Table 4.

Panel B. Changes in Credit Spreads Around April 9 QE Announcement.

		Credit Spreads			Stock Returns		Bond Liquidity
		Pre	Post	Δs	r	$\Delta \widehat{s}$	ΔBAS	ΔVOL	$\Delta \widehat{s}$
		(bps)	(bps)	(bps)	(%)	(bps)	(bps)	(mil)	(bps)
All		366	298	−68	0.74	−1	0	−0.98	−2
By rating	IG	250	198	−52	0.53	−1	−3	−1.24	−2
	HY	926	780	−146	1.73	−2	16	0.38	−2
By maturity	6m−1y	351	262	−88	0.62	−6	−11	0.46	−4
	1−2y	357	255	−102	0.45	−2	3	−0.29	0
	2-3y	421	325	−96	0.82	−2	18	−0.73	−2
	3-5y	409	328	−80	0.99	−1	−3	−0.73	−2
	5y-10y	389	330	−59	0.62	−1	−2	−1.23	−2
	10y-	284	240	−44	0.79	−1	−2	−1.40	0
By face value	−750 mil	500	421	−79	1.14	−2	4	−0.57	−3
	750 mil-	289	227	−62	0.51	−1	−2	−1.21	−1
By issuer size	70%-tile	277	217	−60	0.64	−1	−4	−1.14	−1
	30%-70%	552	469	−83	0.76	−1	21	−0.65	−2
	−30%-tile	848	731	−117	2.00	−5	−24	−0.06	−2
By industry	Cnsmr	395	315	−80	0.40	−1	3	−0.83	−1
	Energy	981	859	−122	3.40	−5	68	−0.29	1
	Manuf	356	290	−66	1.52	−3	−7	−0.56	−1
	HiTec	262	211	−51	0.19	−1	4	−2.44	−2
	Hlth	236	183	−52	−0.81	1	−10	0.03	−2
	Finance	278	221	−58	1.09	−2	−3	−0.77	−2
	Other	477	390	−87	0.12	1	−25	−0.58	−2
Within	Banks	213	167	−46	3.71	−6	3	−2.11	−2
Finance	Nonbanks	295	234	−60	0.43	−1	−5	−0.43	−2

This table reports the average of the bond-level changes in credit spreads from March 20 to March 24 (Panel A), and from April 8 to April 13 (Panel B), excluding zero change observations. Stock returns (r) are measured over the two-day event window accordingly. $\Delta \widehat{s}$ is stock-implied credit spread changes computed as $\widehat{b_0}$ + $\widehat{b_1}r,$ where $\widehat{b_0},$$\widehat{b_1}$ are estimated using a pooled OLS regression of credit rate changes on stock returns amid the Global Financial Crisis period. BAS is the bid-ask spread. For all bonds that have buys and sells on the same day, we compute the bid-ask spread as (S-B)/0.5(S+B), where S (B) is the average sell (buy) price on a day for bond. VOL is daily transaction volume for each bond at each day using all transactions in the TRACE data. Issuer size is the sum of total face values of outstanding bonds at the issuer level. We apply Fama-French 5 industry classification based on four-digit SIC codes: Cnsmr (Consumer Durables, Nodurables, Wholesale, Retail, and Some Services), Manuf (Manufacturing, Energy, and Utilities), HiTec (Business Equipment, Telephone and Television Transmission), Hlth (Healthcare, Medical Equipment, and Drugs), and Other. We divide “Other” into Finance (SIC code between 6000 and 6999) and Nonfinance sectors. The finance sector is split into commercial banks (with the first three SIC digits of 602) and nonbanks.