Table 8.

Changes in Credit Spreads Around March 23 QE Announcement: Two-Week Window.

		Credit Spreads			Stock Returns		Bond Liquidity
		Pre	Post	$\Delta s$	r	$\Delta \widehat{s}$	$\Delta BAS$	$\Delta VOL$	$\Delta \widehat{s}$
		(bps)	(bps)	(bps)	(%)	(bps)	(bps)	(mil)	(bps)
All		565	428	−137	8.48	−10	−100	−0.99	−4
By rating	IG	414	275	−138	9.34	−10	−118	−1.12	−4
	HY	1,200	1,102	−97	4.31	−8	−26	−0.37	−2
By maturity	6m-1y	657	375	−283	7.06	−19	−78	−1.77	−11
	1-2y	697	545	−152	7.62	−13	−107	−0.86	−6
	2-3y	567	402	−165	7.04	−10	−159	−0.01	−8
	3-5y	667	491	−175	6.96	−7	−71	−0.69	−3
	5y-10y	582	462	−121	8.62	−9	−80	−0.86	−3
	10y-	400	314	−86	10.55	−9	−134	−1.68	0
By face value	−750 mil	676	557	−120	8.42	−9	−72	0.06	−4
	750 mil-	479	329	−150	8.52	−10	−115	−1.80	−4
By issuer size	70\%-tile	472	317	−155	9.07	−10	−117	−1.34	−4
	30\%-70\%	708	597	−111	7.22	−7	−65	−0.02	−4
	−30\%-tile	1,158	1,151	−7	5.96	−9	−3	−0.29	0
By industry	Cnsmr	533	423	−110	6.84	−11	−99	−0.76	−3
	Energy	1,576	1,486	−90	13.20	−5	−81	−0.02	2
	Manuf	466	359	−106	10.74	−10	−66	−0.35	−3
	HiTec	441	290	−151	7.48	−7	−90	−2.23	−5
	Hlth	402	270	−132	9.91	−8	−114	−1.25	−2
	Finance	547	355	−193	6.61	−8	−121	−0.89	−6
	Other	660	513	−146	8.08	−14	−133	−1.15	−6
Within	Banks	412	237	−175	2.26	−3	−162	−1.62	−7
Finance	Nonbanks	576	380	−196	7.54	−9	−110	−0.73	−6

This table reports the average changes in credit risk and liquidity measures between March 20 and the last daily observation in the period from March 30 to April 3. Stock returns (r) for each firm are measured over the corresponding event window accordingly. Other details of the table can be found in the notes to Table 4.