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FDIC Working Papers Series

Table 3
Stock Price and Return Characteristics by Month Preceding Downgrade in CAMEL Rating
The data reported on each of the month-to-rating change lines (-17 to 0) are calculated as simple averages for all trading days in each month. If data required for any monthly calculation are missing, then they are omitted from the calculation. Excess returns are calculated as the difference between the cumulative monthly return of each stock and the cumulative monthly return of the various indexes. T-statistics testing the hypothesis that the mean equals zero are shown below many of the monthly average return and change in return statistics. A single, double, or triple "*" indicates significance at the 10%, 5%, and 1% levels, respectively.
A) Trends Preceding Downgrade to 3
Months
To
Rating
Change		 Change
Stock
Price
($)		 Change
St. Dev.
Daily
Return
(%)		 CRSP
Eq. Wt.
Excess
Return
(%)		 CRSP
Va. Wt.
Excess
Return
(%)		 Industry
Va. Wt.
Excess
Return
(%)		 Months
To
Rating
Change		 Change
Stock
Price
($)		 Change
St. Dev.
Daily
Return
(%)		 CRSP
Eq. Wt.
Excess
Return
(%)		 CRSP
Va. Wt.
Excess
Return
(%)		 Industry
Va. Wt.
Excess
Return
(%)
-17 -0.17
-1.11		 -0.14
-1.20		 -1.90
-2.89 ***		 -1.25
-1.84 ***		 -0.93
-1.32		 -8 -0.20
-2.75 ***		 0.14
1.19		 -2.05
-2.52 **		 -1.86
-2.26 **		 -0.73
-0.83
-16 -0.33
-1.85 *		 0.02
0.18		 -2.70
-3.70 ***		 -2.39
-3.17 ***		 -1.64
-2.21 **		 -7 -0.23
-2.44 **		 0.03
0.26		 -1.46
-1.53		 -0.78
-0.80		 -0.03
-0.03
-15 -0.15
-1.75 *		 0.08
0.88		 -0.94
-1.07		 -0.86
-0.94		 -0.15
-0.16		 -6 -0.10
-0.92		 0.35
2.30		 -3.39
-3.10 ***		 -2.82
-2.47 **		 -2.09
-1.86 *
-14 -0.14
-1.52		 0.16
1.57		 -2.35
-3.14 ***		 -2.42
-3.18 ***		 -1.62
-1.96 *		 -5 -0.30
-2.67 ***		 -0.06
-0.38		 -3.09
-3.31 ***		 -2.08
-2.09 **		 -1.63
-1.70 *
-13 -0.20
-2.02 **		 -0.05
-0.39		 -2.53
-3.14 ***		 -2.31
-2.71 ***		 -1.81
-2.29 **		 -4 -0.29
-2.83 ***		 0.09
0.62		 -2.06
-1.88 *		 -1.44
-1.31		 -1.26
-1.14
-12 -0.10
-0.86		 0.14
0.94		 -0.16
-0.18		 0.52
0.56		 0.10
0.11		 -3 -0.27
-2.77 ***		 0.16
0.94		 -3.81
-3.78 ***		 -3.24
-3.27 ***		 -3.48
-3.48 ***
-11 -0.02
-0.30		 -0.07
-0.59		 -2.55
-3.19 ***		 -2.41
-3.02 ***		 -1.97
-2.35 **		 -2 -0.24
-2.49 **		 0.21
1.24		 -2.73
-2.29 **		 -2.01
-1.62		 -2.14
-1.74 *
-10 -0.18
-1.39		 0.33
2.44 **		 0.21
0.18		 0.74
0.61		 1.32
1.11		 -1
 -0.19
-1.54		 0.13
0.76		 -3.04
-2.41 **		 -2.41
-1.77 *		 -2.93
-2.12 **
-9 -0.06
-0.49		 -0.12
-0.87		 -3.17
-3.99 ***		 -2.85
-3.40 ***		 -2.45
-2.79 ***		 0 -0.14
-1.26		 0.14
0.63		 -4.01
-3.72 ***		 -2.54
-2.26 **		 -2.86
-2.58 **
B) Trends Preceding Downgrade to 4 or 5
Months
To
Rating
Change		 Change
Stock
Price
($)		 Change
St. Dev.
Daily
Return
(%)		 CRSP
Eq. Wt.
Excess
Return
(%)		 CRSP
Va. Wt.
Excess
Return
(%)		 Industry
Va. Wt.
Excess
Return
(%)		 Months
To
Rating
Change		 Change
Stock
Price
($)		 Change
St. Dev.
Daily
Return
(%)		 CRSP
Eq. Wt.
Excess
Return
(%)		 CRSP
Va. Wt.
Excess
Return
(%)		 Industry
Va. Wt.
Excess
Return
(%)
-17 -0.19
-2.65 ***		 0.07
0.62		 -3.74
-4.91 ***		 -3.53
-4.64 ***		 -3.14
-3.89 ***		 -8 -0.35
-3.86 ***		 0.34
2.05 **		 -2.16
-1.78 *		 -1.66
-1.33		 -0.88
-0.70
-16 -0.19
-3.15 ***		 0.10
0.96		 -2.63
-3.18 ***		 -2.40
-2.92 ***		 -2.08
-2.47 **		 -7 -0.16
-1.89 *		 0.00
-0.01		 -2.36
-2.26 **		 -1.94
-1.76 *		 -1.65
-1.52
-15 -0.08
-0.98		 0.16
0.97		 -1.32
-1.28		 -0.99
-0.95		 -0.53
-0.50		 -6 -0.32
-4.44 ***		 0.11
0.68		 -4.93
-5.00 ***		 -4.47
-4.34 ***		 -4.24
-4.27 ***
-14 -0.13
-1.86 *		 -0.03
-0.18		 -3.62
-3.75 ***		 -3.21
-3.35 ***		 -2.79
-2.93 ***		 -5 -0.42
-4.76 ***		 0.17
0.81		 -5.16
-4.56 ***		 -4.09
-3.57 ***		 -3.74
-3.36 ***
-13 -0.07
-1.01		 0.09
0.63		 -2.60
-2.90 ***		 -2.28
-2.54 **		 -2.38
-2.60 **		 -4 -0.34
-5.34 ***		 0.18
0.82		 -4.84
-3.04 ***		 -4.16
-2.49 **		 -4.02
-2.46 **
-12 -0.16
-1.56		 -0.04
-0.31		 -4.41
-5.15 ***		 -3.72
-4.20 ***		 -3.89
-4.58 ***		 -3 -0.28
-3.98 ***		 0.41
2.11 **		 -3.04
-2.09 **		 -2.21
-1.42		 -2.39
-1.49
-11 -0.37
-4.91 ***		 0.11
0.75		 -5.42
-6.98 ***		 -5.34
-6.50 ***		 -5.01
-6.11 ***		 -2 -0.20
-2.77 ***		 0.07
0.33		 -5.18
-4.23 ***		 -4.11
-3.12 ***		 -3.75
-2.90 ***
-10 -0.41
-4.96 ***		 0.66
3.28 ***		 -4.02
-4.22 ***		 -3.57
-3.61 ***		 -2.85
-2.95 ***		 -1 -0.27
-3.20 ***		 0.45
1.62		 -3.69
-1.90 *		 -2.53
-1.26		 -2.76
-1.43
-9 -0.31
-4.32 ***		 -0.12
-0.73		 -5.54
-6.08 ***		 -5.32
-5.55 ***		 -4.66
-4.79 ***		 0 -0.35
-4.94 ***		 -0.06
-0.23		 -6.49
-4.89 ***		 -5.68
-4.13 ***		 -5.83
-4.27 ***

Last Updated 03/01/2002 insurance-research@fdic.gov

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