Joëlle Miffre

EDHEC Business School

Professor of Finance

58 rue du Port

Lille, 59046

France

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 683

SSRN RANKINGS

Top 683

in Total Papers Downloads

25,770

CITATIONS
Rank 5,772

SSRN RANKINGS

Top 5,772

in Total Papers Citations

88

Scholarly Papers (26)

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, EDHEC Business School and City University of London - Sir John Cass Business School
Downloads 5,355 (672)
Citation 10

Abstract:

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

2.
Downloads 5,255 ( 976)
Citation 29

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
EDHEC Business School and City University of London - Sir John Cass Business School
Downloads 5,255 (960)
Citation 29

Abstract:

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
EDHEC Business School and City University of London - Sir John Cass Business School

Abstract:

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
Université Lille Nord de France - Skema Business School and EDHEC Business School
Downloads 1,566 (6,732)
Citation 3

Abstract:

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

4.

Conditional Correlation and Volatility in Commodity Futures and Traditional Asset Markets

Journal of Alternative Investments, 12, 3, 61-75
Number of pages: 26 Posted: 20 Oct 2005 Last Revised: 10 Nov 2015
James Chong and Joëlle Miffre
California State University, Northridge - Department of Finance, Financial Planning and Insurance and EDHEC Business School
Downloads 1,429 (7,449)
Citation 9

Abstract:

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

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 EDHEC Business School
Downloads 1,077 (13,053)
Citation 2

Abstract:

Momentum profits, Transaction costs, Low-cost strategy

6.

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, EDHEC Business School and Auckland University of Technology
Downloads 833 (15,366)

Abstract:

commodity futures, momentum, term structure, idiosyncratic volatility

7.

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, EDHEC Business School and Cyberring Ltd.
Downloads 768 (23,254)
Citation 1

Abstract:

Momentum strategy, Abnormal returns, Skewness, Conditional asset pricing

8.

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 and EDHEC Business School
Downloads 618 (31,092)
Citation 1

Abstract:

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

9.

The Case for Long-Short Commodity Investing

Journal of Alternative Investments, Vol. 18, No. 9, 2015
Number of pages: 37 Posted: 01 Sep 2011 Last Revised: 11 Nov 2015
Joëlle Miffre and Adrian Fernandez-Perez
EDHEC Business School and Auckland University of Technology
Downloads 591 (26,548)

Abstract:

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

10.

Transaction Costs, Trading Volume and Momentum Strategies

Number of pages: 29 Posted: 19 May 2009
Xiafei Li, Chris Brooks and Joëlle Miffre
Nottingham University Business School, University of Reading - ICMA Centre and EDHEC Business School
Downloads 414 (50,347)

Abstract:

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

11.

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, EDHEC Business School and Cass Business School, City University of London
Downloads 389 (54,492)
Citation 3

Abstract:

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

12.
Downloads 386 ( 59,430)
Citation 3

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 EDHEC Business School
Downloads 386 (59,027)
Citation 3

Abstract:

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

13.

Is Idiosyncratic Volatility Priced in Commodity Futures Markets?

International Review of Financial Analysis, Forthcoming
Number of pages: 30 Posted: 01 Aug 2012 Last Revised: 03 Jun 2016
Auckland University of Technology, Cass Business School, City University of London and EDHEC Business School
Downloads 320 (51,310)

Abstract:

Commodity futures; Idiosyncratic volatility; Backwardation; Contango

14.

Comparing First, Second and Third Generation Commodity Indices

Number of pages: 22 Posted: 21 Aug 2012
Joëlle Miffre
EDHEC Business School
Downloads 302 (64,519)

Abstract:

Commodity indices, Backwardation, Contango, Long, Short

15.
Downloads 300 ( 79,619)
Citation 10

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, EDHEC Business School and University of Reading - ICMA Centre
Downloads 211 (115,099)
Citation 10

Abstract:

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, EDHEC Business School, University of Reading - ICMA Centre and University College Cork
Downloads 89 (233,410)
Citation 10

Abstract:

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

16.

Commodity Risks and the Cross-Section of Equity Returns

Number of pages: 38 Posted: 02 Sep 2014 Last Revised: 04 Jul 2015
University of Reading - ICMA Centre, Auckland University of Technology, EDHEC Business School and University of Reading - ICMA Centre
Downloads 155 (104,607)

Abstract:

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

17.

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
EDHEC Business School and University of Reading - ICMA Centre
Downloads 147 (140,418)
Citation 1

Abstract:

Financialization, Commodity markets, Speculators, Volatility, Correlation

18.

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
EDHEC Business School, University of Reading - ICMA Centre and Nottingham University Business School
Downloads 147 (141,137)
Citation 1

Abstract:

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

19.

Commodity Markets, Long-Run Predictability and Intertemporal Pricing

Review of Finance, Forthcoming
Number of pages: 36 Posted: 07 May 2014 Last Revised: 23 Nov 2015
Auckland University of Technology, Cass Business School, City University of London and EDHEC Business School
Downloads 128 (98,036)

Abstract:

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

20.

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
EDHEC Business School
Downloads 13 (466,036)
Citation 2
  • Add to Cart

Abstract:

21.

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
EDHEC Business School
Downloads 12 (435,457)
  • Add to Cart

Abstract:

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

22.

Long-Short Commodity Investing: A Review of the Literature

Journal of Commodity Markets, Invited publication, Forthcoming
Number of pages: 31 Posted: 09 Dec 2015 Last Revised: 28 Jan 2016
Joëlle Miffre
EDHEC Business School
Downloads 0 (33,287)

Abstract:

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

23.

The Skewness of Commodity Futures Returns

Number of pages: 49 Posted: 08 Oct 2015 Last Revised: 04 Aug 2016
Auckland University of Technology, Auckland University of Technology - Faculty of Business & Law, Cass Business School, City University of London and EDHEC Business School
Downloads 0 (41,428)

Abstract:

Skewness; Commodity futures; Backwardation; Contango; Asset Pricing

24.

The Performance of Simple Dynamic Commodity Strategies

Posted: 04 Mar 2009 Last Revised: 27 Jun 2014
Devraj Basu and Joëlle Miffre
Université Lille Nord de France - Skema Business School and EDHEC Business School

Abstract:

Commodity futures, Hedging pressure, Active strategies

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
Number of pages: 31 Posted: 28 May 2008 Last Revised: 06 Jun 2016
Harry M. Kat and Joëlle Miffre
Independent and EDHEC Business School
Downloads 1,972 (5,289)
Citation 12

Abstract:

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

26.

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
EDHEC Business School

Abstract:

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