This paper studies the option market?s implied dividend as a predictor of future equity market returns. We introduce this variable in the simple total return framework and discuss some complications of using it as a proxy for the expected dividend. We construct some regressions using the price-dividend ratio and the implied dividend growth, and test [...]
What factors are driving forces for credit spreads?
The purpose of this study is to examine what affects the changes in credit spreads. A regression model was performed where the explanatory variables were; volatility,SP&500 index, interest-rate level the slope of yield curve and the dependent variable was credit spread for each of CSUSDA, CSUSDBBB, and CSUSDB. We found a positive correlation between these [...]