Rating downgrade and the price impact of CDS spread on stock return

We investigate the time-varying informativeness of credit default swap (CDS) trading on stock returns for 302 US firms from July 2004 to August 2010. Using the Acharya and Johnson (2007) measure, we find that CDS trading becomes informative for an increasing number of firms as we approach the global financial crisis (GFC). Firm numbers gradually decline post-GFC, but remain high compared to the pre-GFC period. furthermore, CDS trading imposes the largest conditional price impact on firms that are recently downgraded, regardless of rating levels. Interestingly, this holds during and after the GFC, but not before. We offer two implications. First, despite post-GFC outcry against the CDS market, our results suggest it exhibits enhanced price discovery during the GFC. Second, our findings support criticism that, in the lead-up to the GFC, rating agencies are slow in downgrading firms. However, if downgrade decisions made during and after the GFC induce informed trading in the CDS market, this necessarily implies that during the midst of the GFC, rating agencies have got their act together.

An analysis of sectoral equity and CDS spreads

In this paper, we find that CDS return shocks are important in explaining the forecast error variance of sectoral equity returns for the USA. The CDS return shocks have different effects on equity returns and return volatility in the pre-crisis and crisis periods. It is the post-Lehman crisis period in which the effects of CDS return shocks are the most dominant. Finally, we construct a spillover index and find that it is time-varying and explains a larger share of total forecast error variance of sectoral equity and CDS returns for some sectors than for others.

The economic significance of CDS price discovery

© 2015 Springer Science+Business Media New York Between 2005 and 2009, we document evident time-varying credit risk price discovery between the equity and credit default swap (CDS) markets for 174 US non-financial investment-grade firms. We test the economic significance of a simple portfolio strategy that utilizes fluctuation in CDS spreads as a trading signal to set stock positions, conditional on the CDS price discovery status of the reference entities. We show that a conditional portfolio strategy which updates the list of CDS-influenced firms over time, yields a substantively larger realized return net of transaction cost over the unconditional strategy. Furthermore, the conditional strategy’s Sharpe ratio outperforms a series of benchmark portfolios over the same trading period, including buy-and-hold, momentum and dividend yield strategies.

Evaluation of the implementation of a state government community design policy aimed at increasing local walking : design issues and baseline results from RESIDE, Perth Western Australia

Objectives.
To describe the design and baseline results of an evaluation of the Western Australian government's pedestrian-friendly subdivision design code (Liveable Neighborhood (LN) Guidelines).
Methods.

Baseline results (2003–2005) from a longitudinal study of people (n = 1813) moving into new housing developments: 18 Liveable, 11 Hybrid and 45 Conventional (i.e., LDs, HDs and CDs respectively) are presented including usual recreational and transport-related walking undertaken within and outside the neighborhood, and 7-day pedometer steps.
Results.

At baseline, more participants walked for recreation and transport within the neighborhood (52.6%; 36.1% respectively), than outside the neighborhood (17.7%; 13.2% respectively). Notably, only 20% of average total duration of walking (128.4 min/week (SD159.8)) was transport related and within the neighborhood. There were few differences between the groups' demographic, psychosocial and perceived neighborhood environmental characteristics, pedometer steps, or the type, amount and location of self-reported walking (p > 0.05). However, asked what factors influenced their choice of housing development, more participants moving into LDs reported aspects of their new neighborhood's walkability as important (p < 0.05).
Conclusions.

The baseline results underscore the desirability of incorporating behavior and context-specific measures and value of longitudinal designs to enable changes in behavior, attitudes, and urban form to be monitored, while adjusting for baseline residential location preferences.

Is jump risk in iTraxx Sector Indices diversifiable?

The article presents an analysis of jump risks in iTraxx Europe index in a multivariate structural time-series setting for the stochastic process, as well as in the credit default swap (CDS) market. It also examines the rapid development of the credit derivatives market, particularly the CDS market. This analysis found a significant Poisson-distributed jumps in the iTraxx Non-Financials index and its subindices. Based on a statistical analysis, nondiversifiable jump risk strongly exists in the CDS market.

Recovering from an acute cardiac event – the relationship between depression and life satisfaction

Aims. This study sought to measure the rates and trajectory of depression over six months following admission for an acute cardiac event and describe the relationship between depression and life satisfaction.
Background. Co-morbid depression has an impact on cardiac mortality and is associated with the significant impairment of quality of life and well-being, impairments in psychosocial function, decreased medication adherence and increased morbidity.
Design. This was a descriptive, correlational study.
Method. The study was undertaken at a large public hospital in Melbourne. Participants were asked to complete a survey containing the cardiac depression scale (CDS) and the Personal Well-being Index.
Results. This study mapped the course of depression over six months of a cohort of patients admitted for an acute cardiac event. Significant levels of depressive symptoms were found, at a level consistent with the literature. A significant correlation between depressive symptoms as measured by the CDS and the Personal Well-being Index was found.
Conclusions. Depression remains a significant problem following admission for an acute coronary event. The Personal Wellbeing Index may be a simple, effective and non-confrontational initial screening tool for those at risk of depressive symptoms in this population. Relevance to clinical practice. Despite the known impact of depression on coronary heart disease (CHD), there is limited research describing its trajectory. This study makes a compelling case for the systematic screening for depression in patients with CHD and the importance of the nursing role in identifying at risk individuals.

A randomised, feasibility trial of a tele-health intervention for acute coronary syndrome patients with depression (‘MoodCare’): study protocol

Background Coronary heart disease (CHD) and depression are leading causes of disease burden globally and the two often co-exist. Depression is common after Myocardial Infarction (MI) and it has been estimated that 15-35% of patients experience depressive symptoms. Co-morbid depression can impair health related quality of life (HRQOL), decrease medication adherence and appropriate utilisation of health services, lead to increased morbidity and suicide risk, and is associated with poorer CHD risk factor profiles and reduced survival. We aim to determine the feasibility of conducting a randomised, multi-centre trial designed to compare a tele-health program (MoodCare) for depression and CHD secondary prevention, with Usual Care (UC).

Methods Over 1600 patients admitted after index admission for Acute Coronary Syndrome (ACS) are being screened for depression at six metropolitan hospitals in the Australian states of Victoria and Queensland. Consenting participants are then contacted at two weeks post-discharge for baseline assessment. One hundred eligible participants are to be randomised to an intervention or a usual medical care control group (50 per group). The intervention consists of up to 10 × 30-40 minute structured telephone sessions, delivered by registered psychologists, commencing within two weeks of baseline screening. The intervention focuses on depression management, lifestyle factors (physical activity, healthy eating, smoking cessation, alcohol intake), medication adherence and managing co-morbidities. Data collection occurs at baseline (Time 1), 6 months (post-intervention) (Time 2), 12 months (Time 3) and 24 months follow-up for longer term effects (Time 4). We are comparing depression (Cardiac Depression Scale [CDS]) and HRQOL (Short Form-12 [SF-12]) scores between treatment and UC groups, assessing the feasibility of the program through patient acceptability and exploring long term maintenance effects. A cost-effectiveness analysis of the costs and outcomes for patients in the intervention and control groups is being conducted from the perspective of health care costs to the government.

Discussion This manuscript presents the protocol for a randomised, multi-centre trial to evaluate the feasibility of a tele-based depression management and CHD secondary prevention program for ACS patients. The results of this trial will provide valuable new information about potential psychological and wellbeing benefits, cost-effectiveness and acceptability of an innovative tele-based depression management and secondary prevention program for CHD patients experiencing depression.

Regime dependent causality : equity and credit markets

We apply a Markov switching model to investigate the possibility of an asymmetric causal relationship between the volatility process inferred from the iTraxx CDS options market and the implied volatility from the stock index options market. We find strong evidence that the stock market leads the CDS market and the effect of the implied stock market volatility is more significant during the volatile regime. We also find that a large jump in the stock return, up or down, may indeed be followed by a regime shift.

Screening, referral and treatment for depression in patients with coronary heart disease: a consensus statement from the National Heart Foundation of Australia

In 2003, the National Heart Foundation of Australia position statement on “stress” and heart disease found that depression was an important risk factor for coronary heart disease (CHD). This 2013 statement updates the evidence on depression (mild, moderate and severe) in patients with CHD, and provides guidance for health professionals on screening and treatment for depression in patients with CHD.

The prevalence of depression is high in patients with CHD and it has a significant impact on the patient’s quality of life and adherence to therapy, and an independent effect on prognosis. Rates of major depressive disorder of around 15% have been reported in patients after myocardial infarction or coronary artery bypass grafting.

To provide the best possible care, it is important to recognise depression in patients with CHD. Routine screening for depression in all patients with CHD is indicated at first presentation, and again at the next follow-up appointment. A follow-up screen should occur 2–3 months after a CHD event. Screening should then be considered on a yearly basis, as for any other major risk factor for CHD.

A simple tool for initial screening, such as the Patient Health Questionnaire-2 (PHQ-2) or the short-form Cardiac Depression Scale (CDS), can be incorporated into usual clinical practice with minimum interference, and may increase uptake of screening.

Patients with positive screening results may need further evaluation. Appropriate treatment should be commenced, and the patient monitored. If screening is followed by comprehensive care, depression outcomes are likely to be improved.

Patients with CHD and depression respond to cognitive behaviour therapy, collaborative care, exercise and some drug therapies in a similar way to the general population. However, tricyclic antidepressant drugs may worsen CHD outcomes and should be avoided.

Coordination of care between health care providers is essential for optimal outcomes for patients. The benefits of treating depression include improved quality of life, improved adherence to other therapies and, potentially, improved CHD outcomes.

Oil price uncertainty and sovereign risk: evidence from Asian economies

In this paper, we test whether oil price uncertainty predicts credit default swap (CDS) returns for eight Asian countries. We use the Westerlund and Narayan, 2011 and Westerlund and Narayan, 2012 predictability test that accounts for any persistence in and endogeneity of the predictor variable. The estimator also accounts for any heteroskedasticity in the regression model. In-sample evidence reveals that oil price uncertainty predicts CDS returns for three Asian countries, whereas out-of-sample evidence suggests that oil price uncertainty predicts CDS returns for six countries.

Antimanic-like activity of candesartan in mice: possible involvement of antioxidant, anti-inflammatory and neurotrophic mechanisms

Activation of the brain angiotensin II type 1 receptor (AT1R) triggers pro-oxidant and pro-inflammatory mechanisms which are involved in the neurobiology of bipolar disorder (BD). Candesartan (CDS) is an AT1 receptor antagonist with potential neuroprotective properties. Herein we investigated CDS effects against oxidative, neurotrophic inflammatory and cognitive effects of amphetamine (AMPH)-induced mania. In the reversal protocol adult mice were given AMPH 2mg/kg i.p. or saline and between days 8 and 14 received CDS 0.1, 0.3 or 1mg/kg orally, lithium (Li) 47.5mg/kg i.p., or saline. In the prevention treatment, mice were pretreated with CDS, Li or saline prior to AMPH. Locomotor activity and working memory performance were assessed. Glutathione (GSH), thiobarbituric acid-reactive substance (TBARS) and TNF-α levels were evaluated in the hippocampus (HC) and cerebellar vermis (CV). Brain-derived neurotrophic factor (BDNF) and glycogen synthase kinase 3-beta (GSK-3beta) levels were measured in the HC. CDS and Li prevented and reversed the AMPH-induced increases in locomotor activity. Only CDS prevented and reversed AMPH-induced working memory deficits. CDS prevented AMPH-induced alterations in GSH (HC and CV), TBARS (HC and CV), TNF-α (HC and CV) and BDNF (HC) levels. Li prevented alterations in BDNF and phospho-Ser9-GSK3beta. CDS reversed AMPH-induced alterations in GSH (HC and CV), TBARS (HC), TNF-α (CV) and BDNF levels. Li reversed AMPH-induced alterations in TNF-α (HC and CV) and BDNF (HC) levels. CDS is effective in reversing and preventing AMPH-induced behavioral and biochemical alterations, providing a rationale for the design of clinical trials investigating CDS׳s possible therapeutic effects.

Dominating set and network coding-based routing in wireless mesh networks

Wireless mesh networks are widely applied in many fields such as industrial controlling, environmental monitoring, and military operations. Network coding is promising technology that can improve the performance of wireless mesh networks. In particular, network coding is suitable for wireless mesh networks as the fixed backbone of wireless mesh is usually unlimited energy. However, coding collision is a severe problem affecting network performance. To avoid this, routing should be effectively designed with an optimum combination of coding opportunity and coding validity. In this paper, we propose a Connected Dominating Set (CDS)-based and Flow-oriented Coding-aware Routing (CFCR) mechanism to actively increase potential coding opportunities. Our work provides two major contributions. First, it effectively deals with the coding collision problem of flows by introducing the information conformation process, which effectively decreases the failure rate of decoding. Secondly, our routing process considers the benefit of CDS and flow coding simultaneously. Through formalized analysis of the routing parameters, CFCR can choose optimized routing with reliable transmission and small cost. Our evaluation shows CFCR has a lower packet loss ratio and higher throughput than existing methods, such as Adaptive Control of Packet Overhead in XOR Network Coding (ACPO), or Distributed Coding-Aware Routing (DCAR).