. 2021 Apr 21;133:106153. doi: 10.1016/j.jbankfin.2021.106153

Table A4.

Comparison Between U.S. and Non-U.S. Issuers.

		U.S. Issuers			Non-U.S. Issuers
		Pre	Post	Δs	Pre	Post	Δs
		(bps)	(bps)	(bps)	(bps)	(bps)	(bps)
All		533	486	-47	808	763	-45
By rating	IG	424	365	-59	525	480	-45
	HY	1,095	1,112	17	1,452	1,401	-51
By maturity	6m-1y	679	572	-107	1,019	789	-230
	1-2y	551	472	-80	619	583	-35
	2-3y	551	491	-59	1,552	1,493	-59
	3-5y	642	596	-46	982	904	-78
	5y-10y	549	518	-31	524	495	-30
	10y-	394	357	-36	625	621	-4
By face value	-750 mil	621	585	-36	1,508	1,466	-42
	750 mil-	479	426	-53	644	598	-46
By issuer size	70\%-tile	457	403	-55	547	507	-40
	30\%-70\%	705	681	-25	918	863	-55
	-30\%-tile	1,100	1,099	-1	2,799	2,741	-58
By industry	Cnsmr	546	501	-45	409	358	-51
	Energy	1,212	1,174	-37	1,178	1,141	-37
	Manuf	467	442	-25	814	817	4
	HiTec	432	364	-68	697	633	-64
	Hlth	386	335	-51	513	450	-63
	Finance	480	426	-54	829	775	-55
	Other	689	646	-42	783	799	16
Within	Banks	427	360	-66	1,056	1,000	-56
Finance	Nonbanks	492	441	-51	533	480	-53

This table reports the average of the bond-level changes in credit spreads from March 20 to March 24, excluding zero change observations. Stock returns are measured over the two-day event window accordingly. $Δ \hat{s}$ is stock-implied credit spread changes computed as $\hat{b_{0}}$ + $\hat{b_{1}} r$ , where $\hat{b_{0}},$ $\hat{b_{1}}$ are estimated using a pooled OLS regression of credit rate changes on stock returns amid the Global Financial Crisis period. 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.