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.

Influence of different solvents on the structural, optical and morphological properties of CdS nanoparticles

CdS is one of the most important II-VI semiconductors, with applications in solar cells, optoelectronics and electronic devices. CdS nanoparticles were synthesized via microwave-assisted solvothermal technique. Structural and morphological characterization revealed the presence of crystalline structures presenting single phase with different morphologies such as ""nanoflowers"" and nanoplates depending on the solvent used. Optical characterization was made by diffuse reflectance and photoluminescence spectroscopy, revealing the influence of the different solvents on the optical properties due to structural defects generated during synthesis. It is proposed that these defects are related to sulfur vacancies, with higher concentration of defects for the sample synthesized in ethylene glycol in comparison with the one synthesized in ethylene diamine. (C) 2011 Elsevier B.V. All rights reserved.

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.

Strutural and optical approach of CdS@ZnS core-shell system

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Determination of the photoinduced birefringence and of the refractive index by Brewster method of epoxy resin doped with CdS

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Gold electrodes from recordable CDs

Gold electrodes are widely used in electrochemistry and electroanalytical chemistry. The notable performance when used in stripping analysis of many ionic species and the extraordinary affinity of thio compounds for its surface make these electrodes very suitable for many applications. This paper reports a simple and novel way to construct gold electrodes (CDtrodes) using recordable CDs as the gold source. The nanometer thickness of the gold layer of recordable disks (50-100 mm) favors the construction of band nanoelectrodes with areas as small as 10(-6) cm(2). The plane surface can be easily used for the construction of conventional-sized gold electrodes for batch or now injection analysis or even to obtain electrodes as large as 100 cm(2). The low price of commercial recordable CDs allows a one way use. The evaluation and applicability of these electrodes in the form of nanoelectrodes, in batch and associated with flow cells, are illustrated in this paper.

Influence of different solvents on the structural, optical and morphological properties of CdS nanoparticles

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Sistema de Información Bibliográfica: manual para uso de Micro CDS

Proporciona las instrucciones necesarias para utilizar el Sistema de Información Bibliográfica de CEPAL en una computadora personal IBM o similar, dotada del sistema operativo PC-DOS o MS-DOS y del sistema Micro CDS/ISIS. Comprende 1) la instalación del sistema en la computadora, 2) demostración de sus capacidades, 3) descripción de los diferentes elementos que lo componen, 4) instrucciones para llevar a cabo las diferentes tareas bibliográficas, 5) instrucciones para la creación de una base de datos.

El lenguaje de búsqueda del mini-micro CDS

Incluye Bibliografía

Ayuda memoria (5): sintaxis de las expresiones de búsqueda (orden en que el mini-micro CDS

Presenta la coordinación o unión de las expresiones de búsqueda.