Unfunded Pension Liabilities and the Corporate CDS Market

This article examines the impact of pension deficits on default risk as measured by the premia on corporate credit default swaps (CDS). We find highly significant evidence that unfunded pension liabilities raise one- and five-year CDS premia. However, this relation is not homogeneous across countries, with the U.S. CDS market leading its European counterparts in the pricing of defined-benefit pension risk.

FACTORS AFFECTING THE KINETICS OF METHYL-ORANGE REDUCTION PHOTOSENSITIZED BY COLLOIDAL CDS

The kinetics of photoreduction of methyl orange by ascorbic acid sensitized by colloidal CdS has been studied. Different experimental factors such a [O2], pH and temperature, as well as the presence of potential competitive species like MV2+ and Cd2+ have been taken as variables in this study. O2 and Cd2+ clearly inhibit the photoreduction but the presence of MV2+ increases the reaction rate. The pH greatly influences the kinetics and temperature (T) has little effect. The results are interpreted using a reaction scheme proposed in earlier papers where dispersions of crystalline CdS were used as the photocatalyst and EDTA as the hole scavenger.

KINETIC-STUDY OF PHOTOINDUCED ELECTRON-TRANSFER REACTIONS SENSITIZED BY COLLOIDAL CDS

The kinetics of the recovery of the photoinduced transient bleaching of colloidal CdS in the presence of different electron acceptors are examined. In the presence of the zwitterionic viologen, N,N'-dipropyl-2,2'-bipyridinium disulphonate, excitation of colloidal CdS at different flash intensities generates a series of decay profiles which are superimposed when normalized. The shape of the decay curves are as predicted by a first-order activation-controlled model for a log-normal distribution of particles sizes. In contrast, the variation in flash intensity in the presence of a second viologen, N,N'-dipropyl-4,4'-bipyridinium sulphonate, generates normalized decay traces which broaden with increasing flash intensity. This behaviour is predicted by a zero-order diffusion-controlled model for a log-normal distribution of particle radii. The photoreduction of a number of other oxidants sensitized by colloidal CdS is examined and the shape of the decay kinetics interpreted via either the first- or zero-order kinetics models. The rate constants and activation energies derived using these models are consistent with the values expected for an activation- or diffusion-controlled reaction.

METHYL-ORANGE AS A PROBE OF PHOTOELECTROCHEMICAL REACTIONS SENSITIZED BY COLLOIDAL CDS

The kinetics of photoreduction of methyl orange by ethylenediaminetetraacetic acid (EDTA) sensitized by colloidal CdS are reported as a function of [methyl orange], [O2] and [EDTA]. The results are interpreted using a reaction scheme which was proposed in an earlier paper for the same reaction sensitized by a powdered dispersion of highly crystalline CdS. An analysis of the results for the CdS colloid based on this reaction scheme shows that the rate of dye reduction by photogenerated electrons is approximately 50 times greater than the rate of oxygen reduction and the rate of scavenging of the photogenerated holes is approximately 7000 times greater than the rate of recombination. These findings are discussed in the light of similar observations reported for powdered CdS.

The cross-section of stock returns in an early stock market

Using a new dataset which contains monthly data on 1015 stocks traded on the London Stock Exchange between 1825 and 1870, we investigate the cross section of stock returns in this early capital market. Unique features of this market allow us to evaluate the veracity of several popular explanations of asset pricing behavior. Using portfolio analysis and Fama–MacBeth regressions, we find that stock characteristics such as beta, illiquidity, dividend yield, and past-year return performance are all positively correlated with stock returns. However, market capitalization and past-three-year return performance have no significant correlation with stock returns.

Short-Term Reversals: The Effects of Past Returns and Institutional Exits

Price declines over the previous quarter lead to stronger reversals across the subsequent two months. We explain this finding based on the dual notions that liquidity provision can influence reversals, and agents that act as de facto liquidity providers may be less active in past losers. Supporting these observations, we find that active institutions participate less in losing stocks, and that the magnitude of monthly return reversals fluctuates with changes in the number of active institutional investors. Thus, we argue that fluctuations in liquidity provision with past return performance accounts for the link between return reversals and past returns.