCD) - Department of Banking & Finance, Bayes Business School, City, University of London and Audencia Business School
Downloads 292 (225,750)

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Energy futures markets, Risk premium, Long-short portfolios, Integration

19.

Does Speculation in Futures Markets Improve Commodity Hedging Decisions?

Number of pages: 46 Posted: 07 Dec 2022 Last Revised: 13 Oct 2024
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
University College Dublin (UCD) - Department of Banking & Finance, Bayes Business School, City, University of London and Audencia Business School
Downloads 285 (231,562)
Citation 2

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20.

Emotions and Stock Returns during the GameStop Bubble

Number of pages: 35 Posted: 16 Apr 2024
Adrian Fernandez-Perez, Ivan Indriawan and Marta Khomyn
University College Dublin (UCD) - Department of Banking & Finance, University of Adelaide and University of Adelaide
Downloads 268 (247,540)

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behavioral finance, stock market bubbles, emotion, sentiment

21.
Downloads 267 (247,540)

In the mood for sustainable funds?

Number of pages: 16 Posted: 03 May 2022
Adrian Fernandez-Perez, Alexandre Garel and Ivan Indriawan
University College Dublin (UCD) - Department of Banking & Finance, Audencia Business School and University of Adelaide
Downloads 179 (362,260)

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Investor sentiment, Mutual funds, Fund flows, Sustainable investments, Risk aversion

In the Mood for Sustainable Funds?

Number of pages: 16 Posted: 30 Apr 2022 Last Revised: 23 Jul 2022
Adrian Fernandez-Perez, Alexandre Garel and Ivan Indriawan
University College Dublin (UCD) - Department of Banking & Finance, Audencia Business School and University of Adelaide
Downloads 88 (634,817)

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Investor sentiment, Mutual funds, Fund flows, Sustainable investments, Risk aversion

22.

Music Sentiment and Stock Returns

Number of pages: 20 Posted: 06 May 2020
Adrian Fernandez-Perez, Alexandre Garel and Ivan Indriawan
University College Dublin (UCD) - Department of Banking & Finance, Audencia Business School and University of Adelaide
Downloads 241 (274,283)

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investor sentiment, music, behavioral finance

23.

Currency and Commodity Return Relationship Under Extreme Geopolitical Risks: Evidence From the Invasion of Ukraine

Number of pages: 20 Posted: 29 Apr 2022 Last Revised: 21 Feb 2023
Olga Dodd, Adrian Fernandez-Perez and Simon Sosvilla-Rivero
Auckland University of Technology, University College Dublin (UCD) - Department of Banking & Finance and UCM Institute for Economic Analysis
Downloads 202 (325,001)
Citation 2

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Foreign exchange rates, currency return, commodity return, Russian invasion, Ukraine war, geographic distance

Do Spot Market Auction Data Help Price Discovery?

Number of pages: 37 Posted: 11 May 2022 Last Revised: 13 Apr 2023
University College Dublin (UCD) - Department of Banking & Finance, Audencia Business School, affiliation not provided to SSRN and Auckland University of Technology
Downloads 130 (476,373)

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Price discovery; Auction data; Dairy products; Spot and futures markets

Do Spot Market Auction Data Help Price Discovery?

Journal of Commodity Markets, forthcoming
Number of pages: 37 Posted: 24 Aug 2022 Last Revised: 29 Aug 2023
Adrian Fernandez-Perez, Joëlle Miffre, Tilman Schoen and Ayesha Scott
University College Dublin (UCD) - Department of Banking & Finance, Audencia Business School, affiliation not provided to SSRN and Auckland University of Technology
Downloads 49 (875,954)

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Price discovery; Auction data; Dairy products; Spot and futures markets

25.

Fear Connectedness Among Asset Classes

Research Institute of Applied Economics Working Paper 2017/03
Number of pages: 42 Posted: 03 Feb 2017
Julián Andrada Félix, Adrian Fernandez-Perez and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, University College Dublin (UCD) - Department of Banking & Finance and UCM Institute for Economic Analysis
Downloads 175 (370,421)
Citation 1

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Implied volatility indices, Financial market Linkages, Connectedness, Vector Autoregression, Variance Decomposition.

26.

Distant or Close Cousins: Connectedness Between Cryptocurrencies and Traditional Currencies Volatilities

Research Institute of Applied Economics, Working Paper 2019/12, 1/74
Number of pages: 74 Posted: 07 Aug 2019
Julián Andrada Félix, Adrian Fernandez-Perez and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, University College Dublin (UCD) - Department of Banking & Finance and UCM Institute for Economic Analysis
Downloads 174 (372,335)

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Exchange Rates, Cryptocurrencies, Connectedness, Time-Varying Parameters, Stepwise Regressions

27.

The Term Structure of Interest Rates as Predictor of Stock Returns: Evidence for the IBEX 35 During a Bear Market

Number of pages: 29 Posted: 17 Jun 2013
University College Dublin (UCD) - Department of Banking & Finance, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 166 (388,042)

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Term structure of interest rates, Stock returns, Trading strategies

28.

Time Connectedness of Fear

Number of pages: 42 Posted: 20 Oct 2018
University of Las Palmas de Gran Canaria - Faculty of Economic Science, University College Dublin (UCD) - Department of Banking & Finance, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 137 (454,919)

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Implied Volatility Indices, Financial Market Linkages, Connectedness, Vector Autoregression, Variance Decomposition

Political Risk and Commodity Currencies

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 25-6
Number of pages: 47 Posted: 02 Oct 2024 Last Revised: 22 Apr 2025
Olga Dodd, Adrian Fernandez-Perez and Simon Sosvilla-Rivero
Auckland University of Technology, University College Dublin (UCD) - Department of Banking & Finance and UCM Institute for Economic Analysis
Downloads 115 (528,621)

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commodity currency, political risk, rare disaster risk, geopolitical risk, foreign exchange rate, commodity return

Political Risk and Commodity Currencies

Number of pages: 47 Posted: 21 Feb 2025
Olga Dodd, Adrian Fernandez-Perez and Simon Sosvilla-Rivero
Auckland University of Technology, University College Dublin (UCD) - Department of Banking & Finance and UCM Institute for Economic Analysis
Downloads 16 (1,249,872)

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commodity currency, political risk, rare disaster risk, Geopolitical risk, foreign exchange rate, commodity return

When Chinese Mania Meets Global Frenzy Commodity Price Bubbles

Number of pages: 49 Posted: 01 Mar 2024
John Hua Fan, Adrian Fernandez-Perez, Ivan Indriawan and Neda Todorova
Griffith University - Department of Accounting, Finance and Economics, University College Dublin (UCD) - Department of Banking & Finance, University of Adelaide and Griffith University
Downloads 74 (704,626)

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Bubbles, Contagion, Commodity, Futures market, China

When Chinese Mania Meets Global Frenzy: Commodity Price Bubbles

Number of pages: 48 Posted: 29 Mar 2024
John Hua Fan, Adrian Fernandez-Perez, Ivan Indriawan and Neda Todorova
Griffith University - Department of Accounting, Finance and Economics, University College Dublin (UCD) - Department of Banking & Finance, University of Adelaide and Griffith University
Downloads 45 (911,297)

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Bubbles; Contagion; Commodity; Futures market; China.

31.
Downloads 112 (532,317)

The Pricing of Water Usage

Number of pages: 19 Posted: 13 Dec 2024
Adrian Fernandez-Perez, Ivan Indriawan and Yiuman Tse
University College Dublin (UCD) - Department of Banking & Finance, University of Adelaide and University of Missouri at Saint Louis
Downloads 62 (777,699)

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JEL Classification: G11, G12 Water Usage, Climate Finance, Sustainable Investing, Stock Market, Water usage

The Pricing of Water Usage

Number of pages: 23 Posted: 14 Jan 2025
Adrian Fernandez-Perez, Ivan Indriawan and Yiuman Tse
University College Dublin (UCD) - Department of Banking & Finance, University of Adelaide and University of Missouri at Saint Louis
Downloads 31 (1,056,256)

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Water Usage, Climate finance, Sustainable investing, Stock Market

The Pricing of Water Usage

Number of pages: 20 Posted: 18 Nov 2024
Adrian Fernandez-Perez, Ivan Indriawan and Yiuman Tse
University College Dublin (UCD) - Department of Banking & Finance, University of Adelaide and University of Missouri at Saint Louis
Downloads 19 (1,209,490)

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Water Usage, Climate Finance, sustainable investing, Stock Market

32.

Natural Gas Storage Forecasts: Is the Crowd Wiser?

Number of pages: 38 Posted: 19 Dec 2019 Last Revised: 07 Mar 2020
Adrian Fernandez-Perez, Alexandre Garel and Ivan Indriawan
University College Dublin (UCD) - Department of Banking & Finance, Audencia Business School and University of Adelaide
Downloads 103 (566,444)
Citation 2

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Analyst, Forecast, Crowdsourcing, Natural Gas Inventory, EIA

El Clasico of Housing: Bubbles in Madrid and Barcelona's Real Estate Markets

Number of pages: 42 Posted: 07 May 2025
Adrian Fernandez-Perez, Marta Gómez-Puig and Simon Sosvilla-Rivero
University College Dublin (UCD) - Department of Banking & Finance, University of Barcelona - Department of Economic Theory and UCM Institute for Economic Analysis
Downloads 63 (798,215)

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Bubbles, Local Projections, Contagion, Real Estate Markets. JEL Classification Codes: R31

El Clasico of Housing: Bubbles in Madrid and Barcelona's Real Estate Markets

Number of pages: 42 Posted: 02 May 2025
Adrian Fernandez-Perez, Marta Gómez-Puig and Simon Sosvilla-Rivero
University College Dublin (UCD) - Department of Banking & Finance, University of Barcelona - Department of Economic Theory and UCM Institute for Economic Analysis
Downloads 5 (1,369,807)

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Bubbles, Local Projections, Contagion, Real Estate Markets.

34.

On the Transmission of Credit and Liquidity Risks a Network Analysis for Emu Sovereign Debt Markets

Number of pages: 41 Posted: 07 Dec 2023
Adrian Fernandez-Perez, Marta Gómez-Puig and Simon Sosvilla-Rivero
University College Dublin (UCD) - Department of Banking & Finance, University of Barcelona - Department of Economic Theory and UCM Institute for Economic Analysis
Downloads 42 (917,413)

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Liquidity, Credit risk, EMU sovereign bonds, MTS bond market, Dynamic connectedness

35.

The Case for Long-Short Commodity Investing

Journal of Alternative Investments, Vol. 18, No. 9, 2015, https://doi.org/10.3905/jai.2015.18.1.092
Posted: 01 Sep 2011 Last Revised: 22 May 2019
Joëlle Miffre and Adrian Fernandez-Perez
Audencia Business School and University College Dublin (UCD) - Department of Banking & Finance
Downloads 0 (1,343,948)

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Commodity futures, Conditional volatility, Conditional correlation, Long-short portfolios, Professional money managers, Financialization