MIFFRE Joëlle, PhD

Professor

Speciality : Finance
Expertise(s) : Financial risks management

EDHEC Business School
393/400 Promenade des Anglais - BP3116
06202 Nice cedex 3 - France
Tel.: + 33 (0)4 93 18 99 66
Fax : + 33 (0)4 93 83 08 10

Email : joelle.miffre@edhec.edu

Main academic publications

British Accounting Review (2016), Journal of Banking and Finance (2007, 2008, 2010, 2013); Journal of Business Finance and Accounting (2000, 2004, 2009); Journal of Futures Markets (2000, 2004, 2012, 2013, 2015); International Review of Financial Analysis (2013 ; 2016); Economic Notes (2002); European Financial Management (2001); Journal of Alternative Investments (2008, 2010, 2013, 2015)

Documents to download

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Publications edhec

This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low...

This article reviews recent academic studies that analyse the performance of long-short strategies in commodity futures markets. Special attention is...

International Review of Financial Analysis, Volume 46, pp219-226, July 2016.

British Accounting Review, Volume 48, Issue 2, June 2016, pp134-150.

As a result, equities with positive skews tend to be overpriced and thus offer low expected returns, while...

It also demonstrates that a pricing model based on innovations to the backwardation versus contango risk...

We employ a long-only equally-weighted portfolio of commodity futures and a term structure portfolio that...

Journal of Alternative Investments , Volume 18, N°1, pp92-104, Summer 2015.

Accordingly, factor-mimicking portfolios are formed by taking long positions in backwardated contracts and...

We examine the entire hyperbolic absolute risk aversion (HARA) family of utilities which include quadratic,...

Over the period between January 1985 and August 2011, systematically buying contracts with high past...

International Review of Financial Analysis, September 2013.

International Review of Financial Analysis, Volume 30, pp78-85, 2013.

The purpose of this article is to review this evolution and to give an assessment of index performance. Long...

We consider single sorts based on the open interests of either hedgers or speculators, as well as double...

This publication presents the results of the latest research on commodity futures investing done at EDHEC-...

A vast body of literature has documented the value premium and the small firm effect as pervasive stylized...

Regarding risk diversification and inflation hedging properties, the enhanced indices are as effective tools...

This paper demonstrates that the cross-sectional variation in returns between portfolios sorted by size and book-to-market value is...

Pages

See Also

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