The observed changes in share prices at the ex-dividend day have led researchers to look for a single marginal investor, either a long or a short term trader with different tax status, dominating all trades to explain the ex-day pricing in different markets. This paper provides a model which...

This study investigates how returns on the S&P 500 index respond orthogonally to dividend yield and price-to-earnings innovations. The unrestricted vector autoregressive (VAR) analysis of monthly data from 1871 to 2012 shows that the response of returns on the S&P 500 index to dividend yield...

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...

This study examines the dynamic response of S&P 500 dividend yield (DY) and S&P 500 price-to-earnings ratio (PE) to corporate profit growth (CP) shock. Using the VAR model to analyze quarterly data from 1951Q4 to 2012Q4, the results show that both DY and PE significantly drop immediately...

This study examines the relative importance of percentage change in price-to-earnings ratio (PE), percentage change in dividend yield (DY) and change in aggregate Tobin's q ratio (∆TBQ) in forecasting returns on the S&P 500 (SP). The results from the variance decomposition analysis of...

This study examines how the percentage change in S&P 500 dividend yield (DY) dynamically responds to shock to the change in aggregate Tobin's q ratio (∆TBQ). The results from the VAR analysis of quarterly data from 1951Q4 to 2012Q4 show that DY significantly declines immediately following the...