Dr Adrian Fernandez-Perez

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Research Fellow

Phone: +64 9 921 9999 – ext: 6129

Email: adfernan@aut.ac.nz / adrian.fernandez@aut.ac.nz

ORCID:
ORCID logo  https://orcid.org/0000-0002-9433-7194

Qualifications:

  • Ph.D. in Economics (University of Las Palmas de Gran Canaria, ULPGC, Spain).
  • M.Sc. in Banking and Finance (ULPGC)
  • M.Sc. in Economics: Applications to Finance and Insurance, Sectorial Economy, Environment and Infrastructure and Transport (ULPGC)
  • B.Sc. in Economics (ULPGC)

Memberships and Affiliations:

Biography:

Adrian Fernandez-Perez (Ph.D. Econ, B.Sc. Econ, M.Sc. Econ, M.Phil. Econ, M.Sc. Banking and Finance) joint to AUT in 2014; before that he was researcher at the University of Las Palmas de Gran Canaria (Spain) and research assistant at Cass Business School (UK).

Research Areas:

  • Commodity Futures, Quantitative Finance, Fixed Income

Research Summary:

Adrian’s research agenda is ample but focussed mainly on commodity futures, and is published in academic journals such as the Review of Finance, Energy Economics or Journal of Banking and Finance. His work has been featured in practitioner’s journals such as Hedge Funds Review and awarded grants by INQUIRE-UK and British Academy/Leverhulme Trust.

Current Research Projects:

  • Fernandez-Perez, A., Frijns, B., Tourani-Rad, A. and Webb, R. “The Effect of the Introduction of VIX ETPs on the Price Dynamics of VIX Futures”.
  • Fernandez-Perez, A., Fuertes, A.-M. and Miffre, J. “A Comprehensive Appraisal of Style-Integration Methods”.
  • Fan, J., Fernandez-Perez, A., Fuertes, A.-M. and Miffre, J. “Speculative Pressure”.
  • Andrada-Félix, J., Fernandez-Perez, A., Fernández-Rodríguez, F, and Sosvilla-Rivero, S. “Time connectedness of fear”.
  • Fernandez-Perez, A., Frijns, B., Indriawan, I. and Tse, Y. "Pairs trading strategies China vs. World".

Publications:

Fernandez-Perez, A., Frijns, B., Fuertes A.-M., and Miffre, J. (2018). “The Skewness of Commodity Futures Returns”. Journal of Banking and Finance, Vol. 86, pp. 143–158.

Fernandez-Perez, A., Frijns, B., Gallatullina, I., and Tourani-Rad, A. (2018). “Properties and predictive power of implied volatility in the NZ Dairy Market”. Journal of Futures Markets, forthcoming.

Fernandez-Perez, A., Frijns, B., Tourani-Rad, A. and Weisskopf, J-P. (2018) “Behavioural Heterogeneity in Wine Investments”. Applied Economics, forthcoming

Fernandez-Perez, A., Frijns, B., Indriawan, I., and Tourani-Rad, A. (2018). “Surprise and Dispersion: Informational Impact of USDA Announcements”. Agricultural Economics, forthcoming

Fernandez-Perez, A., Frijns, B., Gallatullina, I., and Tourani-Rad, A. (2018) “Determinants of Intraday Price Discovery in VIX Exchange Traded Notes”. Journal of Futures Markets, Vol. 38, pp. 535–548.

Andrada-Félix, J., Fernandez-Perez, A., and Sosvilla-Rivero, S. (2018) “Fear connectedness among asset classes”. Applied Economics, Vol. 50, pp. 4234-4249.

Fernandez-Perez, A., Fuertes A.-M., and Miffre, J. (2017). “Commodity Markets, Long-Horizon Predictability and Intertemporal Pricing”. Review of Finance, Vol. 21, pp. 1159-1188.

Fernandez-Perez, A., Frijns, B., and Tourani-Rad, A. (2016) “Contemporaneous interactions among fuel, biofuel and agricultural commodities”. Energy Economics, Vol. 58, pp. 1–10.

Fernandez-Perez, A., Frijns, B., and Tourani-Rad, A. (2016) “When No News is Good News – The decrease in Investor Fear after the FOMC announcement” Journal of Empirical Finance, Vol. 41, pp. 187–199.

Fernandez-Perez, A., Fuertes A.-M., and Miffre, J. (2016). “Is Idiosyncratic Volatility Priced in Commodity Futures Markets?”. International Review of Financial Analysis, Vol. 46, 219–226.

Fernandez-Perez, A., Frijns, B., and Tourani-Rad, A. (2016). “Precious metals, Oil and the Exchange rate: Contemporaneous Spillover Effects”. Applied Economics, Vol. 49, pp. 3863-3879.

Brooks, C., Fernandez-Perez, A., Miffre, J., and Nneji, O. (2016). “Commodity Risk Factors and the Cross-Section of Equity Returns”. The British Accounting Review, Vol. 48, pp 134-150.

Fernandez-Perez, A., Frijns, B., and Tourani-Rad, A. (2015). “Understanding Causality: What came first the Chicken or the Egg?”. Applied Finance Letters, Vol. 04, pp. 02–05.

Fernandez-Perez, A., Fernández-Rodríguez, F. and Andrada-Félix, J. (2015). “Fixed Income Technical Strategies Based on the Prediction of Parameters in the Nelson and Siegel Model”.SERIEs (Journal of the Spanish Economic Association), Vol. 6, pp 207-245. [B in ABDC]

Miffre, J., and Fernandez-Perez, A. (2015). “The Case for Long-Short Commodity Investing: Performance, Volatility and Diversification Benefits”. Journal of Alternative Investments, Vol. 18, pp. 92–104.

Fuertes A.-M., Miffre, J., and Fernandez-Perez, A. (2015). “Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility”. Journal of Futures Markets, Vol. 35, pp. 274–297.

Fernandez-Perez, A., Fernández-Rodríguez, F. and Sosvilla-Rivero, S. (2014) “The Term Structure of Interest Rates as Predictor of Stock Returns: Evidence for the IBEX 35 during a Bear Market”. International Review of Economics & Finance, Vol. 31, pp. 32-33.

Andrada-Félix, J., Fernandez-Perez, A., and Fernández-Rodríguez, F. (2014). “La Estructura Temporal de los Tipos de Interés: estrategias de negociación en renta fija”. Cuadernos de Economía, Vol. 37, pp. 131-149.

Andrada-Félix, J., Fernandez-Perez, A., and Fernández-Rodríguez, F. (2013). “La Estructura Temporal de los Tipos de Interés: conceptos y procedimientos de estimación”. Cuadernos de Economía, Vol. 36, pp. 53-66.

Fernandez-Perez, A., Fernández-Rodríguez, F. and Sosvilla-Rivero, S. (2012). “Exploiting Trends in the Foreign Exchange Markets”. Applied Economics Letters, Vol. 19, pp. 591-597.

Fernandez-Perez, A., Fernández-Rodríguez, F. and Sosvilla-Rivero, S. (2012). “Detecting Trends in the Foreign Exchange Markets”. Applied Economics Letters, Vol. 19, pp. 493-503.


Publication in the Financial Press


Fuertes A.-M., Miffre, J., and Fernandez-Perez, A. “Triple Scoring of Commodities: Momentum, Term Structure and Idiosyncratic Volatility”. Hedge Fund Review [May 16, 2013].

Fernandez-Perez, A., Fernández-Rodríguez, F. and Sosvilla-Rivero, S. “La predicción de tendencias bajistas en el IBEX 35 y los tipos de interés”. Revista Online Bolsas y Mercados Españoles [June 21st, 2013].

http://www.bolsasymercados.es/aspx/RevOnLine/Documento.aspx?id=4770
http://www.bolsasymercados.es/aspx/RevOnLine/Documento.aspx?id=4769


Performance of Idiosyncratic Volatility Strategies in Commodity Markets: Delusion or Reality?, Investment and Pension Europe, EDHEC-Risk Institute Research Insights, Summer 2014 (with Joelle Miffre and Ana-Maria Fuertes).

Fernandez-Perez, A., Frijns, B., Fuertes A.-M., and Miffre, J. “Skewness strategies in commodity futures markets”. Hedge Fund Review [June, 2015].

Fernandez-Perez, A., Frijns, B., Fuertes A.-M., and Miffre, J. “Skewness: A New Signal for Long-Short Commodity Investing”. Investment and Pensions US, EDHEC-Risk Institute Research Insights [November, 2015].

Fernandez-Perez, A., Fuertes A.-M., and Miffre, J. “Is Idiosyncratic Volatility Priced in Commodity Futures Markets?”. Global Commodities Applied Research Digest, Spring 2017.

Fernandez-Perez, A., Frinjs, B., Fuertes A.-M., and Miffre, J. “The Skewness of Commodity Futures Returns”. Global Commodities Applied Research Digest, Autumn 2017.

Awards:

  • 2015 Emerging Researcher Award (Faculty of Business and Law, AUT)
  • 2015 Finalist of Emerging Researcher, Individual award (AUT University)
  • 2016 Dean’s Premier Publication Award (Faculty of Business and Law, AUT)
  • 2016 Best paper’s award at the Inaugural Alternative Investments Conference: “Time varying price discovery in VIX Exchange Traded Notes: A tale of retail vs. institutional trades”, Griffith University, Gold Coast, Australia.
  • 2016 American Association of Wine Economics’ (AAWE) Award of Merits to present the paper in the Annual AAWE Meetings in Padova (Italy).
  • 2017 British Accounting and Finance Association Prize for the most outstanding paper published in The British Accounting Reviewduring 2016: “Commodity risks and the cross-section of equity returns” (British Accounting and Finance Association).
  • 2017 Commodity and Energy Markets Association Annual Meeting, 2017 award for best paper in the general category, “Harvesting commodity styles: An integrated framework” (with A.-M. Fuertes and J. Miffre).
  • 2018 New Zealand Finance Colloquium, the NZX Best paper award for the paper, “Properties and Predictive power of Implied Volatility in the NZ Dairy Market” (with B. Frijns, I. Gallatullina and A. Tourani-Rad).

Grants

  • Institut Europlace de Finance/Louis Bachelier (France). Programmes de recherche 2017. Hedging Pressure Everywhere? 2018-2019
  • AUT University (New Zealand). Research Project Grant. Hedging Pressure Everywhere? 2018.
  • BA/Leverhulme Small Research Grant application. Harvesting the Benefits of Multiple Commodity Signals (Reference: SG162129) (with Ana-María Fuertes and Joëlle Miffre). 2016-2017
  • AUT University (New Zealand). Research Project Grant. Skewness Strategies in Commodity Futures Markets. 2016.
  • INQUIRE UK (Institute for Quantitative Investment Research). New Portfolio Construction Methods for Commodities: Idiosyncratic Risk-Based Strategies (Inquire Ref: 2010/05) (with Ana-María Fuertes and Joëlle Miffre). 2011-2012.
  • Innova Canarias Grant, La Caja de Canarias (Spanish banking institution).New Forecasting Methods for Financial Time Series Applying Taylor’s Price Trend Model (with Fernando Fernandez-Rodriguez). 2009
  • Innova Canarias Grant, La Caja de Canarias (Spanish banking institution).New Methods to Estimate the Term Structure of Interest Rates (with Fernando Fernandez-Rodriguez). 2008