Nom

MIFFRE

Prénom

Joëlle

Titre

Professor

Send an email

Department

Finance

Teaching areas

Fixed income

Derivatives

Commodities

Research areas

Asset management

Asset pricing

Commodities

Equities

Biography

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 Management Science, the Review of Finance and the Journal of Banking and Finance. 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.

Diplomas

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)

Experiences

Research Head - Finance Department

Audencia Business School, Nantes 2019 - 2022

Professor of Finance

EDHEC Business School 2008 - 2017

Associate Professor of Finance

EDHEC Business School 2007 - 2008

Visiting Assistant Professor of Finance

UTS, Sydney 2001 - 2002

Associate and Assistant Professor in Finance

Bayes Business School 2000 - 2006

Assistant Professor of Finance

ICMA Centre 1999 - 2001

Research Fellow and Teaching Assistant

ICMA Centre 1998 - 1999

Research and Teaching Assistant, Research Fellow

Brunel University 1994 - 1998

Publications

Published

FERNANDEZ-PEREZ A., FUERTES A.-M., MIFFRE J., ZHAO N., (2025). Newswire tone-overlay commodity portfolios. Journal of Banking and Finance, 178, 107501

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., 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

Forthcoming

FERNANDEZ-PEREZ A., FUERTES A.-M., MIFFRE J., (2024). Does speculation in futures markets improve commodity hedging decisions?. Management Science

FERNANDEZ-PEREZ A., FUERTES A.-M., MIFFRE J., (2024). Does speculation in futures markets improve hedging decisions?.

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., (2023). Does speculation in futures markets improve hedging decisions?, CEMA 2023 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., (2022). The negative pricing of the May 2020 WTI contract, CEMA 2022 conference.

RAD H., LOW R., MIFFRE J., FAFF R., (2021). The commodity risk premium and neural networks, 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.

RAD H., LOW R., MIFFRE J., FAFF R., (2021). The commodity risk premium and neural networks, Research seminar, Audencia Business School.

FAN J., FERNANDEZ-PEREZ A., FUERTES A.-M., MIFFRE J., (2019). Speculative pressure, Financial Engineering and Banking Society 2019 conference.

FAN J., FERNANDEZ-PEREZ A., FUERTES A.-M., MIFFRE J., (2019). Speculative pressure, 2019 Conference on Computational and Financial Econometrics.

FERNANDEZ-PEREZ A., FUERTES A.-M., MIFFRE J., (2018). Harvesting commodity styles: An integrated framework, 2018 Commodity Markets Winter Workshop.

FERNANDEZ-PEREZ A., FUERTES A.-M., MIFFRE J., (2018). Harvesting commodity styles: An integrated framework, Frontiers of Factor Investing 2018 Conference.

FAN J., FERNANDEZ-PEREZ A., FUERTES A.-M., MIFFRE J., (2018). Speculative pressure, PanoRisk 2018 conference.

FERNANDEZ-PEREZ A., FUERTES A.-M., MIFFRE J., (2018). Harvesting commodity styles: An integrated framework; Research seminar, 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.

Scientific activities

Reviewer for an academic journal

Journal of Futures Markets 2025

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

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

Awards and honors

USCF (United States Commodity Funds) research grant, Understanding the negative pricing of the WTI May 2020 futures contract (with A. Fernandez-Perez and A.-M. Fuertes), 2020

Audencia Foundation Research Grant, Selective hedging (with A. Fernandez-Perez and A.-M. Fuertes), 2020

Griffith Centre for Personal Finance and Superannuation Research Grant, Hedging pressure across asset classes (with J. Fan, A. Fernandez-Perez and A. Fuertes), 2018

Europlace Institute of Finance, Institut Louis Bachelier Research Grant: Hedging pressure everywhere? (with J. Fan, A. Fernandez-Perez and A.-M. Fuertes), 2018

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

AUT Research Project Grant, Skewness strategies in commodity futures markets (with A. Fernandez-Perez, B. Frijns and A.-M. Fuertes), 2016

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

British Academy Leverhulme Small Research Grant, Harvesting the benefits of multiple commodity signals (with A. Fernandez-Perez and A.-M. Fuertes), 2016

CME Group, Exploring the commodity futures risk premium: Implications for asset allocation and regulation, 2011

INQUIRE UK Research Grant, New portfolio construction methods for commodities: Idiosyncratic risk-based strategies (with A. Fernandez-Perez and A.-M. Fuertes), 2011

Cass Business School Pump Priming Fund, Higher moments and the profitability of momentum strategies (with A.-M. Fuertes), 2004

INQUIRE UK Research Grant, Skewness, kurtosis and the conditional performance of hedge funds (with H. Kat), 2004

UTS Research Grant, Conditional OLS minimum variance hedge ratio, 2001

Nom MIFFRE Prénom Joëlle