Table 7.

Difference-In-Differences Regressions of Credit Spreads on QE Announcement Dummies and Maturity Cutoff Dummies.

	DepVar=Credit Spreads (%)
	1-day	5-day	10-day
	(1)	(2)	(3)
A. t* = March 23
1[t > t*]	−0.219**	−0.207***	−0.077**
	(−2.47)	(−4.70)	(−2.21)
Obs	667	2,559	4,912
R^2	0.606	0.391	0.284
B. t* = April 9
1[t > t*]	−0.014	−0.109***	−0.168***
	(−0.33)	(−4.23)	(−6.88)
Obs	624	2,588	4,892
R^2	0.641	0.503	0.472

The table reports the coefficients of the regression, $s_{i,t}^{treated}-s_{i,t}^{control}=\beta \times \mathbf{1}[t>t^{*}]+{\eta }_i+{\epsilon }_{i,t},$ where $s_{i,t}^{treated}$ ($s_{i,t}^{control}$) is the credit spread on issuer $i$’s bond in the treatment (control) group. The treatment/control group are issuer-paired bonds (IG as of March 22) with time-to-maturity closest to five years (treated bonds less than or equal to five years, control bonds greater than five years but cannot exceed 10 years). The dummy variable $\mathbf{1}[t>t^{*}]$ equals one if the date $t$ is greater than the specified announcement date $t^{*},$ either March 23 or April 9. All specifications include firm fixed effects. Standard errors are clustered by firm. $t$-statistics are shown in parentheses. ***, **, and * indicate statistical significance at the 1%, 5%, and 10% levels, respectively.