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Home > Industry Analysis > Research & Analysis > FDIC Banking Review |
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FDIC Banking Review |
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| Table 2 Charactistics of Stock Price, Return, and Other Market Variables by Quarter Preceding Downgrade in CAMEL Rating |
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| Qtrs. to Rating Change | Sample | Avg. Stock Price ($) | Change in Stock Price ($) | Cum. Qtrly. Return (%) | CRSP Equal Wt. Excess Return (%) | CRSP Value Wt. Excess Return (%) | Industry Value Wt. Excess Return (%) | Std. Dev. Daily Return (%) | Change in Std. Dev. Daily Return (%) | Avg. Daily Trading Volume (Shares) | Avg. Qtrly. Turnover Ratio (%) |
|---|---|---|---|---|---|---|---|---|---|---|---|
| A. Trends Preceding Downgrade to 3 | |||||||||||
| -8 | 79 | 15.42 | 0.16 | 2.95 | -4.10 | -1.55 | -1.55 | 2.63 | -0.02 | 10,449 | 13.52 |
| 053 | 1.51 | -2.47** | -0.96 | -0.91 | 9.93*** | ||||||
| -7 | 83 | 14.66 | -0.78 | -0.83 | -6.08 | -4.58 | -4.58 | 2.59 | -0.07 | 10,077 | 13.29 |
| -188* | -0.50 | -3.81*** | -2.89*** | -2.85*** | -0.70 | ||||||
| -6 | 83 | 13.64 | -1.04 | -2.40 | -7.01 | -5.98 | -5.49 | 2.55 | 0.00 | 9,595 | 13.65 |
| -276 | -1.42 | -4.62*** | -3.98*** | -3.54*** | -0.08 | ||||||
| -5 | 84 | 12.98 | -0.77 | -0.88 | -4.79 | -3.86 | -2.61 | 2.79 | 0.25 | 10,660 | 13.39 |
| -137 | -0.44 | -3.04*** | -2.30** | -1.65* | 2.23*** | ||||||
| -4 | 84 | 12.32 | -0.66 | 0.45 | -6.88 | -3.68 | -4.24 | 2.82 | 0.00 | 10,646 | 12.50 |
| -299*** | 0.24 | -4.51*** | -2.02** | -2.23** | 0.26 | ||||||
| -3 | 84 | 11.78 | -0.54 | -0.04 | -8.74 | -7.08 | -6.06 | 2.97 | 0.15 | 11,991 | 13.89 |
| -292*** | -1.94* | -5.63*** | -4.23*** | -3.73*** | 1.20 | ||||||
| -2 | 83 | 11.34 | -0.50 | -3.77 | -7.05 | -5.02 | -3.57 | 3.54 | 0.55 | 12,372 | 14.87 |
| -282*** | -1.47 | -3.33*** | -2.20** | -1.68* | 4.75*** | ||||||
| -1 | 83 | 10.52 | -0.82 | -2.73 | -9.08 | -6.15 | -6.71 | 4.05 | 0.51 | 12,023 | 15.12 |
| -355*** | -1.15 | -4.84*** | -2.91*** | -3.59*** | 2.88*** | ||||||
| 0 | 83 | 9.91 | -0.56 | -1.69 | -11.16 | -5.43 | -7.37 | 4.01 | -0.06 | 12,625 | 15.52 |
| -236** | -0.65 | -5.24*** | -2.19** | -2.99 | -0.32 | ||||||
| B. Trends Preceding Downgrade to 4 or 5 | |||||||||||
| -8 | 105 | 12.20 | 0.15 | 0.46 | -3.60 | -2.74 | -1.51 | 2.92 | -0.14 | 14,908 | 15.19 |
| 030 | 0.25 | -2.40** | -1.71* | -1.00 | -0.81 | ||||||
| -7 | 107 | 11.76 | -0.32 | -4.87 | -7.66 | -7.41 | -5.58 | 3.06 | 0.20 | 13,620 | 14.06 |
| -168* | -2.90*** | -5.05*** | -4.76*** | -3.48*** | 1.68* | ||||||
| -6 | 107 | 11.09 | -0.66 | -3.32 | -8.50 | -7.44 | -6.84 | 3.08 | -0.03 | 13,196 | 13.75 |
| -202** | -1.72* | -5.39*** | -4.33*** | -4.32*** | -0.23 | ||||||
| -5 | 109 | 10.26 | -0.69 | -5.89 | -11.17 | -9.60 | -8.79 | 3.45 | 0.23 | 12,130 | 12.94 |
| -539*** | -3.59*** | -7.32*** | -6.57*** | -5.73*** | 1.72* | ||||||
| -4 | 110 | 9.83 | -0.34 | -6.52 | -11.87 | -10.51 | -10.42 | 3.53 | 0.36 | 12,400 | 13.35 |
| -187* | -3.05*** | -6.41*** | -5.39*** | -5.59*** | 2.52*** | ||||||
| -3 | 108 | 9.19 | -0.75 | -5.32 | -9.98 | -8.49 | -7.02 | 4.08 | -0.10 | 14,619 | 13.94 |
| -307*** | -1.97** | -4.32*** | -3.40*** | -3.00*** | -0.15 | ||||||
| -2 | 107 | 8.14 | -1.03 | -9.89 | -15.72 | -12.59 | -12.83 | 4.89 | 0.58 | 13,424 | 12.67 |
| -580*** | -4.53*** | -8.39*** | -5.90*** | -6.14*** | 3.23*** | ||||||
| -1 | 107 | 6.94 | -1.20 | -5.89 | -12.80 | -9.04 | -9.48 | 5.79 | 0.48 | 14,739 | 13.45 |
| -628*** | -1.59 | -4.0***6 | -2.56** | -2.90** | 2.05** | ||||||
| 0 | 107 | 5.97 | -0.97 | -9.68 | -15.52 | -11.42 | -12.42 | 5.87 | 0.61 | 15,506 | 13.61 |
| -548*** | -2.63*** | -4.85*** | -3.28*** | -3.83*** | 2.43** | ||||||
| The data reported on each of the quarter-to-quarter rating change lines (8 to 0) are calculated as simple averages for all trading days in each quarter. If the data required for any quarterly calculation are missing, they are omitted from the calculation. Excess returns are calculated as the difference between the cumulative quarterly return of each stock and the cumulative quarterly return of the various idices. T-statistcs testing the hypothesis that the mean equals zero are shown below many of the quarterly average return and change-in-return statistics. A single, double, or triple "*" indicates significance at the 10 percent, 5 percent, or 1 percent level, respectively. | |||||||||||
| Last Updated 9/11/2003 | Questions, Suggestions & Requests |
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