This paper shows that changes in the tone of central bank communication have a significant effect on asset prices. Tone captures how the central bank frames economic fundamentals and its monetary policy. When tone becomes more positive, stock prices increase, whereas credit spreads and...

In equity option markets, traders face margin requirements both for the options themselves and for hedging-related positions in the underlying stock market. We show that these requirements carry a significant margin premium in the cross-section of equity option returns. The sign of the margin...

We derive a formula for the expected return on a stock in terms of the risk-neutral variance of the market and the stock's excess risk-neutral variance relative to the average stock. These quantities can be computed from index and stock option prices; the formula has no free parameters. The...

We show that the mixed evidence on how financial leverage affects stock returns can be reconciled by accounting for firms' debt maturity structures. In our model, firms jointly optimize leverage and debt maturity by balancing benefits and rollover risk of short-term relative to long-term debt....

An increase in a country's sovereign risk, as measured by credit default swap spreads, is accompanied by a contemporaneous depreciation of its currency and an increase of its volatility and crash risk. The relation between currency excess returns and sovereign risk is mainly driven by default...

This paper studies whether the evident statistical predictability of bond risk premia translates into economic gains for investors. We propose a novel estimation strategy for a ne term structure models that jointly fits yields and bond excess returns, thereby capturing predictive information...

We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure of...

Changes in the UK electricity market mean that domestic users will be required to modify their usage behaviour in accordance with energy efficiency targets. Clustering allows usage data, collected at the household level, to be clustered into groups and assigned a stereotypical profile which may...

The measure of distance between two fuzzy sets is a fundamental tool within fuzzy set theory. However, current distance measures within the literature do not account for the direction of change between fuzzy sets; a useful concept in a variety of applications, such as Computing With Words. In...

In this position paper, we present ideas about creating a next generation framework towards an adaptive interface for data communication and visualisation systems. Our objective is to develop a system that accepts large data sets as inputs and provides user-centric, meaningful visual information...