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 |
|
