Credit and liquidity components of corporate CDS spreads

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market conditions. Moreover, in the period prior to the recent “Great Recession” credit risk plays no role in explaining CDS price changes. The dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of default risk dynamics. Our results show how multiple liquidity factors including firm specific and aggregate liquidity proxies as well as an asymmetric information measure are critical determinants of CDS price variations. In particular, the impact of informed traders on the CDS price increases when markets are characterised by higher uncertainty, which supports concerns of insider trading during the crisis.

Hybrid polystyrene based electrospun fibers with spin-crossover properties

We have succeeded in the preparation of electrospun fibers of polystyrene incorporating a metallo-organic polymer of [Fe (II) (4-octadecyl-1,2,4-triazole)3(ClO4)2]n. The obtained fibers have diameters in the range 2–4 µm and show the characteristic spin-crossover transition associated with the metallo-organic polymer. The structure of both, polystyrene and the metallo-organic polymer, in the fibers was also studied.