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Department
Département
Finance
Teaching areas
Domaine d’enseignement
Fixed income
Derivatives
Commodities
Research areas
Domaine de recherche
Asset management
Asset pricing
Commodities
Equities
Biography
Biographie
Joëlle Miffre is Professor of Finance at Audencia Business School. Her research focuses on the pricing and management of commodities and equities. Her articles are published in academic journals such as the Review of Finance, the Journal of Banking and Finance or the Journal of Business Finance and Accounting. She is Associate Editor of the Journal of Banking and Finance, the Journal of Commodity Markets and the Journal of Futures Markets. As testimony of the relevance of her research to the industry, she acted as consultant to various financial institutions on questions pertaining to the commercialization, structuring and price impact of commodity index products. Previous appointments include teaching and research positions at EDHEC Business School, Bayes Business School and the ICMA Centre. She holds a M.Sc. and a Ph.D. in Finance from Brunel University.
Section CV
Formation
HDR (Research Supervision Qualification), Finance
Université de Nantes, Nantes
(2022)
PhD in Finance
Brunel University
(1998)
MSc in Finance
Brunel University
(1994)
Master in Management
ESLSCA, Paris
(1993)
Experience
Research Head - Finance Department
Audencia Business School, Nantes, France
2019 - 2022
Professor of Finance
EDHEC Business School, France
2008 - 2017
Associate Professor of Finance
EDHEC Business School, France
2007 - 2008
Visiting Assistant Professor of Finance
UTS, Sydney, Australia
2001 - 2002
Associate and Assistant Professor in Finance
Bayes Business School
2000 - 2006
Assistant Professor of Finance
ICMA Centre, Great Britain
1999 - 2001
Research Fellow and Teaching Assistant
ICMA Centre, Great Britain
1998 - 1999
Research and Teaching Assistant, Research Fellow
Brunel University, Great Britain
1994 - 1998
Publications
Forthcoming
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2024). Does speculation in futures markets improve commodity hedging decisions?. Management Science
Published
GALARIOTIS, E., MIFFRE, J., SÉVI, B. (2024). Editorial for the special issue of the Journal of Banking and Finance on Asset pricing and factor investing. Journal of Banking and Finance, 162, 107166.
RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2023). The commodity risk premium and neural networks. Journal of Empirical Finance, 74 (December 2023), 101433.
BIANCHI, R., FAN, J., MIFFRE, J., ZHANG, R. (2023). Exploiting the dynamics of commodity futures curves. Journal of Banking and Finance, 154 (106965), 106965.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2023). The negative pricing of the May 2020 WTI contract. Energy Journal, 44 (1), 119-142.
FERNANDEZ-PEREZ, A., MIFFRE, J., SCHOEN, T., SCOTT, A. (2023). Do spot market auction data help price discovery?. Journal of Commodity Markets, 31 (100335), 100335.
RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2022). The strategic allocation to style-integrated portfolios of commodity futures. Journal of Commodity Markets, 28 (December 2022), 100259.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2021). The risk premia of energy futures. Energy Economics, 102 (October 2021), Article N° 105460.
RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2020). Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. Journal of Empirical Finance, 58 (September 2020), 164-180.
FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2020). Speculative pressure. Journal of Futures Markets, 40 (4), 575–597.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., GONZALEZ-FERNANDEZ, M., MIFFRE, J. (2020). Fear of hazards in commodity futures markets. Journal of Banking and Finance, 119 (October 2020), Article n° 105902.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2019). A comprehensive appraisal of style-integration methods. Journal of Banking and Finance, 105, 134-150.
FERNANDEZ-PEREZ, Adrian, FRIJNS, Bart, FUERTES, Ana-Maria, MIFFRE, Joëlle (2018). The skewness of commodity futures returns. Journal of Banking and Finance, 86, 143-158.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2017). Commodity markets, long-horizon predictability and intertemporal pricing. Review of Finance, 21 (3), 1159-1188.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2016). Is idiosyncratic volatility priced in commodity futures markets?. International Review of Financial Analysis, 46, 219-226.
BROOKS, C., FERNANDEZ-PEREZ, A., MIFFRE, J., NNEJI, O. (2016). Commodity risks and the cross-section of equity returns. British Accounting Review, 48, 134-150.
MIFFRE, J. (2016). Long-short commodity investing: A review of the literature. Journal of Commodity Markets, 1, 3-13.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2015). Commodity strategies based on momentum, term structure and idiosyncratic volatility. Journal of Futures Markets, 35, 274-297.
FERNANDEZ-PEREZ, A., MIFFRE, J. (2015). The case for long-short commodity investing. Journal of Alternative Investments, 18, 92-104.
BASU, D., MIFFRE, J. (2013). Capturing the risk premium of commodity futures: The role of hedging pressure. Journal of Banking and Finance, 37, 2652-2664.
BROOKS, C., LI, X., MIFFRE, J. (2013). Idiosyncratic volatility and the pricing of poorly-diversified portfolios. International Review of Financial Analysis, 30, 78-85.
BROOKS, C., MIFFRE, J. (2013). Do long-short speculators destabilize commodity futures markets?. International Review of Financial Analysis, 30, 230-240.
FUERTES, A.-M., MIFFRE, J., RALLIS, G. (2013). Strategic and tactical roles of enhanced commodity indices. Journal of Futures Markets, 33, 965-992.
BASU, D., MIFFRE, J. (2013). The performance of simple dynamic commodity strategies. Journal of Alternative Investments, 16, 9-18.
BROOKS, C., CERNY, A., MIFFRE, J. (2012). Optimal hedging with higher moments. Journal of Futures Markets, 32, 909-944.
FUERTES, A.-M., MIFFRE, J., RALLIS, G. (2010). Tactical allocation in commodity futures markets: Combining momentum and term structure signals. Journal of Banking and Finance, 34, 2530-2548.
CHONG, J., MIFFRE, J. (2010). Conditional correlation and volatility in commodity futures and traditional asset markets. Journal of Alternative Investments, 12, 61-75.
BROOKS, C., LI, X., MIFFRE, J. (2010). Transaction costs, trading volume and momentum strategies. The Journal of Trading, 5, 66-81.
BROOKS, C., LI, X., MIFFRE, J. (2009). The value premium and time-varying volatility. Journal of Business Finance and Accounting, 36, 1252-1272.
CHONG, J., MIFFRE, J., STEVENSON, S. (2009). Conditional correlations and real estate investment trusts. Journal of Real Estate Portfolio Management, 15, 173-184.
FUERTES, A.-M., MIFFRE, J., TAN, W.-H. (2009). Momentum profits, non-normality risks and the business cycle. Applied Financial Economics, 19, 935-953.
BROOKS, C., LI, X., MIFFRE, J. (2009). Low-cost momentum strategies. Journal of Asset Management, 9, 366-379.
BROOKS, C., LI, X., MIFFRE, J., O' SULLIVAN, N. (2008). Momentum profits and time-varying unsystematic risk. Journal of Banking and Finance, 32, 541-558.
KAT, H., MIFFRE, J. (2008). The impact of non-normality risks and tactical trading on hedge fund alphas. Journal of Alternative Investments, 10, 8-22.
MIFFRE, J. (2008). Conditional risk premia in international government bond markets. Multinational Finance Journal, 12, 185-204.
MIFFRE, J., RALLIS, G. (2007). Momentum strategies in commodity futures markets. Journal of Banking and Finance, 31, 1863-1886.
MIFFRE, J. (2007). Country-specific ETFs: An efficient approach to global asset allocation. Journal of Asset Management, 8, 112-122.
MIFFRE, J. (2004). The conditional price of basis risk: An investigation using foreign exchange instruments. Journal of Business Finance and Accounting, 31, 1046-1068.
MIFFRE, J. (2004). Conditional OLS minimum variance hedge ratios. Journal of Futures Markets, 24, 945-964.
MIFFRE, J. (2003). The cross section of expected futures returns and the Keynesian hypothesis. Applied Financial Economics, 13, 731-739.
MIFFRE, J. (2002). The predictability of futures returns: Market inefficiency or rational change in required returns?. Applied Financial Economics, 12, 715-724.
MIFFRE, J. (2002). Portfolio beta under market segmentation. Derivatives Use, Trading and Regulation, 8, 159-168.
MIFFRE, J. (2002). Economic significance of the predictable movements in futures returns. Economic Notes, 31, 125-142.
MIFFRE, J. (2001). Efficiency in the pricing of the FTSE100 futures contract. European Financial Management, 7, 9-22.
MIFFRE, J. (2001). Economic activity and time variation in expected futures returns. Economics Letters, 73, 73-79.
MIFFRE, J., PRIESTLEY, R. (2000). Sources of systematic risk in futures and spot markets: A study of market integration. Journal of Business Finance and Accounting, 27, 933-952.
MIFFRE, J. (2000). Normal backwardation is normal. Journal of Futures Markets, 20, 803-821.
MIFFRE, J., CLARE, A. (1995). A note on forecasting the CAC 40 and DAX stock index futures. Applied Economics Letters, 2, 327-330.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2024). Does speculation in futures markets improve hedging decisions?, Research seminar, Toulouse Business School.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2024). Does speculation in futures markets improve hedging decisions?, Research seminar, Audencia Business School.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2024). Does speculation in futures markets improve hedging decisions?. 1st Modern Finance Conference.
MIFFRE, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M. (2023). Does speculation in futures markets improve hedging decisions?, Research seminar, Poznań University of Economics and Business.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2023). Does speculation in futures markets improve commodity hedging decisions?, Research Seminar, Rennes School of Business.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2023). Does speculation in futures markets improve hedging decisions?, CEMA 2023 conference. CEMA 2023 conference.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2022). The negative pricing of the May 2020 WTI contract, CEMA 2022 conference. CEMA 2022 conference.
RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2021). The commodity risk premium and neural networks, Research seminar, Audencia Business School. Audencia Business School Research seminar.
RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2021). The commodity risk premium and neural networks, CEMA 2021 conference. CEMA 2021 conference.
RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2021). The commodity risk premium and neural networks, French Finance Association 2021 Conference.
RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2021). The risk premium of commodity futures and neural networks, PANORisk conference. PANORisk conference.
FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2019). Speculative pressure, Financial Engineering and Banking Society 2019 conference. Financial Engineering and Banking Society conference.
FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2019). Speculative pressure, 2019 Conference on Computational and Financial Econometrics. Conference on Computational and Financial Econometrics.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2018). Harvesting commodity styles: An integrated framework; Research seminar, Audencia Business School. Audencia Business School Research seminar.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2018). Harvesting commodity styles: An integrated framework, 2018 Commodity Markets Winter Workshop. Commodity Markets Winter Workshop, Audencia Business School.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2018). Harvesting commodity styles: An integrated framework, Frontiers of Factor Investing 2018 Conference. Frontiers of Factor Investing, Lancaster University Business School.
FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2018). Speculative pressure, PanoRisk 2018 conference. PanoRisk conference, Audencia Business School.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2017). Harvesting commodity styles: An integrated framework, PanoRisk 2017 conference.
MIFFRE, J. (2017). What does the future hold for commodity risk premia investing?, Barclays European Quantitative Investment Strategies 2017 Conference. Barclays European Quantitative Investment Strategies Conference.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2024). Does speculation in futures markets improve commodity hedging decisions?, Commodity Insights Digest.
BIANCHI, R., FAN, J., MIFFRE, J., ZHANG, T. (2023). Exploiting the dynamics of commodity futures curves, Commodity Insights Digest.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2021). On the negative pricing of WTI crude oil futures.
FERNANDEZ-PEREZ, A., FUERTES, A. -M., MIFFRE, J. (2020). Fear of Hazards in Commodity Markets, Global Commodities Applied Research Digest, J.P. Morgan Center for Commodities, Summer 2020.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2018). Harvesting commodity styles: A flexible integration framework,.
FERNANDEZ-PEREZ, A., FRIJNS, B., FUERTES, A.-M., MIFFRE, J. (2017). The skewness of commodity futures returns,. Global Commodities Applied Research Digest - J.P. Morgan center for commodities
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2017). Is idiosyncratic volatility priced in commodity futures markets?,.
Professional conferences
MIFFRE, J. (2021). Absolute return from commodities strategies through style integration and machine learning.
MIFFRE, J. (2020). UBS risk premia conference, Panel discussion on commodity risk premia.
MIFFRE, J. (2017). What does the future hold for commodity risk premia investing?.
Scientific activities
Associate Editor of an academic journal
Modern Finance,
2023
Journal of Futures Markets,
2022
Commodities,
2021
Journal of Risk and Financial Management,
2020
Finance Research Letters,
2015
Journal of Commodity Markets,
2015
International Review of Financial Analysis,
2014
Journal of Banking and Finance,
2014
Member of the scientific board of an academic association
Commodity Insights Digest,
2023
Reviewer for an academic journal
Journal of Futures Markets,
2022
Energy Economics,
2021
Financial Management,
2021
Energy Journal,
2021
Pacific-Basin Finance Journal,
2021
Journal of Commodity Markets,
2020
Review of Finance,
2020
Journal of Empirical Finance,
2020
Journal of Financial and Quantitative Analysis,
2020
American Journal of Agricultural Economics,
2020
Economic Modelling,
2020
Energy Economics,
2020
Journal of Banking and Finance,
2019
Review of Finance,
2019
Journal of Commodity Markets,
2019
Journal of Banking and Finance,
2018
Journal of International Money and Finance,
2018
Journal of Finance,
2017
Awards and honors
Award for the best paper presented at the CEMA 2017 conference, Harvesting commodity styles: An integrated framework (with A. Fernandez-Perez and A.-M. Fuertes), 2017
Award for the best paper published in 2016 in the British Accounting Review, Commodity risks and the cross-section of equity returns (with C. Brooks, A. Fernandez-Perez and O. Nneji), 2016
Doctoral supervision
2010 - 2015, B. Kandavel : Short-term nodal trading in electricity markets, EDHEC Business School, France
2008 - 2014, H. Lei : Exchange traded funds, Cass Business School, Great Britain
2005 - 2011, G. Rallis : Commodity trading strategies, Cass Business School, Great Britain
2004 - 2008, X. Li : Momentum and value strategies, Cass Business School, Great Britain
Since 2019, R. Zhang : Essays on commodity futures investments, Griffith Business School, Australia
Since 2017, H. Rad : Commodity risk premia in modern portfolio management, ,
Since 2022, M. RISSTAD MORTEN : Essay in Financial Econometrics, ,
Since 2023, M. ZITTI : Essays in salmon markets, Norwegian University of Life Sciences, Norway
Since 2023, M. NOORI : Essays in Empirical Finance, ,