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Capturing the risk premium of commodity futures : the role of hedging pressure

Basu, Devraj; Miffre, Joëlle - In: Journal of banking & finance 37 (2013) 7, pp. 2652-2664

Persistent link: https://www.econbiz.de/10009760567

Commodity risks and the cross-section of equity returns

Brooks, Chris; Miffre, Joëlle; Nneji, Ogonna - In: The British accounting review : the journal of the … 48 (2016) 2, pp. 134-150

Persistent link: https://www.econbiz.de/10011520867

The cross section of expected futures returns and the Keynesian hypothesis

Miffre, Joëlle - In: Applied financial economics 13 (2003) 10, pp. 731-739

Persistent link: https://www.econbiz.de/10001777214

The predictability of futures returns : rational variation in required returns or market inefficiency?

Miffre, Joëlle - In: Applied financial economics 12 (2002) 10, pp. 715-724

Persistent link: https://www.econbiz.de/10001702510

Economic activity and time variation in expected futures returns

Miffre, Joëlle - In: Economics letters 73 (2001) 1, pp. 73-79

Persistent link: https://www.econbiz.de/10001613334

Efficiency in the pricing of the FTSE 100 futures contract

Miffre, Joëlle - In: European financial management : the journal of the … 7 (2001) 1, pp. 9-22

Persistent link: https://www.econbiz.de/10001558301

Normal backwardation is normal

Miffre, Joëlle - In: The journal of futures markets 20 (2000) 9, pp. 803-821

Persistent link: https://www.econbiz.de/10001525965

Economic significance of the predictable movements in futures returns

Miffre, Joëlle - In: Economic notes : economic review of Banca Monte dei … 31 (2002) 1, pp. 125-142

Persistent link: https://www.econbiz.de/10001669373

The risk premia of energy futures

Fernandez-Perez, Adrian; Fuertes, Ana María; Miffre, … - In: Energy economics 102 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013162273

Commodity Risks and the Cross-Section of Equity Returns

Brooks, Chris - 2019

The article examines whether commodity risk is priced in the cross-section of global equity returns. We employ a long-only equally-weighted portfolio of commodity futures and a term structure portfolio that captures phases of backwardation and contango as mimicking portfolios for commodity risk....

Persistent link: https://www.econbiz.de/10012904741