Spread Changes Research Articles

Molecular-level analysis of alkyl chain dependent voltage-induced microfluidic alcohol droplet actuation on Teflon/Pt/glass substrate: Revealing the unconventional directional movement

Current study investigates the voltage-induced actuation of alcohol droplets on a Teflon/Pt/Glass substrate, emphasizing the influence of alkyl chain length on microfluidic droplet behavior. The wetting and electrowetting properties of different alcohols with increasing carbon chain length, namely, methanol, ethanol, 1-propanol, and 1-butanol, are examined by using both experimental techniques and the simulations of classical molecular dynamics (MD). An increase in the wetting nature of these alcohol droplets is observed with the increase in carbon chain length. A greater penetration into the Teflon surface is observed for alcohols with longer alkyl chain lengths from MD simulations. The evaporative nature of alcohol droplets and the consequent effect of evaporation on wetting are also examined. Voltage-modified change in contact angle, droplet displacement or spreading, and voltage-induced work of spreading, are investigated to study the actuation of such alcohol droplets. A unique, voltage-triggered directional displacement/spreading of the droplets towards ground electrode is observed, in contrast to the conventional electrowetting behavior. These insights underscore the influence of molecular interactions in voltage-actuated droplet dynamics, having significant implications as a design parameter in the development of digital microfluidics-based lab-on-a-chip devices.

Price spread prediction in high-frequency pairs trading using deep learning architectures

High-Frequency Trading (HFT) leverages advanced algorithms and high-speed data transmission to execute a large volume of trades within extremely short timeframes and generate profit. However, predicting stock prices in this context is challenging due to the frequent fluctuations in bid and ask conditions within financial markets. Institutional investors often employ pairs trading strategies to mitigate the systemic risk associated with single products, simultaneously buying and selling highly correlated financial instruments to profit from fluctuations in abnormal price spreads. In this study, we utilized intraday continuous trading data from the Taiwan Stock Exchange, integrating commonly used stock market features relevant to HFT. By employing XGBoost for feature selection and combining it with deep learning models, we aimed to predict the relationship between price spreads and boundaries in pairs trading, thereby generating entry and exit signals. Although accurately predicting the relationship between price spreads and boundaries presents significant challenges, the model effectively learned the pattern of price spread changes. Applying the model's entry and exit signals in pairs trading demonstrated that this strategy can enhance win rates and achieve stable profits in the volatile intraday market environment. This research provides practical implications for those interested in high-frequency trading and deep learning models in the financial market, equipping them with valuable knowledge and insights.

Term spread spillovers to Latin America and emergence of the ‘Twin Ds’

This paper investigates the relationship between depreciation and default risks in five key Latin American markets—Brazil, Chile, Colombia, Peru, and Mexico—in response to shifts in the US yield curve slope. Excluding serial defaulters like Argentina, our focus lies on countries still susceptible to the Twin Ds phenomenon amidst high debt levels. We find that global economic spillovers significantly influence the Twin Ds in these markets; with fluctuations in the US term spread serving as an indicator of broader shifts in global economic conditions. Our analysis reveals asymmetric spillover effects, particularly during periods of positive and increasing spreads such as the Global Financial Crisis, where changes in the term spread disproportionately impact the depreciation tail in currency markets and the high-risk tail in sovereign CDS markets. Notably, such effects are absent in stock markets, which accentuate the particular dynamics of currency and sovereign debt markets. The asymmetry of spillover effects although still present during the most recent Covid-19 crisis, was less pronounced, which may be linked to the accumulation of international FX reserves in the region during the last decades. Our findings emphasize the necessity of incorporating risk spillovers into policy frameworks, highlighting the dominance of risk spillovers over price spillovers and the obscured nature of shocks at the center of the variables’ distribution.

Investigating Longitudinal Trajectories of COVID-19 Disruption: Methodological Challenges and Recommendations.

Relatively few studies have longitudinally investigated how COVID-19 has disrupted the lives and health of youth beyond the first year of the pandemic. This may be because longitudinal researchers face complex challenges in figuring out how to code time, account for changes in COVID-19 spread, and model longitudinal COVID-19-related trajectories across environmental contexts. This manuscript considers each of these three methodological issues by modeling trajectories of COVID-19 disruption in 1080 youth from 12 cultural groups in nine nations between March 2020-July 2022 using multilevel modeling. Our findings suggest that for studies that attempt to examine cross-cultural longitudinal trajectories during COVID-19, starting such trajectories on March 11, 2020, measuring disruption along 6-month time intervals, capturing COVID-19 spread using death rates and the COVID-19 Health and Containment Index scores, and using modeling methods that combine etic and emic approaches are each especially useful. In offering these suggestions, we hope to start methodological dialogues among longitudinal researchers that ultimately result in the proliferation of research on the longitudinal impacts of COVID-19 that the world so badly needs.

Barriers and facilitators to the uptake of electronic collection and use of patient-reported measures in routine care of older adults: a systematic review with qualitative evidence synthesis.

The aims of this systematic review were to (1) synthesize the available qualitative evidence on the barriers and facilitators influencing implementation of the electronic collection and use of patient-reported measures (PRMs) in older adults' care from various stakeholder perspectives and (2) map these factors to the digital technology implementation framework Non-adoption, Abandonment, challenges to the Scale-up, Spread, Sustainability (NASSS) and behavior change framework Capability, Opportunity, Motivation, Behaviour (COM-B). A search of MEDLINE, CINAHL Plus, and Web of Science databases from 1 January 2001 to 27 October 2021 was conducted and included English language qualitative studies exploring stakeholder perspectives on the electronic collection and use of PRMs in older adults' care. Two authors independently screened studies, conducted data extraction, quality appraisal using the Critical Appraisal Skills Programme (CASP), data coding, assessed confidence in review findings using Grading of Recommendations Assessment, Development, and Evaluation Confidence in the Evidence from Reviews of Qualitative Research (GRADE CERQual), and mapped the findings to NASSS and COM-B. An inductive approach was used to synthesize findings describing the stakeholder perspectives of barriers and facilitators. Twenty-two studies were included from the 3368 records identified. Studies explored older adult, caregiver, healthcare professional, and administrative staff perspectives. Twenty nine of 34 review findings (85%) were graded as having high or moderate confidence. Key factors salient to older adults related to clinical conditions and socio-cultural factors, digital literacy, access to digital technology, and user interface. Factors salient to healthcare professionals related to resource availability to collect and use PRMs, and value of PRMs collection and use. Future efforts to implement electronic collection and use of PRMs in older adults' care should consider addressing the barriers, facilitators, and key theoretical domains identified in this review. Older adults are more likely to adopt electronic completion of PRMs when barriers associated with digital technology access, digital literacy, and user interface are addressed. Future research should explore the perspectives of other stakeholders, including those of organizational leaders, digital technology developers and implementation specialists, in various healthcare settings and explore factors influencing implementation of PREMs. CRD42022295894.

Impacts of climate change on water-related mosquito-borne diseases in temperate regions: A systematic review of literature and meta-analysis

Mosquito-borne diseases are a known tropical phenomenon. This review was conducted to assesses the mechanisms through which climate change impacts mosquito-borne diseases in temperate regions. Articles were searched from PubMed, Scopus, Web of Science, and Embase databases. Identification criteria were scope (climate change and mosquito-borne diseases), region (temperate), article type (peer-reviewed), publication language (English), and publication years (since 2015). The WWH (who, what, how) framework was applied to develop the research question and thematic analyses identified the mechanisms through which climate change affects mosquito-borne diseases. While temperature ranges for disease transmission vary per mosquito species, all are viable for temperate regions, particularly given projected temperature increases. Zika, chikungunya, and dengue transmission occurs between 18 and 34°C (peak at 26–29°C). West Nile virus establishment occurs at monthly average temperatures between 14 and 34.3°C (peak at 23.7–25°C). Malaria establishment occurs when the consecutive average daily temperatures are above 16°C until the sum is above 210°C. The identified mechanisms through which climate change affects the transmission of mosquito-borne diseases in temperate regions include: changes in the development of vectors and pathogens; changes in mosquito habitats; extended transmission seasons; changes in geographic spread; changes in abundance and behaviors of hosts; reduced abundance of mosquito predators; interruptions to control operations; and influence on other non-climate factors. Process and stochastic approaches as well as dynamic and spatial models exist to predict mosquito population dynamics, disease transmission, and climate favorability. Future projections based on the observed relations between climate factors and mosquito-borne diseases suggest that mosquito-borne disease expansion is likely to occur in temperate regions due to climate change. While West Nile virus is already established in some temperate regions, Zika, dengue, chikungunya, and malaria are also likely to become established over time. Moving forward, more research is required to model future risks by incorporating climate, environmental, sociodemographic, and mosquito-related factors under changing climates.

Plasticity variable collagen-PEG interpenetrating networks modulate cell spreading

The extracellular matrix protein collagen I has been used extensively in the field of biomaterials due to its inherent biocompatibility and unique viscoelastic and mechanical properties. Collagen I self-assembly into fibers and networks is environmentally sensitive to gelation conditions such as temperature, resulting in gels with distinct network architectures and mechanical properties. Despite this, collagen gels are not suitable for many applications given their relatively low storage modulus. We have prepared collagen-poly(ethylene glycol) [PEG] interpenetrating network (IPN) hydrogels to reinforce the collagen network, which also induces changes to network plasticity, a recent focus of study in cell-matrix interactions. Here, we prepare collagen/PEG IPNs, varying collagen concentration and collagen gelation temperature to assess changes in microarchitecture and mechanical properties of these networks. By tuning these parameters, IPNs with a range of stiffness, plasticity and pore size are obtained. Cell studies suggest that matrix plasticity is a key determinant of cell behavior, including cell elongation, on these gels. This work presents a natural/synthetic biocompatible matrix that retains the unique structural properties of collagen networks with increased storage modulus and tunable plasticity. The described IPN materials will be of use for applications in which control of cell spreading is desirable, as only minimal changes in sample preparation lead to changes in cell spreading and circularity. Additionally, this study contributes to our understanding of the connection between collagen self-assembly conditions and matrix structural and mechanical properties and presents them as useful tools for the design of other collagen based biomaterials. Statement of significanceWe developed a collagen-poly(ethylene glycol) interpenetrating network (IPN) platform that retains native collagen architecture and biocompatibility but provides higher stiffness and tunable plasticity. With minor changes in collagen gelation temperature or concentration, IPN gels with a range of plasticity, storage modulus, and pore size can be obtained. The tunable plasticity of the gels is shown to modulate cell spreading, with a greater proportion of elongated cells on the most plastic of IPNs, supporting the assertion that matrix plasticity is a key determinant of cell spreading. The material can be of use for situations where control of cell spreading is desired with minimal intervention, and the findings herein may be used to develop similar collagen based IPN platforms.

Subcutaneous immunotherapy for bee venom allergy induces epitope spreading and immunophenotypic changes in allergen-specific memory B cells

Allergen immunotherapy (AIT) is the only disease-modifying treatment for allergic disorders. We have recently discovered that allergen-specific memory B cells (Bmem) are phenotypically altered after 4 months of sublingual AIT for ryegrass pollen allergy. Whether these effects are shared with subcutaneous allergen immunotherapy (SCIT) and affect the epitope specificity of Bmem remain unknown. The study aimed to evaluate the phenotype and antigen receptor sequences of Bmem specific to the major bee venom (BV) allergen Api m 1 before and after ultra-rush SCIT for BV allergy. Recombinant Api m 1 protein tetramers were generated to evaluate basophil activation in a cohort of individuals with BV allergy before and after BV SCIT. Comprehensive flow cytometry was performed to evaluate and purify Api m 1-specific Bmem. Immunoglobulin genes from single Api m 1-specific Bmem were sequenced and structurally modeled onto Api m 1. SCIT promoted class switching of Api m 1-specific Bmem to IgG2 and IgG4 with increased expression of CD23 and CD29. Furthermore, modeling of Api m 1-specific immunoglobulin from Bmem identified a suite of possible new and diverse allergen epitopes on Api m 1 and highlighted epitopes that may preferentially be bound by immunoglobulin after SCIT. AIT induces shifting of epitope specificity and phenotypic changes in allergen-specific Bmem.

Magnetically Integrated Tumor-Vascular Interface System to Mimic Pro-angiogenic Endothelial Dysregulations for On-Chip Drug Testing.

The tumor-vascular interface is a critical component of the tumor microenvironment that regulates all of the dynamic interactions between a growing tumor and the endothelial lining of the surrounding vasculature. In this paper, we report the design and development of a custom-engineered tumor-vascular interface system for investigating the early stage tumor-mediated pro-angiogenic dysfunctional behavior of the endothelium. Using representative endothelial cells and triple negative breast cancer cell lines, we established a biomimetic interface between a three-dimensional tumor tissue across a mature, functional endothelial barrier using a magnetically hybrid-integrated tumor-vascular interface system, wherein vasculature-like features containing a monolayer of endothelial cell culture on porous microfluidic channel surfaces were magnetically attached to tumor spheroids generated on a composite polymer-hydrogel microwell plate and embedded in a collagen matrix. Tumor-mediated endothelial microdynamics were characterized by their hallmark behavior such as loss of endothelial adherens junctions, increased cell density, proliferation, and changes in cell spreading and corroborated with endothelial YAP/TAZ nuclear translocation. We further confirm the feasibility of drug-mediated reversal of this pro-angiogenic endothelial organization through two different signaling mechanisms, namely, inhibition of the vascular endothelial growth factor pathway and the Notch signaling pathway, thereby demonstrating the utility of the tumor-vascular interface platform for rapid, early stage prediction of antiangiogenic drug efficacy. Overall, our work emphasizes the importance of our strategic engineering approach for identifying some unique, physiologically relevant aspects of the tumor-vascular interface, which are otherwise difficult to implement using standard in vitro approaches.

Update on Effects of the Prophylactic HPV Vaccines on HPV Type Prevalence and Cervical Pathology.

Most national prophylactic HPV vaccination programs started in approximately 2008, with either the bivalent Cervarix HPV16/18 or quadrivalent Gardasil (HPV6/11/16/18) vaccines, which were then followed by introduction of the nonavalent Gardasil 9 (HPV6/11/16/18/ 31/33/45/52/58) vaccine from 2015. Since that time, these products have demonstrated their ability to prevent infection with vaccine-covered HPV types and subsequent development of HPV-related cervical and genital pathologies. The data indicate that vaccination of young girls prior to sexual debut is more effective than vaccination of older HPV+ve women. Although some studies have shown a decline in the prevalence of vaccine-covered HPV types, there are national and regional differences in overall vaccine efficacy. Furthermore, several recently published studies show an increase in the prevalence of non-vaccine-covered HPV types in vaccinated populations, which is indicative of HPV type-replacement. It is also notable that vaccine-related changes in HPV type prevalence spread between vaccinated and unvaccinated women at the same geographical location-presumably via sexual transmission. In conclusion, it is not yet clear what effect dissemination of vaccine-associated changes in HPV type prevalence will have on vaccine efficacy and cervical pathology, particularly in mixed populations of vaccinated and unvaccinated women. However, it is very clear these observations do underscore the need for long-term continuation of cervical screening combined with regular reassessment of testing practices.

Satellite monitoring of a pine forest affected by mountain pine beetle

The spread of bark beetles poses a significant threat to forest ecosystems, causing substantial damage to coniferous forests. The mountain pine beetle (Dendroctonus spp.) is considered to be one of the most harmful bark beetles, infesting pine trees and leading to severe consequences for forest ecosystems. This article aims to detect and analyze the dynamics of mountain pine beetle infestation in a pine forest stand, determine its affected area, and evaluate the effectiveness of sanitary and restoration measures. The study utilized satellite data from the Sentinel-2 mission and employed the Normalized Difference Vegetation Index (NDVI) and Normalized Difference Moisture Index (NDMI) to monitor the spread of mountain pine beetle infestation. The analysis was conducted for a pine forest stand in the Ostriv Forestry of the Vyshchedubechanske Forestry Enterprise in Kyiv Oblast, Ukraine. The results demonstrated the effectiveness of using satellite data and vegetation indices for monitoring mountain pine beetle infestation. The combined application of NDVI and NDMI enabled the detection of infested areas in the early stages by capturing changes in the spectral characteristics of tree crowns and vegetation moisture content. The satellite data analysis confirmed the complete infestation of a 0.01 km2 pine forest stand by the mountain pine beetle in 2017. A link between the activation of beetle spread and climate changes, particularly rising temperatures and decreasing precipitation, was observed, leading to the weakening of pine stands. The study revealed that in 2018, sanitary felling of the infested pine stand was carried out, as evidenced by the decrease in NDVI values. In 2019, a project to restore the forest ecosystem through the establishment of a new pine plantation was initiated. Satellite observations in April 2024 demonstrated successful growth of the young pine forest, with NDVI values indicating an increase from 0.25 in April 2020 to 0.45 in April 2024, reflecting active vegetation growth and successful ecosystem restoration. The obtained results highlight the importance of using satellite data for timely detection of pest outbreaks in forest ecosystems, determining the extent of infestation, monitoring the effectiveness of sanitary measures, and assessing the recovery of forest stands after restoration efforts. The study underscores the potential of satellite remote sensing techniques in forest ecosystem monitoring and supports decision-making processes for sustainable forest management.

A chemometric approach to assess the oil composition and content of microwave-treated mustard (Brassica juncea) seeds using Vis–NIR–SWIR hyperspectral imaging

The wide gap between the demand and supply of edible mustard oil can be overcome to a certain extent by enhancing the oil-recovery during mechanical oil expression. It has been reported that microwave (MW) pre-treatment of mustard seeds can have a positive effect on the availability of mechanically expressible oil. Hyperspectral imaging (HSI) was used to understand the change in spatial spread of oil in the microwave (MW) treated seeds with bed thickness and time of exposure as variables, using visible near-infrared (Vis–NIR, 400–1000 nm) and short-wave infrared (SWIR, 1000–1700 nm) systems. The spectral data was analysed using chemometric techniques such as partial least square discriminant analysis (PLS-DA) and regression (PLSR) to develop prediction models. The PLS-DA model demonstrated a strong capability to classify the mustard seeds subjected to different MW pre-treatments from control samples with a high accuracy level of 96.6 and 99.5% for Vis–NIR and SWIR-HSI, respectively. PLSR model developed with SWIR-HSI spectral data predicted (R2 > 0.90) the oil content and fatty acid components such as oleic acid, erucic acid, saturated fatty acids, and PUFAs closest to the results obtained by analytical techniques. However, these predictions (R2 > 0.70) were less accurate while using the Vis–NIR spectral data.

Geographical migration and fitness dynamics of Streptococcus pneumoniae

Streptococcus pneumoniae is a leading cause of pneumonia and meningitis worldwide. Many different serotypes co-circulate endemically in any one location1,2. The extent and mechanisms of spread and vaccine-driven changes in fitness and antimicrobial resistance remain largely unquantified. Here using geolocated genome sequences from South Africa (n = 6,910, collected from 2000 to 2014), we developed models to reconstruct spread, pairing detailed human mobility data and genomic data. Separately, we estimated the population-level changes in fitness of strains that are included (vaccine type (VT)) and not included (non-vaccine type (NVT)) in pneumococcal conjugate vaccines, first implemented in South Africa in 2009. Differences in strain fitness between those that are and are not resistant to penicillin were also evaluated. We found that pneumococci only become homogenously mixed across South Africa after 50 years of transmission, with the slow spread driven by the focal nature of human mobility. Furthermore, in the years following vaccine implementation, the relative fitness of NVT compared with VT strains increased (relative risk of 1.68; 95% confidence interval of 1.59–1.77), with an increasing proportion of these NVT strains becoming resistant to penicillin. Our findings point to highly entrenched, slow transmission and indicate that initial vaccine-linked decreases in antimicrobial resistance may be transient.

Impact of ENSO and Trends on the Distribution of North American Wintertime Daily Temperature

Abstract The effect of the El Niño–Southern Oscillation (ENSO) teleconnection and climate change trends on observed North American wintertime daily 2-m temperature is investigated for 1960–2022 with a quantile regression model, which represents the variability of the full distribution of daily temperature, including extremes and changes in spread. Climate change trends are included as a predictor in the regression model to avoid the potentially confounding effect on ENSO teleconnections. Based on prior evidence of asymmetric impacts from El Niño and La Niña, the ENSO response is taken to be piecewise linear, and the regression model contains separate predictors for warm and cool ENSO. The relationship between these predictors and shifts in median, interquartile range, skewness, and kurtosis of daily 2-m temperature are summarized through Legendre polynomials. Warm ENSO conditions result in significant warming shifts in the median and contraction of the interquartile range in central-northern North America, while no opposite effect is found for cool ENSO conditions in this region. In the southern United States, cool ENSO conditions produce a warming shift in the median, while warm ENSO conditions have little impact on the median, but contracts the interquartile range. Climate change trends are present as a near-uniform warming in the median and across quantiles and have no discernable impact on interquartile range or higher-order moments. Trends and ENSO together explain a substantial fraction of the interannual variability of daily temperature distribution shifts across much of North America and, to a lesser extent, changes of the interquartile range.

Changes in Spreading of Southeast Indian Subantarctic Mode Water During Argo Period

AbstractSubantarctic Mode Water (SAMW) is one of the most important water masses for the global ocean uptake and storage of heat and carbon. Based on Argo observations, this study focus on the Southeast Indian Subantarctic mode water (SEISAMW), and investigates the changes of SEISAMW spreading and associated mechanisms. SEISAMW is formed through air‐sea interaction as low potential vorticity water in late winter and subducts into permanent thermocline between outcrop lines of 26.6 σθ and 26.9 σθ in Southern Indian Ocean (SIO). After subduction, the SEISAMW spreads northwestward into subtropical gyre and southeastward into Antarctic Circumpolar Current (ACC) separately. During Argo period, the percentage of SEISAMW volume spreading into SIO subtropics decreases at light layer (26.6–26.7 σθ) while increases at medium (26.7–26.8 σθ) and dense (26.8–26.9 σθ) layer. These changes are attributed to the meridional shifts of outcrop lines. The outcrop lines of 26.6 σθ and 26.7 σθ in the central of SIO (75°–90°E), where light SEISAMW forms, shift poleward. The poleward shifts of outcrop lines result in less light SEISAMW spreading into subtropical gyre. In contrast, outcrop lines of 26.7 σθ and 26.8 σθ south of Australia shift equatorward and favor more medium and dense SEISAMWs spreading into subtropical gyre. The shifts of outcrop lines are closely related to the enhancement of Southern Annular Mode.

Search friction, liquidity risk, and bond misallocation

Search friction is a key driver of changes in corporate bond yield spreads over time. In the cross-section, the liquidity risk stemming from search friction is significantly priced, and is strongly correlated with the misallocation of bond positions among different traders. I propose a novel measure of bond-specific misallocation, which is the negative covariance between traders’ private valuations and their inventory positions for each bond. I find that bonds with higher levels of misallocation are associated with lower absolute levels of liquidity risk from search friction. I develop a search-and-matching model to explain this correlation.

Corporate credit default swap systematic factors

AbstractWe examine a comprehensive set of systematic and firm‐specific determinants of the credit default swap (CDS), using a two‐step approach to explore the factor's effect on CDS spread changes. We show that systematic factors are important and account for the most changes in the CDS spreads (with average of 35%), while firm‐specific factors are limited (with of 5% in panel regression) with only 4 out of 28 firm‐specific factors being significant. It implies that the systematic factors are overlooked in the literature, and they can provide many implications for practitioners in CDS pricing and the firm's credit risk management.

Experimental characterisation of the spreading of polymeric powders in powder bed fusion additive manufacturing process at changing temperature conditions

This study investigates the spreadability behaviour of four different polymeric materials, namely Polyamide 6, Polyamide 6 Black, Polypropylene, and Thermoplastic Polyurethane, under different spreading speeds (30 and 3 mm/s) and powder bed temperatures (25, 80, 110 °C) using a purposely developed experimental apparatus. Macroscopic and microscopic images of the powder layer were taken after completing the powder spreading step. A thresholding-based image processing method was utilised to evaluate the fraction of the bed area not covered by particles (NCF), and the standard deviation of pixel intensities in grayscale images (SDG) was calculated to evaluate powder layer quality in macroscopic images. NCF and SDG can provide quantitative evaluation of the quality of the spread layer, NCF in a logarithmic scale ranking and SDG in a linear scale ranking. A wavelet analysis technique was developed on microscopic panorama images obtained with grazing light to characterise the surface roughness of the layer. Results indicate that the spreadability generally worsens much more significantly than powder flow properties at increasing temperatures and, remarkably, that flowability and spreadability are unrelated. As expected, the temperature effect on powder spreading changes for the different powders are mostly governed by the approach to the powder melting temperature. Minor effects on the final layer quality were also observed at changing spreading speed.

Contingent Claims and Hedging of Credit Risk with Equity Options

Abstract Using contingent-claims valuation, we introduce novel hedge ratios for credit exposures using put options. Option hedge ratios are generally in line with the empirical sensitivities of credit spread changes to put option returns and, relative to stock hedge ratios, produce further reductions in volatility for a portfolio of North American firms. We show that option hedge ratios capture option-specific credit exposure related to the VIX index and the default spread, which is unaccounted for by Merton’s (1974) equity hedge ratios alone. Combining stocks and put options for credit risk hedging can be done effectively using the volatility smirk. (JEL E43, E44, G10)

“Whatever It Takes!” How tonality of TV-news affected government bond yield spreads during the European debt crisis

Were government bond risk premia affected by the media in addition to the effects of major events? Revisiting the European debt crisis, we analyze the role of television news in the rise and re-convergence of GIIPS bond spreads vis-à-vis Germany from 2007 to 2016. We use a dataset of more than one million human-coded news items from leading newscasts worldwide to identify over 25,000 news on the Eurozone and country-specific economic topics. Our findings emphasize the relevance of the tonality of news, such that an increasing share of positive (negative) news correlates with a decrease (increase) in spreads. Content-based endogenous clustering of news highlights the importance of news about institutions providing stability and “international financial support” to distressed countries in reducing bond spreads. Moreover, weekend news enables us to establish a causal link between country-specific news coverage and changes in spreads on the subsequent trading day.