Table 3.
Regression of Two-Day Changes in Credit Spreads on Calendar Day Dummies and Bond Characteristics.
| Mar_03 | Mar_15 | Mar_23 | Apr_9 | May_12 | Jun_15 | |
|---|---|---|---|---|---|---|
| EvtDate | 8.6** | 73.4*** | −57.8*** | −70.6*** | −6.5 | −18.6*** |
| (2.40) | (12.89) | (−7.29) | (−10.01) | (−1.44) | (−3.19) | |
| EvtDate * D_{HY} | −14.2*** | 67.8*** | 62.5*** | −73.4*** | 12.9*** | −32.0*** |
| (−4.15) | (16.97) | (15.02) | (−13.66) | (4.14) | (−8.08) | |
| EvtDate * D_{1-2y} | −1.1 | 6.6 | −7.4 | −14.4*** | −2.1 | −4.0 |
| (−0.35) | (1.23) | (−1.30) | (−3.28) | (−0.58) | (−1.17) | |
| EvtDate * D_{2-3y} | −8.1*** | −10.6** | 2.1 | −10.2*** | 1.0 | −7.8** |
| (−3.64) | (−2.17) | (0.34) | (−3.30) | (0.31) | (−2.38) | |
| EvtDate * D_{3-5y} | −7.9*** | −17.4*** | 7.8 | −3.5 | −2.9 | −2.6 |
| (−4.10) | (−4.15) | (1.19) | (−1.11) | (−0.92) | (−0.81) | |
| EvtDate * D_{5-10y} | −10.4*** | −26.2*** | 20.7*** | 10.5*** | −2.5 | 0.7 |
| (−5.48) | (−6.27) | (3.34) | (3.04) | (−0.79) | (0.19) | |
| EvtDate * D_{>10y} | −13.7*** | −43.4*** | 28.1*** | 16.1*** | 2.3 | 1.5 |
| (−6.50) | (−10.18) | (4.59) | (4.43) | (0.74) | (0.42) | |
| EvtDate * D_{>750 m} | −2.9** | −7.5*** | −12.2*** | 0.0 | −0.6 | −0.4 |
| (−2.33) | (−3.45) | (−4.14) | (0.01) | (−0.46) | (−0.26) | |
| EvtDate * D_{Medium} | −0.1 | 3.4 | 2.8 | 2.0 | −1.5 | 3.0 |
| (−0.09) | (1.29) | (0.96) | (0.66) | (−0.71) | (1.62) | |
| EvtDate* D_{Low} | 6.6*** | 2.8 | 7.4* | 11.8*** | −2.6 | 10.6*** |
| (2.80) | (0.80) | (1.73) | (2.69) | (−1.05) | (4.00) | |
| EvtDate * D_{Energy} | −9.3** | 25.7*** | −4.5 | −27.7*** | −2.9 | −3.9 |
| (−2.24) | (3.37) | (−0.66) | (−3.20) | (−0.52) | (−0.81) | |
| EvtDate * D_{Manuf} | −3.1* | −5.6* | 9.6** | 16.5*** | 10.2*** | 5.1 |
| (−1.89) | (−1.66) | (2.23) | (3.02) | (4.09) | (1.56) | |
| EvtDate * D_{HiTec} | −1.8 | −5.1 | −21.6*** | 24.9*** | 7.3*** | 4.4 |
| (−1.48) | (−1.51) | (−5.30) | (4.26) | (2.90) | (1.23) | |
| EvtDate * D_{Hlth} | 0.2 | −13.0*** | −7.8* | 22.7*** | 5.6** | 6.6* |
| (0.15) | (−3.46) | (−1.87) | (3.54) | (2.11) | (1.94) | |
| EvtDate * D_{Fin} | −0.5 | −3.0 | −8.6* | 17.5*** | 9.4*** | 1.7 |
| (−0.40) | (−0.89) | (−1.94) | (2.87) | (2.97) | (0.47) | |
| EvtDate * D_{NonFin} | −1.3 | −3.3 | 6.8 | 10.3 | 16.2*** | −2.1 |
| (−1.01) | (−0.79) | (1.23) | (1.47) | (4.21) | (−0.48) |
This table presents the estimates of event dummies and their interaction terms in the panel regressions over the sample period from Jan 2020 to Jun 2020. The dependent variable is the two-day credit spread changes around event days (Mar 3, Mar 15, Mar 23, Apr 9, May 12, and Jun 15) and non-event days. The bond category dummies are based on bond characteristics, i.e., credit rating, maturity, face value, issuer size, and industry. The omitted category is IG bonds, issued by a large issuer operating in consumer goods industry, with maturity between 6 months and 1 year, and face value less than $750 million on non-event-days. Control variables include credit ratings, age, and the logarithm of par amount. Standard errors are double-clustered by firm and time. -statistics are shown in parentheses. ***, **, and * indicate statistical significance at the 1%, 5%, and 10% levels, respectively.