Joëlle Miffre

Audencia Business School

Professor of Finance

8 Road Joneliere

BP 31222

Nantes Cedex 3, 44312

France

SCHOLARLY PAPERS

37

DOWNLOADS
Rank 1,285

SSRN RANKINGS

Top 1,285

in Total Papers Downloads

39,243

SSRN CITATIONS
Rank 6,361

SSRN RANKINGS

Top 6,361

in Total Papers Citations

222

CROSSREF CITATIONS

66

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 9,100 (1,270)
Citation 14

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

2.
Downloads 7,687 ( 1,683)
Citation 35

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 7,687 (1,672)
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 3,418 (6,702)
Citation 35

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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 2,342 (12,169)
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 1,855 (17,583)
Citation 7

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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 1,678 (20,572)
Citation 13

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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 1,383 (27,510)

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Momentum profits, Transaction costs, Low-cost strategy

8.

Exploiting the Dynamics of Commodity Futures Curves

Journal of Banking and Finance, 154, 2023, 106965
Number of pages: 48 Posted: 12 Feb 2021 Last Revised: 01 Aug 2023
Griffith UniversityGriffith University, Griffith University - Department of Accounting, Finance and Economics, Audencia Business School and Curtin University
Downloads 1,151 (35,909)
Citation 1

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Commodity futures, Nelson-Siegel model, Spread, Butterfly

9.

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 852 (54,838)
Citation 1

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Momentum strategy, Abnormal returns, Skewness, Conditional asset pricing

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 778 (62,024)
Citation 1

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

11.

Comparing First, Second and Third Generation Commodity Indices

Number of pages: 22 Posted: 21 Aug 2012
Joëlle Miffre
Audencia Business School
Downloads 772 (62,666)
Citation 10

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Commodity indices, Backwardation, Contango, Long, Short

12.

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 744 (65,800)
Citation 5

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

13.

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
Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 722 (68,366)
Citation 11

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Style integration; Futures markets; Long-short asset allocation

14.

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 693 (72,141)
Citation 5

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Commodity futures; Idiosyncratic volatility; Backwardation; Contango

15.

The Commodity Risk Premium and Neural Networks

Journal of Empirical Finance, Vol. 74, No. 101433, 2023
Number of pages: 43 Posted: 01 Apr 2021 Last Revised: 30 Nov 2023
University of Queensland Business School, University of Queensland, Audencia Business School and University of Queensland
Downloads 691 (72,405)

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

16.

Speculative Pressure

Journal of Futures Markets, 2020, 40, 575-597
Number of pages: 39 Posted: 02 Dec 2018 Last Revised: 09 Jan 2023
Griffith University - Department of Accounting, Finance and Economics, Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 671 (75,129)

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Speculative Pressure, Futures Markets, Risk Premium, Pricing

17.

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
Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 564 (93,441)

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

18.

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 542 (98,279)
Citation 1

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

19.

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 471 (116,480)
Citation 1

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

20.
Downloads 417 (134,336)
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 269 (214,272)

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 148 (372,211)
Citation 3

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

21.

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 378 (150,176)
Citation 3

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

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 374 (152,027)
Citation 5

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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 314 (183,548)
Citation 8

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

24.

Newswire Tone-Overlay Commodity Portfolios

Number of pages: 61 Posted: 23 Jun 2023 Last Revised: 30 Jun 2024
Auckland University of Technology, Bayes Business School, City, University of London, Audencia Business School and Barclays PLC
Downloads 274 (212,399)

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Textual analysis, Sentiment, Commodity futures, Tactical allocation, Mispricing, Salience Q02, G12, G14

25.

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 252 (230,011)

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

26.

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 240 (241,271)
Citation 5

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Financialization, Commodity markets, Speculators, Volatility, Correlation

27.

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 238 (243,273)
Citation 2

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

28.

The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures

Journal of Commodity Markets, 2022, 100259
Number of pages: 46 Posted: 08 Jul 2021 Last Revised: 09 Jan 2023
University of Queensland Business School, University of Queensland, Audencia Business School and University of Queensland
Downloads 227 (254,506)
Citation 1

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Commodity futures, Style integration, Strategic asset allocation, Diversification

29.

Does Speculation in Futures Markets Improve Commodity Hedging Decisions?

Number of pages: 47 Posted: 07 Dec 2022 Last Revised: 18 Feb 2024
Auckland University of Technology, Bayes Business School, City, University of London and Audencia Business School
Downloads 208 (276,182)
Citation 2

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

30.
Downloads 157 (354,330)
Citation 1

Do Spot Market Auction Data Help Price Discovery?

Number of pages: 37 Posted: 11 May 2022 Last Revised: 13 Apr 2023
Auckland University of Technology, Audencia Business School, affiliation not provided to SSRN and Auckland University of Technology
Downloads 115 (453,939)

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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
Auckland University of Technology, Audencia Business School, affiliation not provided to SSRN and Auckland University of Technology
Downloads 42 (801,809)

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

31.

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 50 (728,089)

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

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 (1,171,839)

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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