This study investigates the dynamic response of credit spread (CS) to S&P 500 dividend yield (DY) shock. Based on the … 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 …

their dynamics. Using the model, we price dividend strips of the aggregate market index, as well as any other well …-diversified equity portfolio. We do not use any dividend strips data in the estimation of the model; however, model-implied equity yields … generated by the model match closely the equity yields from the traded dividend forwards reported in the literature. Our model …

We present an arbitrage-free affine term structure model that jointly prices U.S. Treasury bonds, S&P 500 dividend … accurate decompositions of discount rates into risk free rates, inter est rate and dividend risk premiums. Our model is able to …

dividend strips are all downward-sloping (van Binsbergen et al. (2012)), but these observations cannot be explained by most … structure of long-maturity dividend strips to become less risky than short-maturity dividend strips, leading to a downward …

their dynamics. Using the model, we price dividend strips of the aggregate market index, as well as any other well …-diversified equity portfolio. We do not use any dividend strips data in the estimation of the model; however, model-implied equity yields … generated by the model match closely the equity yields from the traded dividend forwards reported in the literature. Our model …

premium. We reach this conclusion based on a new model-free method that uses dividend futures prices to obtain the …

Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or … upward sloping. Related, these models predict that the term structures of expected returns and volatilities on dividend … suggests otherwise. This discrepancy can be reconciled if these models replace their proposed dividend dynamics with processes …

equilibrium model with rare disasters followed by recoveries helps reconcile theory with empirical observations. Indeed …-sloping term structures of dividend growth risk, equity return volatility, and equity risk premia. In addition, the term structure …

We construct a model-free term structure of dividend risk premiums from option prices and aggregate analyst forecasts … decreases during expansions. The on average negative dividend term premium steepens in contractions and flattens in expansions …, driven by strong variations in short-horizon dividend premiums. Buying the next year of S&P 500 dividends whenever the one …