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 …

. CDS spreads increase substantially in response to announcements of dividend cuts, especially during recessions and among … firms experiencing financial distress. CDS spreads also react more strongly to permanent and less anticipated dividend cuts … spreads react weakly to dividend raises and share repurchases. The results show that the information effect of dividend …

We show how, in a Merton-type model with bankruptcy, the dividend policy impacts the values of equity and debt as well … restrictions on dividends and gives a useful tool to support dividend payments that may be opposed by debtholders or preclude a … credibility of the dividend policy …

handles cash dividend and credit risk properly. We discuss pricing and risk management of European options, PDE methods and in …