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Département
Département
Département Finance
Domaine(s) d’enseignement
Domaine d’enseignement
Marché obligataire
Derivés
Marché des matières premières
Domaine(s) de recherche
Domaine de recherche
Gestion d'Actifs Financiers
Valuation des actifs financiers
Matières premières
Actions
Biographie
Biographie
Joëlle Miffre est Professeur de Finance à Audencia Business School. Ses recherches portent sur la valorisation et la gestion des matières premières et des actions. Ses articles sont publiés dans des revues académiques telles que la Review of Finance, le Journal of Banking and Finance ou le Journal of Business Finance and Accounting. Elle est membre du comité éditorial du Journal of Banking and Finance, du Journal of Commodity Markets et du Journal of Futures Markets. En témoignage de l'impact de ses recherches, elle a été consultante auprès de diverses institutions financières sur des questions relatives à la commercialisation, à la structuration et à l'impact sur les prix des produits indexés sur les matières premières. Auparavant, elle a occupé des postes d'enseignement et de recherche à l'EDHEC Business School, à la Bayes Business School et au ICMA Centre. Elle est titulaire d'une maîtrise et d'un doctorat en finance de l'université de Brunel.
Section CV
Formation
HDR, Finance
Université de Nantes, Nantes 2022PhD en Finance
Brunel University 1998MSc en Finance
Brunel University 1994Master in Management
ESLSCA, Paris 1993Expériences professionnelles
Responsable Recherche - Département Finance
Audencia Business School, Nantes, France 2019 - 2022Professor of Finance
EDHEC Business School, France 2008 - 2017Associate Professor of Finance
EDHEC Business School, France 2007 - 2008Assistant professeur visitant
UTS, Sydney, Australie 2001 - 2002Associate and Assistant Professor in Finance
Bayes Business School 2000 - 2006Assistant Professor of Finance
ICMA Centre, Royaume Uni 1999 - 2001Research Fellow and Teaching Assistant
ICMA Centre, Royaume Uni 1998 - 1999Research and Teaching Assistant, Research Fellow
Brunel University, Royaume Uni 1994 - 1998Publications
Publié
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. (2023). Does speculation in futures markets improve hedging decisions?, CEMA 2023 conference.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (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.
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?,.
Conférences professionnelles
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?.
Activités scientifiques
Editeur associé d'une revue de recherche
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
Membre Comité scientifique d'une association académique
Commodity Insights Digest,
2023
Reviewer revue académique
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
Récompenses et honneurs
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
Supervision doctorat
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, Royaume Uni
2005 - 2011, G. Rallis : Commodity trading strategies, Cass Business School, Royaume Uni
2004 - 2008, X. Li : Momentum and value strategies, Cass Business School, Royaume Uni
Depuis 2019, R. Zhang : Essays on commodity futures investments, Griffith Business School, Australie
Depuis 2017, H. Rad : Commodity risk premia in modern portfolio management, ,
Depuis 2022, M. RISSTAD MORTEN : Essays in Financial Economics, ,
Depuis 2023, M. ZITTI : Essays in Salmon Markets, Norwegian University of Life Sciences, Norvège
Depuis 2023, M. NOORI : Essays in Empirical Finance, ,