Search results for: Adrian Fernandez-Perez

Items from 1 to 13 out of 13 results

article

The effect of macroeconomic news announcements on the implied volatility of commodities: The role of survey releases

Adrian Fernandez‐Perez, Raquel López

Journal of Futures Markets > 43 > 11 > 1499 - 1530

We examine the response of the implied volatility in crude oil, gold, and silver commodity markets to macroeconomic news announcements. We find that macroeconomic releases reduce uncertainty in commodity markets consistent with the hypothesis of uncertainty resolution following scheduled news announcements, while macroeconomic releases from the category of survey news announcements increase it. This...

article

Speculative pressure

John Hua Fan, Adrian Fernandez‐Perez, Ana‐Maria Fuertes, Joëlle Miffre

Journal of Futures Markets > 40 > 4 > 575 - 597

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, currency, and equity index futures’ speculative pressure is priced in the broad cross‐section after controlling...

article

Properties and the predictive power of implied volatility in the New Zealand dairy market

Adrian Fernandez‐Perez, Bart Frijns, Ilnara Gafiatullina, Alireza Tourani‐Rad

Journal of Futures Markets > 39 > 5 > 612 - 631

This study develops a dairy implied volatility index (DVIX), derived from New Zealand Exchange traded options on whole milk powder (WMP) futures. We document an inverse return–volatility relation which is asymmetric, where increases in WMP futures prices are associated with larger absolute changes in the DVIX than decreases. In sample, the results strongly suggest that the DVIX has a high information...

article

Surprise and dispersion: informational impact of USDA announcements

Adrian Fernandez‐Perez, Bart Frijns, Ivan Indriawan, Alireza Tourani‐Rad

Agricultural Economics > 50 > 1 > 113 - 126

We examine the role of information asymmetry on changes in bid‐ask spreads during major United States Department of Agriculture (USDA) announcements. Our analyses, using corn, wheat, and soybean futures, indicate that information asymmetry is significantly higher on USDA announcement days compared to nonannouncement days. We further observe that the increased information asymmetry prior to news announcements...

article

Determinants of intraday price discovery in VIX exchange traded notes

Adrian Fernandez‐Perez, Bart Frijns, Ilnara Gafiatullina, Alireza Tourani‐Rad

Journal of Futures Markets > 38 > 5 > 535 - 548

This study investigates the intraday price discovery of the VIX short‐term futures ETN (VXX) and inverse VIX short‐term ETN (XIV) for the period January 3, 2012 to December 31, 2015. Using Hasbrouck's (1995) Information Share and Lien and Shrestha's (2014) Generalized Information Share, we document strong time variation in the contribution to price discovery of the direct and inverse notes. We find...

article

The skewness of commodity futures returns

Adrian Fernandez-Perez, Bart Frijns, Ana-Maria Fuertes, Joelle Miffre

Journal of Banking & Finance > 2018 > 86 > C > 143-158

This article studies the relation between the skewness of commodity futures returns and expected returns. A trading strategy that takes long positions in commodity futures with the most negative skew and shorts those with the most positive skew generates significant excess returns that remain after controlling for exposure to well-known risk factors. A tradeable skewness factor explains the cross-section...

article

When no news is good news – The decrease in investor fear after the FOMC announcement

Adrian Fernandez-Perez, Bart Frijns, Alireza Tourani-Rad

Journal of Empirical Finance > 2017 > 41 > C > 187-199

We examine the impact of Federal Open Market Committee announcements on the intraday dynamics of the VIX and VIX futures. We find that at the time of the announcement the VIX and VIX futures decline significantly. We observe that the decline in the VIX and VIX futures after the announcement is not instantaneous but gradual, lasting for about 45min. The magnitude of the decline in the VIX and VIX futures...

article

Contemporaneous interactions among fuel, biofuel and agricultural commodities

Adrian Fernandez-Perez, Bart Frijns, Alireza Tourani-Rad

Energy Economics > 2016 > 58 > C > 1-10

This study examines the contemporaneous interactions among energy (oil and ethanol) and agricultural commodities (corn, soybean, and wheat) in the United States during the period 1 June 2006 to 22 January 2016. Since traditional VAR analysis is not able to capture the contemporaneous interactions among these commodities, we employ a structural VAR analysis in combination with the identification through...

article

Is idiosyncratic volatility priced in commodity futures markets?

Adrian Fernandez-Perez, Ana-Maria Fuertes, Joëlle Miffre

International Review of Financial Analysis > 2016 > 46 > C > 219-226

This article investigates the relationship between expected returns and past idiosyncratic volatility in commodity futures markets. Measuring the idiosyncratic volatility of 27 commodity futures contracts with traditional pricing models that fail to account for backwardation and contango leads to the puzzling finding that idiosyncratic volatility is significantly negatively priced cross-sectionally...

article

Commodity risks and the cross-section of equity returns

Chris Brooks, Adrian Fernandez-Perez, Joëlle Miffre, Ogonna Nneji

The British Accounting Review > 2016 > 48 > 2 > 134-150

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. We find that equity-sorted portfolios with greater sensitivities to the excess returns of the backwardation...

article

Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility

Ana‐Maria Fuertes, Joëlle Miffre, Adrian Fernandez‐Perez

Journal of Futures Markets > 35 > 3 > 274 - 297

This article demonstrates that momentum, term structure, and idiosyncratic volatility signals in commodity futures markets are not overlapping, which inspires a novel triple‐screen strategy. We show that simultaneously buying contracts with high past performance, high roll‐yields, and low idiosyncratic volatility, and shorting contracts with poor past performance, low roll‐yields, and high idiosyncratic...

article

Fixed income strategies based on the prediction of parameters in the NS model for the Spanish public debt market

Julián Andrada-Félix, Adrian Fernandez-Perez, Fernando Fernández-Rodríguez

SERIEs > 2015 > 6 > 2 > 207-245

Using different econometric models, Diebold and Li (J Econom 130:337–364, 2006) addressed the practical problem of forecasting the yield curve by predicting the factors level, slope and curvature in the Nelson–Siegel framework. This paper has two main aims: on the one hand, to investigate the predictive possibilities of the yield curve for the Spanish public debt market, using the methodology proposed...

article

The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market

Adrian Fernandez-Perez, Fernando Fernández-Rodríguez, Simón Sosvilla-Rivero

International Review of Economics and Finance > 2014 > 31 > Complete > 21-33

A Probit model to forecast the probability of bear markets in the Spanish IBEX 35 is presented, being the explanatory factors selected from a wide set of economic variables like the yield curve of Spain, US and Europe, several macro variables, and numerous leading indicators. A data-guided algorithm is used to render a concise parameterization of this optimal model. Our results suggest that the slopes...

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