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FDIC Banking Review

Table 2
Charactistics of Stock Price, Return, and Other Market Variables by Quarter Preceding Downgrade in CAMEL Rating
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