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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 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?, 1st Modern Finance Conference.
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.
MIFFRE J., (2025). Interview with an Academic Expert in the Commodity Markets, Commodity Insights Digest.
FERNANDEZ-PEREZ A., FUERTES A.-M., MIFFRE J., (2024). Does speculation in futures markets improve commodity hedging decisions?, Commodity Insights Digest.
FERNANDEZ-PEREZ A., FUERTES A.-M., MIFFRE J., ZHAO N., (2024). Newswire tone-overlay commodity portfolios, 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, Global Commodities Applied Research Digest, J.P. Morgan Center for Commodities.
MIFFRE J., FERNANDEZ-PEREZ A., FUERTES A. -M., (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, Global Commodities Applied Research Digest, J.P. Morgan Center for Commodities.
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?, Global Commodities Applied Research Digest, Spring 2017, 2, 1.
Press articles
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
Professional conference
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
Guest Editor of an academic journal
Special Issue of the Journal of Commodity Markets on "The Energy Transition", with R. d’Ecclesia, C. Mari and M. Robe
2025
Special Issue of the Journal of Banking and Finance on “Asset Pricing and Factor Investing”, with E. Galariotis and B. Sévi
2024
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
Member of the scientific board of an academic association
2024 New Zealand Finance Meeting
2024
CEMA Conference 2024
2024
1st Modern Finance Conference
2024
Commodity Insights Digest
2023
Commodities, Volatility, and Risk Management - The Impacts of Trade Restrictions, Market Imperfections, and Green Finance
2019
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
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
Doctoral supervision
(2015) B. Kandavel : Short-term nodal trading in electricity markets.
(2021) R. Zhang : Essays on commodity futures investments.
(2021) H. Rad : Commodity risk premia in modern portfolio management.
(2014) H. Lei : Exchange traded funds.
(2011) G. Rallis : Commodity trading strategies.
(2008) X. Li : Momentum and value strategies.
(2025) M. GOMES : Commodities, energy, and capital markets: Links, dynamics, and the consequences of trade and environmental policy.
(2024) R. MENIER : Couverture croisée sur les marchés à terme et modélisation de la structure de dépendance entre les prix des produits des oléagineux.
(2023) M. ZITTI : Essays in salmon markets.
(2022) M. RISSTAD MORTEN : Essay in Financial Econometrics.
M. NOORI : Essays in Empirical Finance.