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Commodity premia and risk management

Fan, John Hua; Zhang, Tingxi - In: The journal of futures markets 44 (2024) 7, pp. 1097-1116

Persistent link: https://www.econbiz.de/10014553950

Portable beta and total portfolio management

Cavaglia, Stefano; Fan, John Hua; Wang, Zhenping - In: Financial analysts journal : FAJ 78 (2022) 3, pp. 49-69

Persistent link: https://www.econbiz.de/10013362700

Speculative Pressure

Fan, John Hua - 2019

The paper investigates the information content of speculative pressure across futures classes. Long-short portfolios of futures contracts sorted by speculative pressure capture a significant premium in commodity, currency and equity markets but not in fixed income markets. Exposure to commodity,...

Persistent link: https://www.econbiz.de/10012897551

Transaction costs, trading volume and momentum strategies

Li, Xiafei; Brooks, Chris; Miffre, Joëlle - In: The journal of trading 5 (2010) 1, pp. 66-81

Persistent link: https://www.econbiz.de/10003931735

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

Optimal hedging with higher moments

Brooks, Chris; Černý, Alešs; Miffre, Joëlle - In: The journal of futures markets 32 (2012) 10, pp. 909-944

Persistent link: https://www.econbiz.de/10009612628

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

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