Table A3.

Panel Regressions of Daily Credit Spread Changes.

	Stock Return Regressions		Liquidity Regressions
	Const.	r	Const.	ΔBAS	ΔVOL
Intercept	−4.861***	−2.681***	−4.062	0.047	1.554***
	(−2.86)	(−4.92)	(−0.95)	(0.86)	(2.98)
D_{HY}	2.759***	−1.681***	0.207	−0.003	−0.072
	(2.93)	(−7.72)	(0.06)	(−0.45)	(−0.28)
D_{1-2y}	3.108*	0.587	3.885	0.002	−0.381
	(1.81)	(1.01)	(0.92)	(0.04)	(−0.69)
D_{2-3y}	3.871**	0.860	1.234	−0.015	−0.723
	(2.40)	(1.62)	(0.31)	(−0.25)	(−1.36)
D_{3-5y}	4.321***	1.259***	1.535	−0.051	−0.905*
	(2.69)	(2.61)	(0.38)	(−0.94)	(−1.71)
D_{5-10y}	4.304***	1.287**	1.576	−0.038	−1.217**
	(2.61)	(2.59)	(0.39)	(−0.67)	(−2.31)
D_{>10y}	4.198**	1.294**	2.896	−0.051	−1.337**
	(2.58)	(2.54)	(0.73)	(−0.91)	(−2.55)
D_{>750 m}	1.211***	−0.238	1.677*	−0.002	−0.099
	(3.80)	(−1.58)	(1.94)	(−0.26)	(−1.00)
D_{Medium}	−0.503	0.270	−1.215	0.009	−0.011
	(−1.32)	(1.52)	(−0.84)	(1.06)	(−0.10)
D_{Low}	−1.053*	0.255	1.184	0.016	−0.022
	(−1.81)	(1.11)	(0.46)	(1.13)	(−0.07)
D_{Energy}	−0.848*	1.356***	1.310	−0.009	−0.133*
	(−1.84)	(6.50)	(0.96)	(−0.93)	(−1.67)
D_{Manuf}	−0.404	0.802***	1.040	0.004	0.283***
	(−1.00)	(3.92)	(0.98)	(0.40)	(3.09)
D_{HiTec}	−0.628	0.928***	−1.398	0.009	−0.182**
	(−1.50)	(3.65)	(−1.12)	(0.80)	(−2.25)
D_{Hlth}	−1.126**	1.104***	−1.066	−0.010	−0.108
	(−2.53)	(4.56)	(−0.89)	(−0.96)	(−1.30)
D_{Fin}	−0.241	0.374	−0.813	0.015	−0.201**
	(−0.46)	(1.59)	(−0.65)	(1.55)	(−2.53)
D_{NonFin}	−0.041	0.620**	1.118	0.006	0.660**
	(−0.06)	(2.20)	(0.42)	(0.35)	(2.36)

This table reports the estimated coefficients and t-statistics from the following pooled OLS regression of daily credit spread changes (in bps) for bond $i$ issued by firm $j$ on day $d$ during the Global Financial Crisis period:

$$\Delta s_{i,j,d}=b_0{D}_{i,j,d}+b_1{D}_{i,j,d}{r}_{j,d}+u_{i,j,d}.$$

$$\Delta s_{i,j,d}=b_0{D}_{i,j,d}+b_1{D}_{i,j,d}\Delta BA{S}_{i,j,d}+b_2{D}_{i,j,d}\Delta VO{L}_{i,j,d}+u_{i,j,d}$$

Following Bao et al. (2018), we define the crisis period as from July 1, 2007, to April 30, 2009. To calculate credit spread changes, we require at least two consecutive daily observations for bond prices. The stock returns are adjusted for delisting. $D_{i,j,d}$ is a vector of dummy variables each of which corresponds to categories of bonds, including credit rating, maturity, face value, issuer size, and industry. We cluster standard errors by calendar date and report t-statistics in parentheses. ***, **, and * correspond to statistical significance at the 1%, 5%, and 10% levels, respectively.