Joëlle Miffre, PhD Professor - Speciality: Finance

Transcription

1 Joëlle Miffre, PhD Professor - Speciality: Finance Phone : +33 (0) joelle.miffre@edhec.edu Joëlle Miffre is Professor of Finance at EDHEC Business School and a member of the EDHEC Risk Institute. Her research focuses on the management and pricing of commodities and equities. Her articles are published in academic journals such as the Review of Finance or the Journal of Banking and Finance, sponsored by financial market participants (CME Group, INQUIRE) and cited in the financial press (The Economist, The Financial Times ). Joëlle acts as associate editor of four academic journals, one of which is the Journal of Banking and Finance and was scientific advisor to a CTA. Over the years, she has been teaching courses in Asset Management, Commodities, Corporate Finance, Derivatives, Econometrics and Fixed- Income at undergraduate, postgraduate and executive levels. EDUCATION 1998 Ph.D. in Finance, Brunel University (UK) 1994 M.Sc. in Finance, Brunel University 1993 ESLSCA, French B.Sc. in Business Administration WORK EXPERIENCE Since 2008 Professor of Finance, EDHEC Business School 2007 Associate Professor of Finance, EDHEC Business School Associate and Assistant Professor of Finance, Cass Business School (UK) Assistant Professor of Finance (Visiting), UTS (Australia) Assistant Professor of Finance, ICMA Centre (UK) Research Fellow and Teaching Assistant, ICMA Centre Research and Teaching Assistant, Research Fellow, Brunel University (UK)

2 RESEARCH Refereed Publications Commodity Markets, Long-Horizon Predictability and Intertemporal Pricing (with A. Fernández- Pérez and A.-M. Fuertes), Review of Finance, forthcoming Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility, Journal of Futures Markets, 2015, 35, 3, (with A. Fernández-Pérez and A.-M. Fuertes) The Case for Long-Short Commodity Investing, Journal of Alternative Investments, 2015, 18, (with A. Fernández-Pérez) Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure, Journal of Banking and Finance, 2013, 37, 7, (with D. Basu) Idiosyncratic Volatility and the Pricing of Poorly-Diversified Portfolios, International Review of Financial Analysis, 2013, 30, (with C. Brooks and X. Li) Do Long-Short Speculators Destabilize Commodity Futures Markets?, International Review of Financial Analysis, 2013, 30, (with C. Brooks) Strategic and Tactical Roles of Enhanced Commodity Indices, Journal of Futures Markets, 2013, 33, 10, (with A.-M. Fuertes and G. Rallis) The Performance of Simple Dynamic Commodity Strategies, Journal of Alternative Investments, 2013, 16, 1, 9-18 (with D. Basu) Optimal Hedging with Higher Moments, Journal of Futures Markets, 2012, 32, 10, (with C. Brooks and A. Černý) Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals, Journal of Banking and Finance, 2010, 34, 10, (with A.-M. Fuertes and G. Rallis) Conditional Correlation and Volatility in Commodity Futures and Traditional Asset Markets, Journal of Alternative Investments, 2010, 12, 3, (with J. Chong) Transaction Costs, Trading Volume and Momentum Strategies, Journal of Trading, 2010, 5, 1, (with C. Brooks and X. Li) The Value Premium and Time-Varying Volatility, Journal of Business Finance and Accounting, 2009, 36, 9-10, (with C. Brooks and X. Li) Conditional Correlations and Real Estate Investment Trusts, Journal of Real Estate Portfolio Management, 2009, 15, 2, (with J. Chong and S. Stevenson)

3 Momentum Profits, Non-Normality Risks and the Business Cycle, Applied Financial Economics, 2009, 19, (with A.-M. Fuertes and W.-H. Tan) Low-Cost Momentum Strategies, Journal of Asset Management, 2009, 9, 6, (with C. Brooks and X. Li) Momentum Profits and Time-Varying Unsystematic Risk, Journal of Banking and Finance, 2008, 32, 4, (with C. Brooks, X. Li and N. O Sullivan) The Impact of Non-Normality Risks and Tactical Trading on Hedge Fund Alphas, Journal of Alternative Investments, 2008, 10, 4, 8-22 (with H. M. Kat) Conditional Risk Premia in International Government Bond Markets, Multinational Finance Journal, 2008, 12, 3/4, Momentum Strategies in Commodity Futures Markets, Journal of Banking and Finance, 2007, 31, 6, (with G. Rallis) Country-Specific ETFs: An Efficient Approach to Global Asset Allocation, Journal of Asset Management, 2007, 8, 2, The Conditional Price of Basis Risk: An Investigation Using Foreign Exchange Instruments, Journal of Business Finance and Accounting, 2004, 31, 7-8, Conditional OLS Minimum Variance Hedge Ratios, Journal of Futures Markets, 2004, 24, 10, The Cross Section of Expected Futures Returns and the Keynesian Hypothesis, Applied Financial Economics, 2003, 13, 10, The Predictability of Futures Returns: Market Inefficiency or Rational Change in Required Returns?, Applied Financial Economics, 2002, 12, 10, Portfolio Beta under Market Segmentation, Derivatives Use, Trading and Regulation, 2002, 8, 2, Economic Significance of the Predictable Movements in Futures Returns, Economic Notes, 2002, 31, 1, Efficiency in the Pricing of the FTSE100 Futures Contract, European Financial Management, 2001, 7, 1, 9-22 Economic Activity and Time Variation in Expected Futures Returns, Economics Letters, 2001, 73, 1, Sources of Systematic Risk in Futures and Spot Markets: A Study of Market Integration, Journal of Business Finance and Accounting, 2000, 27, 7-8, (with R. Priestley)

4 Normal Backwardation is Normal, Journal of Futures Markets, 2000, 20, 9, A Note on Forecasting the CAC 40 and DAX Stock Index Futures, Applied Economics Letters, 1995, 2, 10, (with A. Clare) Practitioners Articles Skewness: A New Signal for Long-Short Commodity Investing, Investment and Pensions US, EDHEC-Risk Institute Research Insights, 2015 (with A. Fernández-Pérez, B. Frijns and A.-M. Fuertes) Skewness Strategies in Commodity Futures Markets, Hedge Funds Review, June 2015, (with A. Fernández-Pérez, B. Frijns and A.-M. Fuertes) Comparing First, Second and Third Generation Commodity Indices, Alternative Investment Analyst Review, 2014, 3, 2, Performance of Idiosyncratic Volatility Strategies in Commodity Markets: Delusion or Reality?, Investment and Pension Europe, EDHEC-Risk Institute Research Insights, Summer 2014, (with A. Fernández-Pérez and A.-M. Fuertes) Comparing the Different Generations of Commodity Indices, Swiss Derivatives Review, Summer 2013, 52, Triple Scoring of Commodities: Momentum, Term Structure and Idiosyncratic Volatility, Hedge Funds Review, May 2013 (with A. Fernández-Pérez and A.-M. Fuertes) A Comparison of First, Second and Third Generation Commodity Indices, Hedge Funds Review, October 2012 Long-Short Commodity Investing: Implications for Portfolio Risk and Market Regulation, Investment and Pension Europe, EDHEC-Risk Institute Research Insights, April 2012, 4-5 A Long Look at Long-Short Commodity Investing, Commodities Now, March 2012 Hedging Pressure-Based Long-Short Commodity Strategy Used for Third Generation Commodity Index, Hedge Funds Review, January, Academic Analysis Supports Long/Short Commodity Investing Without Regulatory Intervention, Hedge Funds Review, January, Investors Tracking Maturity-Enhanced Commodity Indexes Face Liquidity Risk, Hedge Funds Review, June, , (with A.-M. Fuertes and G. Rallis) Merits of a Well-Built Commodity Benchmark, Financial Times, July,

5 Tactical Allocation in Commodity Futures Markets, Hedge Funds Review, February, , (with A.-M. Fuertes and G. Rallis) Momentum Strategies in Commodity Markets: Focus on the Short Term Brings Profits in the Long Term, Hedge Fund Journal 27, September 2007, 7, (with G. Rallis) Press Coverage Financial Times (June 2012) The Economist (January 2011) Investment Magazine (December 2011) Asia Asset Management (October 2011) Commodities Now (October 2011) Investment Europe (October 2011) Hedge Fund Journal (October 2011) Hedge Funds Review (September 2009) Hedge Funds Review (October 2008) Working Papers Commodities as Lotteries: Skewness and the Returns of Commodity Futures (with A. Fernández- Pérez, B. Frijns and A.-M. Fuertes) Commodity Risks and the Cross-Section of Equity Returns (with C. Brooks, A. Fernández- Pérez and O. Nneji) Is Idiosyncratic Volatility Priced in Commodity Futures Markets? (with A. Fernández-Pérez and A.-M. Fuertes) Long-Short Commodity Investing: A Review of the Literature RESEARCH GRANTS INQUIRE UK, New Portfolio Construction Methods for Commodities: Idiosyncratic Risk-Based Strategies, 2011, 10,000 (with A. Fernández-Pérez and A.-M. Fuertes) CME (Chicago Mercantile Exchange) Group, Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation, 2011, 75,000 INQUIRE UK, Skewness, Kurtosis and the Conditional Performance of Hedge Funds, 2004, 8,175 (with H. M. Kat) Cass Business School, Higher Moments and the Profitability of Momentum Strategies, 2004, 2,500 (with A.-M. Fuertes) UTS, Faculty of Business Research Grant and Vice-Chancellor Conference Fund, Conditional OLS Minimum Variance Hedge Ratios, 2001, AUD 7,390

6 PROFESSIONAL ACTIVITIES Board Memberships: Associate Editor Finance Research Letters International Review of Financial Analysis Journal of Banking and Finance Journal of Commodity Markets Selected Refereeing Activity Journal of Financial and Quantitative Analysis, Review of Finance, American Journal of Agricultural Economics, Economic Modelling, Energy Economics, Financial Analysts Journal, Journal of Applied Econometrics, Journal of Banking and Finance, Journal of Business Finance and Accounting, Journal of Empirical Finance, Journal of Futures Markets, Journal of International Money and Finance, amongst other journals Presentations at Academic Conferences (by co-author or myself) British Accounting Association: 1998 Commodity Market Workshop: 2015 European Financial Management Association: 1998, 1999, 2001, 2002, 2008 EFM Symposium on Risk and Asset Management: 2008 European Finance Association: 2003, 2007 Financial Management Association, European Meeting: 1998, 2001, 2003, 2004 Financial Management Association, International Meeting: 2003, 2005 French Finance Association: 1998, 2000 Global Association of Risk Professionals: 2000 Modeling Macroeconomics and Financial Time-Series: 2014 (co-author) Money, Macro and Finance Research Group: 1998, 1999, 2014 (co-author) Multinational Finance Society: 2000, 2001 Royal Economic Society: 1999 Presentations at Practitioners Conferences EDHEC Alternative Investments Days 2007: State-of-the-Art Commodities Investing EDHEC Alternative Investments Days 2010, 2011: Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure EDHEC Institutional Days 2008: State-of-the-Art Commodities Investing EDHEC-Risk Days Asia 2012, EDHEC-Risk Days Europe 2012: Long-Short Commodity Investing: Implications for Portfolio Risk and Market Regulation EDHEC-Risk Days Europe 2012: Idiosyncratic Risk-Based Commodity Strategy EDHEC-Risk Days Europe 2013, EDHEC-Risk Days North-America 2013: What are the New Methods of Investing Passively in Commodities?

7 EDHEC-Risk Days Europe 2015: Skewness Strategies in Commodity Futures Markets IQPC conference: Portfolio diversification: Commodities, Implementing the best approaches to provide downside protection and enhance alpha: 2006 INQUIRE UK seminar: 1999 INQUIRE Europe and INQUIRE UK joint seminar: 2006 Research Seminars Brunel University: 1998 Cass Business School: 2003, 2005, 2006 EDHEC Business School: 2006, 2007, 2008, 2010, 2012, 2013, 2015 Institute for Advanced Studies: 2005 Leipzig University Hannover: 2015 London Metropolitan University: 2006 Monash University: 2002 University of Essex: 2004 University of New South Wales: 2001 University of Reading: 1999 University of Technology, Sydney: 2001, 2002 Discussions Commodity Market Workshop: 2015 EFM Symposium on Risk and Asset Management: 2008 European Finance Association: 2003 European Financial Management: 2008 Financial Management Association, European Meeting: 2001, 2003, 2004 Multinational Finance Society: 2001 Member of Program Committee ISINI 7th international congress, 2003 French Finance Association (AFFI) conference, 2004 Multinational Finance Society conference, 2009 FMA International annual meeting, 2014 Auckland Finance Meeting, th Computational and Financial Econometrics conference, 2015; Organization of session 394: Commodity Markets; Pricing and Trading TEACHING AND STUDENT SUPERVISION Executive Education Advanced Commodities Investing Seminar, Singapore, 2011, 2012

8 Advanced Commodities Investing Seminar, London, 2012 Advanced Commodities Investing Seminar, New-York, 2008 (with H. Till), 2012, 2013 Hasenbichler Asset Management, Innovative Ways to Gain Exposure to Commodities Markets, London, 2006 Morley Fund Management, Applied Investment Management Programme, London, 2004 Lectures at Postgraduate Level Asset Management, Cass Business School, M.Sc. Commodities, EDHEC, M. Sc. Financial Economics, Cass Business School, Ph.D. Fixed Income Analysis, EDHEC, M.Sc. Fixed Income Analysis and Risk Management, EDHEC, MBA Futures, Cass Business School, M.Sc. Options, Futures and Other Derivatives, EDHEC, M.Sc. Portfolio Management, Cass Business School, M.Sc. Principles of Finance, Cass Business School, M.Sc. Quantitative Methods in Finance, M.Sc. Research Project Management, Cass Business School, M.Sc. Lectures at Undergraduate Level Business Finance, ICMA Centre, 2nd and 3rd years Financing Decisions and Capital Market Theory, UTS, 3rd year Introduction to Fixed Income, EDHEC, M1 Risque et Gestion de Portefeuille: Théorie Financière, EDHEC, B3 Supervision Ph.D. theses H. Lei: Exchange traded funds, X. Li: Momentum and value strategies, G. Rallis: Commodity trading strategies, B. Kandavel: Short-term nodal trading in electricity markets, Examiner of Ph.D. viva: N. O Sullivan (2006), P.-S. Yu (2015) Member of 4 transfer panels (from M.Phil. to Ph.D.) at Cass Business School Numerous undergraduate and postgraduate dissertations Tutorials Business Finance, ICMA Centre, 2nd and 3rd years Financing Decisions and Capital Market Theory, UTS, 3rd year Introduction to Financial Markets and Institutions, Brunel University, 1st year Risque et Gestion de Portefeuille: Théorie Financière, EDHEC, 2nd year

9 Valuation of Securities, ICMA Centre, M.Sc. NON-TEACHING PROFESSIONAL EXPERIENCE Aquila Capital (CTA), Scientific Advisor, CAIA, Member of Curriculum Committee, Commodities and Managed Futures, EDHEC-Risk Institute, Member of the Research Team, 2007-to date ADMINISTRATION Current Appointments at EDHEC Business School Admission of International Students, Co-chair of the committee responsible for the admission of international students to the M1 Master in Management degree and to four M.Sc. degrees (M.Sc. International Accounting and Finance, M.Sc. Corporate Finance, M.Sc. Finance and M.Sc. Financial Markets) Member of the Coordination Committee Member of the Teaching Committee Member of the Board of Examiners Past Appointments Admission of Graduate Students, ICMA Centre Member of the Board of Study, Cass Business School Member of the Internal and External Boards of Examiners, Cass Business School Member of the Staff-Student Liaison Committee, Cass Business School Member of the Web-Steering Committee, ICMA Centre