Abstract

http://ssrn.com/abstract=2335251
 


 



Dynamic Response of Credit Spread to S&P 500 Dividend Yield Shock


Vichet Sum


University of Maryland Eastern Shore - School of Business and Technology

October 3, 2013


Abstract:     
This study investigates the dynamic response of credit spread (CS) to S&P 500 dividend yield (DY) shock. Based on the analysis of monthly data from 1919M1 to 2013M8, the VAR results show that credit spread significantly rises immediately following shock to the S&P 500 dividend yield. The results also show that there is a significant causal linkage between CS and DY. The variance decomposition results indicate that S&P 500 dividend yield forecasts about 2.72%, 5.00% and 7.12% of credit spread at the 6-month, 12-month and 24-month horizons, respectively.

Keywords: S&P 500 dividend yield, credit spread, VAR

JEL Classification: G12, G14

working papers series


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Date posted: October 3, 2013  

Suggested Citation

Sum, Vichet, Dynamic Response of Credit Spread to S&P 500 Dividend Yield Shock (October 3, 2013). Available at SSRN: http://ssrn.com/abstract=2335251

Contact Information

Vichet Sum (Contact Author)
University of Maryland Eastern Shore - School of Business and Technology ( email )
2105 Kiah Hall
Princess Anne, MD 21853
United States
410-651-6531 (Phone)
410-651-6529 (Fax)
HOME PAGE: http://www.umes.edu/bma/Sum.html
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