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...

This study is set up to investigate how financial stress dynamically affects commercial bank loan delinquency (CBLD) rate. Using quarterly data from 1994Q1 to 2012Q4, the results show that CBLD rate immediately rises following financial stress shock; however, it significantly drops after 3...

This study examines the reaction of commercial bank sector to loan (written by all commercial banks) delinquency rate shock. Using quarterly data from 1985Q1 to 2012Q4, the results show that returns on the commercial bank sector significantly drop immediately following the spike in loan...