Table A2.
Regression of Two-Day Changes in Credit Spreads on Calendar Day Dummies and Rating Categories.
| Mar_03 | Mar_15 | Mar_23 | Apr_9 | May_12 | Jun_15 | |
|---|---|---|---|---|---|---|
| EvtDate | 17.0*** | 127.0*** | 7.3 | −131.0*** | 13.7 | −29.9** |
| (2.64) | (9.30) | (0.49) | (−15.31) | (1.41) | (−2.58) | |
| EvtDate * D_{AA+} | −21.6*** | −99.7*** | −58.0*** | 106.4*** | −15.3 | 18.0 |
| (−3.83) | (−7.42) | (−3.92) | (12.80) | (−1.63) | (1.60) | |
| EvtDate * D_{A} | −20.7*** | −91.9*** | −66.5*** | 90.4*** | −13.4 | 17.4 |
| (−3.78) | (−6.85) | (−4.52) | (10.92) | (−1.44) | (1.55) | |
| EvtDate * D_{BBB} | −21.3*** | −79.9*** | −61.5*** | 70.9*** | −15.0 | 11.4 |
| (−4.11) | (−5.97) | (−4.22) | (8.53) | (−1.63) | (1.02) | |
| EvtDate * D_{BB} | −33.7*** | −28.7** | −3.1 | 7.5 | −3.6 | −14.0 |
| (−7.54) | (−2.08) | (−0.21) | (0.85) | (−0.40) | (−1.27) | |
| EvtDate * D_{B} | −40.7*** | 17.5 | 11.7 | −1.5 | −8.4 | −25.3** |
| (−6.64) | (1.34) | (0.65) | (−0.16) | (−0.77) | (−2.04) |
This table presents the estimates of event dummies and their interaction terms with rating categories 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 credit rating categories are AA+, A, BBB, BB, and B. The omitted category is CCC and below. Control variables include 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.