Adrian Fernandez-Perez

Auckland University of Technology

Research Fellow

AUT City Campus

Private Bag 92006

Auckland, 1142

New Zealand

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)

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
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
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
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
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