Shares in some of the biggest U.S. entertainment and media companies fell on Wednesday after Goldman Sachs downgraded its view on the sector to cautious from neutral due to concerns about the U.S. economic slowdown.

Among the biggest media decliners were Viacom Inc, which fell 4.05 percent to $38.38, and Warner Music Group, which fell 5.07 percent to $11.43.

The higher cost of debt and stricter credit terms have and will continue to drive adverse behavioral changes, resulting in not only a slower-than-expected economic and advertising growth environment, but also less financial maneuvering to add shareholder value, Goldman's analysts wrote in a note to clients dated Sept 4.

U.S. stocks have been under pressure from a tightening in credit markets as companies and potential investors were unable to raise cheap credit to fund buyouts or strategic investments.

We would avoid companies with the greatest advertising exposure, limited international revenue, and that have benefited most from nonoperating levers/factors, such as CBS, the Goldman note said.

CBS Corp. fell 1.36 percent to $31.15, News Corp fell 1.92 percent to $20.40, and Time Warner Inc was down 1.56 percent at $18.95. Cable television service providers Comcast Corp fell 1.39 percent to $25.58 and Time Warner Cable fell 2.87 percent to $35.55.