Joëlle Miffre

Audencia Nantes School of Management

Professor of Finance

8 route de la Jonelière, BP 31222

Nantes Cedex 3, Cedex 3 44312

France

Audencia Business School

Professor of Finance

8 Road Joneliere

BP 31222

Nantes Cedex 3, 44312

France

SCHOLARLY PAPERS

31

DOWNLOADS
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Top 919

in Total Papers Downloads

26,225

CITATIONS
Rank 2,927

SSRN RANKINGS

Top 2,927

in Total Papers Citations

172

Scholarly Papers (31)

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: 19 Dec 2013
Ana-Maria Fuertes, Joëlle Miffre and Georgios Rallis
Cass Business School, City University of London, Audencia Nantes School of Management and City University of London - Sir John Cass Business School
Downloads 7,561 (716)
Citation 36

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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 Nantes School of Management and City University of London - Sir John Cass Business School
Downloads 6,060 (1,038)
Citation 72

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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 Nantes School of Management and City University of London - Sir John Cass Business School

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Commodity futures, Momentum, Backwardation, Contango, Diversification

3.

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 Nantes School of Management
Downloads 1,904 (7,721)
Citation 22

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

4.

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
Cass Business School, City University of London, Audencia Nantes School of Management and Auckland University of Technology
Downloads 1,343 (13,613)
Citation 7

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commodity futures, momentum, term structure, idiosyncratic volatility

5.

Low-Cost Momentum Strategies

Number of pages: 18 Posted: 10 Aug 2007 Last Revised: 19 May 2009
Xiafei Li, Chris Brooks and Joëlle Miffre
Nottingham University Business School, University of Reading - ICMA Centre and Audencia Nantes School of Management
Downloads 1,248 (15,274)
Citation 3

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Momentum profits, Transaction costs, Low-cost strategy

6.

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, Auckland University of Technology - Faculty of Business & Law, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 1,091 (18,729)
Citation 4

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Skewness; Commodities; Futures pricing; Selective hedging

7.

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 Nantes School of Management
Downloads 958 (22,683)
Citation 6

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

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
Cass Business School, City University of London, Audencia Nantes School of Management and Cyberring Ltd.
Downloads 810 (28,842)

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Momentum strategy, Abnormal returns, Skewness, Conditional asset pricing

9.

Optimal Hedging with Higher Moments

Cass Business School Research Paper
Number of pages: 40 Posted: 20 Mar 2008 Last Revised: 22 Apr 2010
Chris Brooks, Aleš Černý and Joëlle Miffre
University of Reading - ICMA Centre, Cass Business School, City, University of London and Audencia Nantes School of Management
Downloads 663 (37,895)
Citation 7

Abstract:

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

10.

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, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 549 (48,573)
Citation 3

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Commodity futures; Idiosyncratic volatility; Backwardation; Contango

11.

A Comprehensive Appraisal of Style-Integration Methods

Journal of Banking and Finance, Forthcoming
Number of pages: 54 Posted: 24 Jul 2017 Last Revised: 22 May 2019
Auckland University of Technology, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 539 (49,686)
Citation 1

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Style integration; Futures markets; Long-short asset allocation

12.

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

Number of pages: 43 Posted: 04 Jun 2017 Last Revised: 10 May 2019
University of Queensland Business School, University of Queensland Business School, Audencia Nantes School of Management and University of Queensland
Downloads 537 (49,907)

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

13.

Comparing First, Second and Third Generation Commodity Indices

Number of pages: 22 Posted: 21 Aug 2012
Joëlle Miffre
Audencia Nantes School of Management
Downloads 486 (56,648)
Citation 8

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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: 19 Dec 2013
Georgios Rallis, Joëlle Miffre and Ana-Maria Fuertes
City University of London - Sir John Cass Business School, Audencia Nantes School of Management and Cass Business School, City University of London
Downloads 452 (61,992)
Citation 10

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

15.
Downloads 411 ( 69,338)
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
Nottingham University Business School, University of Reading - ICMA Centre and Audencia Nantes School of Management
Downloads 411 (68,911)

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

16.
Downloads 330 ( 89,701)
Citation 7

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
Nottingham University Business School, Audencia Nantes School of Management and University of Reading - ICMA Centre
Downloads 232 (129,629)

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
Nottingham University Business School, Audencia Nantes School of Management, University of Reading - ICMA Centre and University College Cork
Downloads 98 (267,229)
Citation 12

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

17.

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, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 303 (98,471)

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

18.

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 Reading - ICMA Centre, Auckland University of Technology, Audencia Nantes School of Management and University of Reading - ICMA Centre
Downloads 277 (108,450)
Citation 1

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

19.

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 Nantes School of Management and University of Reading - ICMA Centre
Downloads 198 (151,310)
Citation 1

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Financialization, Commodity markets, Speculators, Volatility, Correlation

20.

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 Nantes School of Management, University of Reading - ICMA Centre and Nottingham University Business School
Downloads 190 (157,191)
Citation 4

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

21.

Speculative Pressure

Number of pages: 43 Posted: 02 Dec 2018 Last Revised: 28 Feb 2019
Griffith University - Department of Accounting, Finance and Economics, Auckland University of Technology, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 185 (160,990)

Abstract:

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Speculative pressure, Futures markets, Risk premium, Pricing

22.

Capturing Energy Risk Premia

Number of pages: 31 Posted: 07 May 2019
Auckland University of Technology, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 59 (355,097)

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

23.

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 Nantes School of Management
Downloads 30 (461,424)

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

24.

Hazard Fear in Commodity Markets

Number of pages: 65 Posted: 30 Jun 2019
Auckland University of Technology, Cass Business School, City University of London, Universidad de León and Audencia Nantes School of Management
Downloads 28 (471,135)

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Commodity futures; Long-short portfolios; Supply and Demand; Hazards; Fear; Search activity; Sentiment

25.

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

Journal of Business Finance & Accounting, Vol. 31, No. 7-8, pp. 1043-1068, September 2004
Number of pages: 26 Posted: 23 Sep 2004
Joëlle Miffre
Audencia Nantes School of Management
Downloads 13 (555,983)
Citation 2
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26.

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 Nantes School of Management

Abstract:

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

27.

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 Nantes School of Management

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

28.

Transaction Costs, Trading Volume and Momentum Strategies

Posted: 21 May 2019
Xiafei Li, Chris Brooks and Joëlle Miffre
Nottingham University Business School, University of Reading - ICMA Centre and Audencia Nantes School of Management

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

29.

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 Nantes School of Management and Auckland University of Technology
Downloads 0 (661,710)

Abstract:

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

30.

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 Nantes School of Management

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Commodity futures, Hedging pressure, Active strategies

31.

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 Nantes School of Management

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