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

24

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10,368

SSRN CITATIONS
Rank 23,116

SSRN RANKINGS

Top 23,116

in Total Papers Citations

30

CROSSREF CITATIONS

13

Scholarly Papers (24)

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1.

Music Sentiment and Stock Returns Around the World

Downloads 1,973 ( 10,067)

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 Auckland University of Technology - Department of Finance
Downloads 1,973 (9,872)

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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 Auckland University of Technology - Department of Finance
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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, Cass Business School, City University of London and Audencia Business School
Downloads 1,848 (11,156)
Citation 16

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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
Cass Business School, City University of London, Audencia Business School and Auckland University of Technology
Downloads 1,519 (15,199)
Citation 2

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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, Cass Business School, City University of London and Audencia Business School
Downloads 626 (53,784)
Citation 8

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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, Cass Business School, City University of London and Audencia Business School
Downloads 609 (55,726)
Citation 5

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Commodity futures; Idiosyncratic volatility; Backwardation; Contango

6.

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 460 (78,859)
Citation 1

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VIX, Seasonality, Intraday data

7.

Speculative Pressure

Journal of Futures Markets, Forthcoming
Number of pages: 39 Posted: 02 Dec 2018 Last Revised: 02 Dec 2019
John Hua Fan, Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Griffith University - Department of Accounting, Finance and Economics, Auckland University of Technology, Cass Business School, City University of London and Audencia Business School
Downloads 435 (84,231)

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Speculative Pressure, Futures Markets, Risk Premium, Pricing

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 410 (90,546)
Citation 6

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VIX, VIX Futures, FOMC Announcement, Intraday data

9.

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 351 (107,714)

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arbitrage, foreign exchange market, genetic algorithm

10.

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, Cass Business School, City University of London and Audencia Business School
Downloads 328 (116,127)
Citation 3

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

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, Auckland University of Technology, Audencia Business School and University of Reading - ICMA Centre
Downloads 292 (131,543)
Citation 2

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

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, Auckland University of Technology - Department of Finance and Auckland University of Technology
Downloads 277 (138,908)
Citation 4

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

13.

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, Cass Business School, City University of London, Universidad de León and Audencia Business School
Downloads 174 (215,300)
Citation 1

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

14.

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 Auckland University of Technology - Department of Finance
Downloads 163 (227,537)

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investor sentiment, music, behavioral finance

15.

Understanding the Negative Pricing of the NYMEX WTI Crude Oil May 2020 Futures Contract

Number of pages: 31 Posted: 16 Dec 2020
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London and Audencia Business School
Downloads 147 (249,364)

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WTI crude oil, Negative price, Theory of storage, Contango, Cash and carry

16.

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, Cass Business School, City University of London and Audencia Business School
Downloads 132 (269,834)

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

17.

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 132 (269,834)
Citation 1

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

18.

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, Auckland University of Technology - Department of Finance and Griffith University
Downloads 117 (294,840)
Citation 1

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

19.

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 109 (309,844)

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Term structure of interest rates, Stock returns, Trading strategies

20.

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 92 (346,238)

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

21.

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 72 (400,173)

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

22.

Cross-asset Time-series Momentum: Crude Oil Options and Global Stock Markets

Number of pages: 53 Posted: 24 May 2021 Last Revised: 21 Jun 2021
Adrian Fernandez-Perez, Ivan Indriawan, Yiuman Tse and Yahua Xu
Auckland University of Technology, Auckland University of Technology - Department of Finance, University of Missouri at Saint Louis and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 68 (416,000)

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cross-asset predictability, time-series momentum, options straddle returns, crude oil market, international stock markets

23.

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 Auckland University of Technology - Department of Finance
Downloads 34 (552,662)

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Analyst, Forecast, Crowdsourcing, Natural Gas Inventory, EIA

24.

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 (808,641)

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