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Table 4
Logit Regression Results: Four Quarters before Downgrade
IndependentVariable Anticipated Sign A. CAMEL 3-Rated Group Specification B. CAMEL 4/5-Rated Group Specification
1 2 3 4 5 1 2 3 4 5
Intercept   -0.86 -3.39 -2.13 -3.76 -4.46 0.90 -5.63 -1.09 -5.82 -7.58
(123) (5.00)*** (2.07)** (2.71)*** 2.95*** (0.83) (5.98)*** (0.69) (2.96)*** (3.12)***
Control Variables
BK_SIZE - 0.09 0.82 0.21 0.12 0.21 -0.46 1.38 -0.52 0.34 0.12
(016) (1.83) (0.36) (0.21) (0.34) (0.69) (2.86)*** (0.66) (0.43) (0.13)
STATE - -0.03 -0.05 -0.03 -0.03 -0.03 -0.07 -0.09 -0.07 -0.11 -0.13
(297)*** (5.06)*** (2.72)*** (3.05)*** (2.80)*** (4.50)*** (6.93)*** (4.17)*** (4.29)*** (3.91)***
Regulatory Variable
MGT_RAT +       1.33 1.23       3.26 3.41
(246)** (2.18)** (4.34)*** (3.96)***
Financial Variables
EQ_ASSET - -0.02   -0.04 -0.01 -0.02 -0.42   -0.51 -0.48 -0.61
(104) (1.54) (0.25) (0.68) (3.30)*** (3.26)*** (3.08)*** (-3.04)***
NC_ASSET + 0.88   0.83 0.82 0.77 1.22   1.17 1.13 1.11
(399)*** (3.63)*** (3.70)*** (3.34)*** (4.44)*** (4.17)*** (3.87)*** (3.52)***
RES_ASSET - -1.19   -1.24 -0.91 -0.94 -0.71   -0.95 -1.08 -1.31
(181)* (1.80)* (1.36) (1.35) (1.23) (1.56) (2.01)** (2.18)**
LPROV_ASSET + 2.78   2.89 (2.67) 2.78 4.29   4.63 5.87 6.61
(237)** (2.34)** (2.28)** (2.29)** (3.48)*** (3.43)*** (3.79)*** (3.63)***
ROA - -0.83   -0.65 -0.75 -0.61 -1.29   -0.86 -1.09 -0.68
(240)** (1.96)** (2.20)** (1.84)* (2.59)*** (1.43) (1.76)* (0.92)
SEC_ASSET - -0.04   -0.05 -0.04 -0.05 -0.05   -0.05 -0.09 -0.09
(282)*** (2.89)*** (2.83)*** (2.92)*** (2.14)** (2.07)** (3.08)*** (2.82)***
VOL_ASSET + 0.07   0.07 0.07 0.07 0.08   0.08 0.09 0.09
(408)*** (4.05)*** (4.00)*** (4.01)*** (3.38)*** (3.08)*** (2.84)*** (2.66)***
Market variables
EXPRC -   -0.94 -0.52   -0.41   -1.34 -0.95   -0.78
(338)*** (1.56) (1.23) (3.88)*** (2.38)** (1.66)*
EXRET -   0.25 -0.07   -0.10   -1.17 0.60   0.06
(028) (0.06) (0.09) (1.31) (0.45) (0.04)
COEFVAR +   -0.07 -0.04   -0.05   -0.01 -0.05   -0.11
(150) (0.59) (0.86) (0.22) (1.27) (1.89)*
BKEQ_MEQ +   0.12 0.25   0.26   0.03 0.39   0.45
(072) (1.29) (1.28) (0.18) (0.98) (0.87)
TURNOVER +   0.00 0.01   -0.01   0.01 0.00   0.02
(011) (0.43) (0.35) (0.54) (0.18) (0.73)
AIC 194.50 261.36 197.50 189.50 194.07 128.11 224.75 126.32 95.03 97.86
R2 0.43 0.23 0.45 0.45 0.46 0.61 0.43 0.63 0.66 0.67
x2 (relative to specification 1)     7.00 7.00***       11.79** 35.08***  
x2 (relative to specification 4)         5.43         7.16
degrees of freedom     5 1 5     5 1 5
Note: This table preforms logit regression analysis on the sample of commercial banks and thrift institutions. All independent variables are defined in table 3. T-statistics are shown in parentheses below their corresponding regression coeffients. A single, double, or triple "*" indicates significance at the 10%, 5%, or 1% level, respectively.

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