Joëlle Miffre

Audencia Business School

Professor of Finance

8 Road Joneliere

BP 31222

Nantes Cedex 3, 44312

France

SCHOLARLY PAPERS

37

DOWNLOADS
Rank 1,183

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Top 1,183

in Total Papers Downloads

32,497

SSRN CITATIONS
Rank 7,903

SSRN RANKINGS

Top 7,903

in Total Papers Citations

97

CROSSREF CITATIONS

67

Scholarly Papers (37)

1.

Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals

Journal of Banking and Finance 34, 2530-2548
Number of pages: 48 Posted: 30 Apr 2008 Last Revised: 11 Sep 2019
Ana-Maria Fuertes, Joëlle Miffre and Georgios Rallis
Bayes Business School, City, University of London, Audencia Business School and City University of London - Sir John Cass Business School
Downloads 8,441 (990)
Citation 14

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Commodity Futures, Momentum, Term Structure, Backwardation, Contango, Double-sort strategy

Momentum Strategies in Commodity Futures Markets

Journal of Banking and Finance, Vol. 31, No. 9, 2007
Number of pages: 34 Posted: 20 Apr 2005 Last Revised: 10 Nov 2015
Joëlle Miffre and Georgios Rallis
Audencia Business School and City University of London - Sir John Cass Business School
Downloads 6,665 (1,492)
Citation 35

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Commodity futures, Momentum, Backwardation, Contango, Diversification

Momentum Strategies in Commodity Futures Markets

Journal of Banking and Finance, Vol. 31, No. 6, 2007
Posted: 27 May 2008
Joëlle Miffre and Georgios Rallis
Audencia Business School and City University of London - Sir John Cass Business School

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Commodity futures, Momentum, Backwardation, Contango, Diversification

3.

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
Auckland University of Technology, Open University of the Netherlands - School of Management, Bayes Business School, City, University of London and Audencia Business School
Downloads 2,279 (9,130)
Citation 16

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Skewness; Commodities; Futures pricing; Selective hedging

4.

Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure

Journal of Banking and Finance, Vol. 37, No. 7, 2013
Number of pages: 37 Posted: 12 Feb 2009 Last Revised: 10 Nov 2015
Devraj Basu and Joëlle Miffre
SKEMA Business School - Lille Campus and Audencia Business School
Downloads 2,111 (10,356)
Citation 26

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Commodity, Risk premium, Hedging pressure, Term structure, Momentum

5.

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
Bayes Business School, City, University of London, Audencia Business School and Auckland University of Technology
Downloads 1,583 (16,368)
Citation 2

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commodity futures, momentum, term structure, idiosyncratic volatility

6.

Long-Short Commodity Investing: A Review of the Literature

Journal of Commodity Markets, 2016, 1, 3-13
Number of pages: 31 Posted: 09 Dec 2015 Last Revised: 20 May 2019
Joëlle Miffre
Audencia Business School
Downloads 1,379 (20,136)
Citation 5

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Commodities, Long-short strategies, Performance, Backwardation, Contango

7.

Low-Cost Momentum Strategies

Number of pages: 18 Posted: 10 Aug 2007 Last Revised: 19 May 2009
Xiafei Li, Chris Brooks and Joëlle Miffre
Keele Business School, Keele University, University of Bristol - School of Economics, Finance and Management and Audencia Business School
Downloads 1,313 (21,670)

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Momentum profits, Transaction costs, Low-cost strategy

8.

Momentum Profits, Non-Normality Risks and the Business Cycle

Applied Financial Economics, Forthcoming, Cass Business School Research Paper
Number of pages: 39 Posted: 15 Jul 2005 Last Revised: 05 May 2008
Ana-Maria Fuertes, Joëlle Miffre and Wooi Hou Tan
Bayes Business School, City, University of London, Audencia Business School and Cyberring Ltd.
Downloads 827 (42,033)

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Momentum strategy, Abnormal returns, Skewness, Conditional asset pricing

9.

Optimal Hedging with Higher Moments

Journal of Futures Markets, 2012, 32 (10), 909-944
Number of pages: 40 Posted: 20 Mar 2008 Last Revised: 22 Jun 2020
Chris Brooks, Aleš Černý and Joëlle Miffre
University of Bristol - School of Economics, Finance and Management, Bayes Business School, City, University of London and Audencia Business School
Downloads 705 (51,992)
Citation 5

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utility-based hedging, OLS, non-normality risk, commodity futures, skewness, kurtosis

10.

Does Sophistication of the Weighting Scheme Enhance the Performance of Long-Short Commodity Portfolios?

Journal of Empirical Finance, Vol. 58, 2020
Number of pages: 43 Posted: 04 Jun 2017 Last Revised: 16 Sep 2020
University of Queensland Business School, University of Queensland, Audencia Business School and University of Queensland
Downloads 690 (53,491)
Citation 1

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long-short portfolios, equal weights, optimized weights, risk-timing weights

11.

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
Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 650 (57,732)
Citation 8

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Style integration; Futures markets; Long-short asset allocation

12.

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
Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 628 (60,349)
Citation 5

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Commodity futures; Idiosyncratic volatility; Backwardation; Contango

13.

Comparing First, Second and Third Generation Commodity Indices

Number of pages: 22 Posted: 21 Aug 2012
Joëlle Miffre
Audencia Business School
Downloads 619 (61,467)
Citation 10

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Commodity indices, Backwardation, Contango, Long, Short

14.

Strategic and Tactical Roles of Enhanced-Commodity Indices

Journal of Futures Markets 33(10), 965-992
Number of pages: 38 Posted: 27 Jul 2010 Last Revised: 11 Sep 2019
Georgios Rallis, Joëlle Miffre and Ana-Maria Fuertes
City University of London - Sir John Cass Business School, Audencia Business School and Bayes Business School, City, University of London
Downloads 493 (81,709)
Citation 1

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Long-only commodity indices, Time-to-maturity, Momentum, Term structure

15.

Speculative Pressure

Journal of Futures Markets, Forthcoming
Number of pages: 39 Posted: 02 Dec 2018 Last Revised: 02 Dec 2019
Griffith University - Department of Accounting, Finance and Economics, Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 492 (81,893)

Abstract:

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Speculative Pressure, Futures Markets, Risk Premium, Pricing

16.

The Commodity Risk Premium and Neural Networks

Number of pages: 30 Posted: 01 Apr 2021 Last Revised: 10 Jan 2022
University of Queensland Business School, University of Queensland, Audencia Business School and University of Queensland
Downloads 447 (92,025)

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commodity futures, risk premium, macroeconomic variables, financial variables, neural network, deep neural learning, recurrent neural network

17.
Downloads 444 ( 92,025)
Citation 6

The Value Premium and Time-Varying Volatility

Journal of Business Finance and Accounting, 2009, 36, 9-10, 1252–1272
Number of pages: 26 Posted: 02 May 2007 Last Revised: 10 Nov 2015
Xiafei Li, Chris Brooks and Joëlle Miffre
Keele Business School, Keele University, University of Bristol - School of Economics, Finance and Management and Audencia Business School
Downloads 444 (91,724)
Citation 1

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Value premium, CAPM, GJR-GARCH(1,1)-M, Conditional unsystematic risk

18.
Downloads 372 (113,289)
Citation 14

Momentum Profits and Time-Varying Unsystematic Risk

Journal of Banking and Finance, Vol. 32, No. 4, 2008
Number of pages: 29 Posted: 01 Sep 2006 Last Revised: 10 Nov 2015
Xiafei Li, Joëlle Miffre and Chris Brooks
Keele Business School, Keele University, Audencia Business School and University of Bristol - School of Economics, Finance and Management
Downloads 245 (174,490)

Abstract:

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Momentum profits, Common unsystematic risk, GJR-GARCH(1,1)-M

Momentum Profits and Time-Varying Unsystematic Risk

Journal of Banking and Finance, Vol. 32, No. 4, 2008
Number of pages: 29 Posted: 26 Jun 2013
Xiafei Li, Joëlle Miffre, Chris Brooks and Niall O'Sullivan
Keele Business School, Keele University, Audencia Business School, University of Bristol - School of Economics, Finance and Management and University College Cork
Downloads 127 (308,931)
Citation 3

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Momentum profits, Common unsystematic risk, GJR-GARCH(1,1)-M

19.

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
Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 339 (126,015)
Citation 3

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

20.

Exploiting the Dynamics of Commodity Futures Curves

Number of pages: 48 Posted: 12 Feb 2021 Last Revised: 05 Jul 2022
Griffith UniversityGriffith University, Griffith University - Department of Accounting, Finance and Economics, Audencia Business School and Griffith University - Department of Accounting, Finance and Economics
Downloads 310 (140,381)

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Commodity futures, Nelson-Siegel model, Spread, Butterfly

21.

The Negative Pricing of the May 2020 WTI Contract

Energy Journal, Forthcoming
Number of pages: 41 Posted: 16 Dec 2020 Last Revised: 26 Feb 2022
Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 307 (140,877)

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

22.

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
University of Bristol - School of Economics, Finance and Management, Auckland University of Technology, Audencia Business School and University of Reading - ICMA Centre
Downloads 299 (143,286)
Citation 2

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

23.

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, Bayes Business School, City, University of London, Universidad de León and Audencia Business School
Downloads 222 (192,317)
Citation 1

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

24.

Do Long-Short Speculators Destabilize Commodity Futures Markets?

International Review of Financial Analysis, Vol. 30, 2013
Number of pages: 30 Posted: 04 Apr 2013 Last Revised: 10 Nov 2015
Joëlle Miffre and Chris Brooks
Audencia Business School and University of Bristol - School of Economics, Finance and Management
Downloads 218 (195,720)
Citation 5

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Financialization, Commodity markets, Speculators, Volatility, Correlation

25.

Idiosyncratic Volatility and the Pricing of Poorly-Diversified Portfolios

International Review of Financial Analysis, Vol. 30, 2013
Number of pages: 25 Posted: 03 Jun 2011 Last Revised: 10 Nov 2015
Joëlle Miffre, Chris Brooks and Xiafei Li
Audencia Business School, University of Bristol - School of Economics, Finance and Management and Keele Business School, Keele University
Downloads 206 (206,253)
Citation 2

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idiosyncratic risk, cross-sectional variation in stock returns, CAPM, conditional volatility, risk premium

26.

Capturing Energy Risk Premia

Energy Economics, 2021, 102, 105460
Number of pages: 41 Posted: 07 May 2019 Last Revised: 19 Aug 2021
Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 179 (233,432)

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

27.

The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures

Journal of Commodity Markets, Forthcoming
Number of pages: 46 Posted: 08 Jul 2021 Last Revised: 25 Apr 2022
University of Queensland Business School, University of Queensland, Audencia Business School and University of Queensland
Downloads 149 (271,933)

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Commodity futures, Style integration, Strategic asset allocation, Diversification

28.

An Integrated-Signal Approach to Selective Hedging

USAEE Working Paper No. 22-553
Number of pages: 42 Posted: 18 Apr 2022 Last Revised: 05 May 2022
Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 62 (476,389)

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Selective hedging, Risk management, Speculation, Commodity futures markets

29.

Conditional Risk Premia in International Government Bond Markets

Multinational Finance Journal, Vol. 12, No. 3/4, p. 185-204, 2008
Number of pages: 20 Posted: 26 Jun 2015
Joëlle Miffre
Audencia Business School
Downloads 32 (618,371)

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international government bonds; conditional asset pricing models; variance ratio; mean squared errors; parameter stability

30.

Do Spot Market Auction Data Help Price Discovery?

Number of pages: 34 Posted: 11 May 2022 Last Revised: 16 Aug 2022
Auckland University of Technology, Audencia Business School, affiliation not provided to SSRN and Auckland University of Technology
Downloads 23 (679,849)

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Dairy markets, Price discovery, Futures markets, Auction prices

31.

The Conditional Price of Basis Risk: An Investigation Using Foreign Exchange Instruments

Number of pages: 26 Posted: 23 Sep 2004
Joëlle Miffre
Audencia Business School
Downloads 13 (762,989)

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32.

The Impact of Non-Normality Risks and Tactical Trading on Hedge Fund Alphas

EFA 2003 Glasgow, Journal of Alternative Investments, Vol. 10, No. 4, 2008, https://doi.org/10.3905/jai.2008.705529
Posted: 22 May 2019
Harry M. Kat and Joëlle Miffre
Independent and Audencia Business School

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Hedge funds, performance evaluation, alpha, systematic skewness, systematic kurtosis, tactical asset allocation

33.

Conditional Correlation and Volatility in Commodity Futures and Traditional Asset Markets

Journal of Alternative Investments, 12, 3, 61-75, https://doi.org/10.3905/JAI.2010.12.3.061
Posted: 22 May 2019
James Chong and Joëlle Miffre
California State University, Northridge - Department of Finance, Financial Planning and Insurance and Audencia Business School

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Commodity Futures, Traditional Assets, Correlation, Volatility, DCC Model

34.

Transaction Costs, Trading Volume and Momentum Strategies

Posted: 21 May 2019
Xiafei Li, Chris Brooks and Joëlle Miffre
Keele Business School, Keele University, University of Bristol - School of Economics, Finance and Management and Audencia Business School

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Momentum profits, Transaction costs, bid-ask spreads, trading volume

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 Auckland University of Technology
Downloads 0 (910,098)

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

36.

The Performance of Simple Dynamic Commodity Strategies

Posted: 04 Mar 2009 Last Revised: 27 Jun 2014
Devraj Basu and Joëlle Miffre
SKEMA Business School - Lille Campus and Audencia Business School

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Commodity futures, Hedging pressure, Active strategies

37.

Efficiency in the Pricing of the Ftse 100 Futures Contract

European Financial Management, Vol. 7, No. 1, Pp. 9-22, 2001, Cass Business School Research Paper
Posted: 13 Jul 2000
Joëlle Miffre
Audencia Business School

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FTSE 100 Futures Contract, Efficiency, Time-varying Risk, Risk Premia