Adrian Fernandez-Perez

Auckland University of Technology

Research Fellow

AUT City Campus

Private Bag 92006

Auckland, 1142

New Zealand

  • Auckland University of Technology

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    • Tel: +64 9 921 9999
    • Fax: +64 9 921 9940
SCHOLARLY PAPERS

32

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112

CROSSREF CITATIONS

12

Scholarly Papers (32)

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1.

Music Sentiment and Stock Returns Around the World

Downloads 3,558 ( 5,428)
Citation 19

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, Auckland University of Technology, Audencia Business School and University of Adelaide
Downloads 3,555 (5,325)

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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, Auckland University of Technology, Audencia Business School and University of Adelaide
Downloads 3 (1,045,805)
Citation 4
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2.

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
Auckland University of Technology, Open University of the Netherlands - School of Management, Bayes Business School, City, University of London and Audencia Business School
Downloads 2,895 (7,599)
Citation 27

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Skewness; Commodities; Futures pricing; Selective hedging

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 Auckland University of Technology
Downloads 1,733 (17,035)
Citation 5

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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: 20 Feb 2020
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 691 (63,435)
Citation 9

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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
Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 666 (66,508)
Citation 5

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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, Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 601 (75,710)

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Speculative Pressure, Futures Markets, Risk Premium, Pricing

7.

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
Auckland University of Technology, 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 542 (86,128)
Citation 2

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VIX, Seasonality, Intraday data

8.

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
Auckland University of Technology, Open University of the Netherlands - School of Management and Auckland University of Technology - Faculty of Business & Law
Downloads 521 (90,451)
Citation 11

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VIX, VIX Futures, FOMC Announcement, Intraday data

9.

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
Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 466 (103,800)

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

10.

Genetic Algorithm for Arbitrage with More than Three Currencies

DEFI Working Paper No. 12-04
Number of pages: 13 Posted: 19 Jul 2012
Adrian Fernandez-Perez, Fernando Fernández Rodríguez and Simon Sosvilla-Rivero
Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 400 (123,737)

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arbitrage, foreign exchange market, genetic algorithm

11.

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
Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 366 (136,809)
Citation 3

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

12.

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
Auckland University of Technology, Auckland University of Technology - Faculty of Business & Law, University of Adelaide and Auckland University of Technology
Downloads 336 (150,097)
Citation 10

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

13.

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 Bristol - School of Economics, Finance and Management, Auckland University of Technology, Audencia Business School and University of Reading - ICMA Centre
Downloads 335 (150,564)
Citation 3

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

14.

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
Adrian Fernandez-Perez, Ana-Maria Fuertes, Marcos González-Fernández and Joëlle Miffre
Auckland University of Technology, Bayes Business School, City, University of London, Universidad de León and Audencia Business School
Downloads 281 (181,831)
Citation 4

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

15.

The Price Impact of Tweets: A High-Frequency Study

Downloads 273 (189,346)

The Price Impact of Tweets: A High-Frequency Study

Number of pages: 42 Posted: 28 Mar 2022
Ni Yang, Adrian Fernandez-Perez and Ivan Indriawan
Auckland University of Technology - Department of Finance, Auckland University of Technology and University of Adelaide
Downloads 182 (278,935)

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Twitter; Text Classification; Investor Sentiment; Return Predictability

The Price Impact of Tweets: A High-Frequency Study

Number of pages: 44 Posted: 04 Jul 2022
Ni Yang, Adrian Fernandez-Perez and Ivan Indriawan
Auckland University of Technology - Department of Finance, Auckland University of Technology and University of Adelaide
Downloads 91 (467,816)

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Keywords: Twitter, Text Classification, Investor sentiment, Return predictability

16.

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, Auckland University of Technology, University of Adelaide and Griffith University
Downloads 257 (198,954)
Citation 1

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

17.

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
Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 224 (226,489)

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

18.

In the mood for sustainable funds?

Downloads 204 (246,890)

In the mood for sustainable funds?

Number of pages: 16 Posted: 03 May 2022
Adrian Fernandez-Perez, Alexandre Garel and Ivan Indriawan
Auckland University of Technology, Audencia Business School and University of Adelaide
Downloads 137 (347,420)

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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
Auckland University of Technology, Audencia Business School and University of Adelaide
Downloads 67 (561,720)

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

19.

Music Sentiment and Stock Returns

Number of pages: 20 Posted: 06 May 2020
Adrian Fernandez-Perez, Alexandre Garel and Ivan Indriawan
Auckland University of Technology, Audencia Business School and University of Adelaide
Downloads 202 (249,295)

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investor sentiment, music, behavioral finance

20.

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
Auckland University of Technology, University of Adelaide, University of Missouri at Saint Louis and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 200 (251,634)
Citation 2

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

21.

Newswire Tone-Overlay Commodity Portfolios

Number of pages: 68 Posted: 23 Jun 2023 Last Revised: 31 Aug 2023
Adrian Fernandez-Perez, Ana-Maria Fuertes, Joëlle Miffre and Nan Zhao
Auckland University of Technology, Bayes Business School, City, University of London, Audencia Business School and Barclays PLC
Downloads 181 (274,910)

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Newswire tone-overlay; Sentiment; Commodity futures; Tactical allocation; Salience.

22.

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, Auckland University of Technology and UCM Institute for Economic Analysis
Downloads 151 (320,826)
Citation 1

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

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, Auckland University of Technology and UCM Institute for Economic Analysis
Downloads 150 (322,605)
Citation 2

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

24.

Does Speculation in Futures Markets Improve Hedging Decisions?

Number of pages: 42 Posted: 07 Dec 2022
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 135 (350,642)

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Selective hedging; Expected utility; Risk minimization; Commodity futures markets

25.

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
Adrian Fernandez-Perez, Fernando Fernández Rodríguez and Simon Sosvilla-Rivero
Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 134 (352,635)

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Term structure of interest rates, Stock returns, Trading strategies

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, Auckland University of Technology and UCM Institute for Economic Analysis
Downloads 131 (358,682)

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

27.

Spillover Between Investor Sentiment and Volatility: The Role of Social Media

Downloads 128 (364,958)

Spillover Between Investor Sentiment and Volatility: The Role of Social Media

Number of pages: 47 Posted: 13 Apr 2023
Ni Yang, Adrian Fernandez-Perez and Ivan Indriawan
Auckland University of Technology - Department of Finance, Auckland University of Technology and University of Adelaide
Downloads 91 (467,816)

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Social Media; Investor Sentiment; Market Volatility; Connectedness

Spillover between Investor Sentiment and Volatility:The Role of Social Media

Number of pages: 49 Posted: 17 Apr 2023
Ni Yang, Adrian Fernandez-Perez and Ivan Indriawan
Auckland University of Technology - Department of Finance, Auckland University of Technology and University of Adelaide
Downloads 37 (735,387)

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Social Media, Investor Sentiment, Market Volatility, connectedness

28.

Do Spot Market Auction Data Help Price Discovery?

Downloads 120 (383,020)

Do Spot Market Auction Data Help Price Discovery?

Number of pages: 37 Posted: 11 May 2022 Last Revised: 13 Apr 2023
Adrian Fernandez-Perez, Joëlle Miffre, Timan Schoen Tilman Schoen and Ayesha Scott
Auckland University of Technology, Audencia Business School, affiliation not provided to SSRN and Auckland University of Technology
Downloads 87 (481,266)

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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
Auckland University of Technology, Audencia Business School, affiliation not provided to SSRN and Auckland University of Technology
Downloads 33 (765,659)

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

29.

Time Connectedness of Fear

Number of pages: 42 Posted: 20 Oct 2018
Julián Andrada Félix, Adrian Fernandez-Perez, Fernando Fernández Rodríguez and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 114 (397,404)

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

30.

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
Auckland University of Technology, Audencia Business School and University of Adelaide
Downloads 61 (580,554)

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Analyst, Forecast, Crowdsourcing, Natural Gas Inventory, EIA

31.

Social Media Sentiment, Investor Herding and Informational Efficiency

Number of pages: 39 Posted: 28 Aug 2023
Ni Yang, Adrian Fernandez-Perez and Ivan Indriawan
Auckland University of Technology - Department of Finance, Auckland University of Technology and University of Adelaide
Downloads 24 (815,512)

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Social Media; Investor Sentiment; Market Quality; Informational Efficiency

32.

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 Auckland University of Technology
Downloads 0 (1,029,018)

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