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FDIC Banking Review

Table 3
Definition of Variables, Means, and Standard Deviations
    CAMEL 3-Rated CAMEL 4/5-Rated Control Sample
Mean Standard Deviation Mean Standard Deviation Mean Standard Deviation
Dependent Variable
CAMELCAT Dummy variable equal to 1 if the institution experienced a CAMEL rating downgrade to a 3 or a 4 or 5, and 0 otherwise 1.00 0.00 1.00 0.00 0.00 0.00
Control Variables
BK_SIZE Dummy variable equal to 1 if the institution was over $1 billion, and 0 otherwise. 0.21 0.41 0.24 0.43 0.13 0.33
STATE Percentage change in quarterly residential housing permits by state -19.52 20.86 -25.57 15.59 -2.76 18.22
Regulatory Variable
MGT_RAT Component rating for quality of bank management. 2.02 0.38 2.43 0.67 1.73 0.52
Financial Variables
EQ_ASSET Equity capital divided by total assets (%). 10.11 10.06 8.09 2.78 10.71 4.40
NC_ASSET Noncurrent (delinquent) assets less loan-loss reserves, divided by total assets (%) 1.79 1.27 2.77 2.03 0.59 0.93
RES_ASSET Reserves for loan losses divided by total assets. 0.76 0.49 1.04 0.70 0.61 0.46
LPROV_ASSET Loan-loss provisions divided by total assets. 0.31 0.40 0.59 0.80 0.10 0.21
ROA Quarterly annualized earnings divided by total assets (%). 0.52 1.33 0.03 1.69 1.02 0.56
SEC_ASSET Securities divided by total assets (%). 17.04 13.80 14.59 12.71 26.52 14.14
VOL_ASSET Volatile liabilities divided by total assets (%). 21.47 10.73 21.46 11.00 13.42 11.23
Market Variables
EXPRC Log of the ratio of the stock price divided by the S&P bank-stock industry index -2.76 0.68 -3.02 0.82 -2.35 0.83
EXRET Market excess or abnormal return, calculated as the difference between the cumulative quarterly return of each stock and the cumulative quarterly return of the CRSP value-weighted index -0.04 0.17 -0.11 0.20 -0.02 0.20
COEFVAR Coefficient of variation is equal to the standard deviation of the stock price for the quarter divided by the average quarterly stock price (%) 6.09 4.18 8.50 8.35 6.08 4.36
BKEQ_MEQ Book equity divided by market capitalization. 1.41 0.89 1.91 2.45 0.91 1.12
TURNOVER Number of shares traded in a quarter divided by the number of shares outstanding at the end of the quarter (%) 12.50 11.58 13.35 12.64 11.98 16.43
Number of observations 84   110   151  

Last Updated 9/11/2003 Questions, Suggestions & Requests