Adrián Fernández-Pérez

Adrián Fernández-Pérez
Auckland University of Technology | AUT · Department of Finance

About

51
Publications
6,428
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285
Citations
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January 2014 - present
Auckland University of Technology
Position
  • PostDoc Position

Publications

Publications (51)
Article
We examine the relationship between investor mood and the demand for sustainable investments, proxied by inflows to sustainable mutual funds. We find that a worse mood is associated with greater inflows to sustainable funds. This finding is consistent with greater risk aversion pushing investors to favor sustainable funds that they perceive as less...
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This paper sheds light on the negative pricing of the May 2020 WTI futures contract (CLK20) on April 20, 2020. The super contango of early 2020, triggered by COVID-19 lockdowns and geopolitical tensions, incentivized cash and carry (C&C) traders to be long CLK20 and short distant contracts, while simultaneously booking storage at Cushing. Our inves...
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This paper examines the interconnection between four implied volatility indices representative of the investors' consensus view of expected stock market volatility at different maturities during the period from 3 January 2011 to 4 May 2018. To this end, we first perform static analysis to measure the total volatility connectedness in the entire per...
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Using a unique database, this paper examines the interconnection among stress indicators of the Spanish financial markets during the period of January 1999 to April 2021, applying both the connectedness framework and the Time-Varying Parameter Vector Autoregressive connectedness approach. Our results suggest that 15.67% of the total variance of for...
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This paper introduces a real-time, continuous measure of national sentiment that is language-free and thus comparable globally: the positivity of songs that individuals choose to listen to. This is a direct measure of mood that does not pre-specify certain mood-affecting events nor assume the extent of their impact on investors. We validate our mus...
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This paper studies the energy futures risk premia that can be extracted through long-short portfolios that exploit heterogeneities across contracts as regards various characteristics or signals and integrations thereof. Investors can earn a sizeable premium of about 8% and 12% per annum by exploiting the energy futures contract risk associated with...
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This paper explores the effectiveness of Whole Milk Powder futures to protect the net profit margins of New Zealand dairy farms. The proposed strategy for farms suggests selling futures contracts when the current futures price (adjusted for basis risk and commissions) is above the break-even price. We use historical data from 2011 to 2017 and simul...
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We examine the commodity futures pricing role of active attention to weather, disease, geopolitical or economic threats or “hazard fear” as proxied by the volume of internet searches by 149 query terms. A long-short portfolio strategy that sorts the cross-section of commodity futures contracts according to a hazard fear signal captures a significan...
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We investigate the profitability of a pairs trading strategy using Chinese and international commodity futures contracts covering the period January 2004 to February 2018. We use a time-series approach where the commodity pairs share a similar underlying. An out-of-sample test is employed to infer the performance of these pairs, allowing us to dete...
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This paper examines the volatility interconnection between the main cryptocurrencies and traditional currencies during the period of February 2014-September 2018 using both a framework proposed by Diebold and Yilmaz (2014) and the modified approach of Antonakakis and Gabauer (2020). Our results suggest that a 34.43%, of the forecast errors’ total v...
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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 pres...
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The paper provides a comprehensive appraisal of style-integration methods in equity index, fixed income, currency, and commodity futures markets. We confront the naïve equal-weight integration (EWI) method with a host of ‘sophisticated’ style-integrations that derive the style exposures using past data according to utility maximization, style rotat...
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We examine the impact of the introduction of VIX exchange‐traded products (ETPs) on the information content and pricing efficiency of VIX futures. We document that trades in VIX futures have become less informative and that pricing errors exhibit more persistence after the introduction of VIX ETPs. In addition, we observe that the price process of...
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We introduce a heterogeneous agent model to explain the dynamics of fine wine investments. Our results show evidence of the existence of both fundamentalists – those who trade on mean-reversion towards a fair value – and chartists – those who extrapolate recently observed price trends – in the wine market. Moreover, we document that market particip...
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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...
Article
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 non‐announcement days. We further observe that th...
Article
This study investigates the interconnection between five implied volatility indices representative of different financial markets during the period 1 August 2008–29 December 2017. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framewor...
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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...
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We investigate the contemporaneous spillovers among precious metals, crude oil and the US$ exchange rate. We contend that conventional reduced-form vector autoregressive (VAR) models based on lead/lag relations do not fully capture the interactions among these series as these models ignore the contemporaneous effects. Using a Structural VAR model,...
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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 45 min...
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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 i...
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This study examines the contemporaneous interactions among energy (oil and ethanol) and agricultural commodities (corn, soybean, and wheat) in 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 anal...
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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 se...
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The question of association as opposed to causation is an important issue in many scientific fields, including finance. Much of the empirical research in finance deals with the question of causality or stated differently what came first: the chicken or the egg. We are interested, for example, to know the transmission channels through which shocks p...
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The article presents strong evidence in favor of long-short (as opposed to long-only) commodity investments. We show that long-short fully collateralized commodity portfolios based on momentum, term structure or hedging pressure present higher Sharperatios, lower volatility and lower correlation with the S&P 500 index than long-only commodity portf...
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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 Span...
Article
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 t...
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This paper proposes a commodity-based specification of the Intertemporal CAPM (ICAPM) that uses state variables grounded on the theories of storage and hedging pressure. Accordingly, factor-mimicking portfolios are formed by taking long positions in backwardated contracts and short positions in contangoed contracts according to either term structur...
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The paper reviews the literature on the term structure of interest rates (TSIR). This was done by defining the concept, explaining its use, and detailing the methodologies employed to derive the TSIR. We also put forward theoretical rationales on its model.
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The paper reviews the literature on how the term structure of interest rates (TSIR) can be used to implement passive and active fixed income portfolio strategies. This is done by defining the concept, explaining the risk of interest rates, and detailing several fixed income portfolio strategies.
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The paper studies the performance and volatility of long-only and long-short commodity portfolios and their conditional correlations with stocks and bonds. We present strong evidence in favor of long-short (as opposed to long-only) commodity investments. Long-short portfolios (based on momentum, term structure or hedging pressure) are found to pres...
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This paper studies the relationship between idiosyncratic volatility and expected returns in commodity futures markets. Measuring idiosyncratic volatility relative to traditional pricing models that fail to account for backwardation and contango leads to the puzzling conclusion that idiosyncratic volatility is negatively priced. In sharp contrast,...
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We develop a genetic algorithm that is able to find the optimal sequence of exchange rates that maximizes arbitrage profits with more than three currencies, being both the triangular arbitrage and the direct exchange rate two special cases of the proposed algorithm. Applying the algorithm to the most traded currencies, we find average profits ranki...
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We offer further evidence on the relevance of technical trading in exchange-rate markets using daily data for 95 currencies against the US dollar. To that end, we investigate the profitability of a simple technical trading rule based on Taylor's (198020. Taylor , S. 1980. Conjectured models for trends in financial prices, tests and forecasts. Jour...
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We test for the existence of trends in exchange-rate series for 95 currencies against the US dollar. To that end, we make use of Taylor's (198016. Taylor , S. 2008 . Modelling Financial Time Series , Hackensack, NJ : World Scientific . View all references) price trend model that, instead of focusing on the mean reverting behaviour of exchange rates...
Article
We develop a genetic algorithm that is able to find the optimal sequence of exchange rates that maximizes arbitrage profits with more than three currencies, being both the triangular arbitrage and the direct exchange rate two special cases of the proposed algorithm. Applying the algorithm to the most traded currencies, we find average profits ranki...
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This article demonstrates that momentum, term structure and idiosyncratic volatility signals in commodity futures markets are not overlapping which motivates the design of a new triple-screen strategy. Over the period between January 1985 and August 2011, systematically buying contracts with high past performance, high roll-yield and low idiosyncra...
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This paper is devoted to testing for the random walk hypothesis against the existence of trends in exchange rate series for 95 currencies against the US Dollar. To that end, we make use of Taylor's price trend model (Taylor, S., 1980) that, instead of focusing on the mean reverting behaviour of exchange rates measured over a long horizon, concentra...
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Acknowledgments The authors gratefully acknowledge,the financial support from the Spanish Ministry of Science and Education, through the research project SEJ2006-07701. ,2
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Full-text available
This paper is devoted to testing for the random walk hypothesis against the existence of trends in exchange rate series for 95 currencies against the US Dollar. To that end, we make use of Taylor's price trend model (Taylor, S., 1980, Conjectured Models for Trends in Financial Prices, Tests and Forecasts, Journal of the Royal Statistical Society, S...

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