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FDIC Working Papers Series

Table 7
Definitions of Variables, Means, and Standard Deviations
  CAMEL 3-Rated CAMEL 4/5-Rated
  Mean Standard
Deviation		 Mean Standard
Deviation
Dependent Variable

CAMELCAT
(pre-period)

 Dummy variable equal to 1 if the institution experienced a
CAMEL rating downgrade to 3, 4 or 5, and 0 otherwise.		 0.50 0.50 0.50 0.50

CAMELCAT
(post-period)

 Dummy variable equal to 1 if the institution experienced a
CAMEL rating upgrade, and 0 otherwise.		 0.56 0.46 0.35 0.48
Charter

INSBIF

 Dummy variable equal to 1 if the institution is associated with
the Bank Insurance Fund, and 0 if it is associated with the
Savings Association Insurance Fund.		 0.69 0.46 0.60 0.49
Call Report Variables

EQ_AS

 Equity divided by total assets (%). 8.98 5.00 7.23 3.21

NC_RES

 Non-Current (delinquent) assets, less loan-loss reserves, divided
by total assets (%).		 1.15 1.36 1.97 2.30

ROA

 Year-to-date annualized earnings, divided by total assets (%). 0.51 1.37 0.14 1.26

SC_AS

 Securities divided by total assets (%). 18.15 14.20 15.81 12.11

VL_AS

 Volatile liabilities divided by total assets (%). 23.11 10.77 23.02 10.86
Core Market Variables

LN_PR

 Natural logarithm of market price. 2.33 0.62 2.05 0.67

EXRET

 Market excess return, calculated as the difference between
the cumulative quarterly return of each stock and the
cumulative quarterly return of the CRSP equal weighted index.		 -0.06 0.16 -0.12 0.17

DIV

 Dummy variable equal to 1 if a dividend is paid during the
previous 4 quarters, and 0 otherwise. 		0.37 0.48 0.33 0.47
Risk Variables

SDRET

 Standard deviation of daily returns during the quarter. 0.03 0.02 0.04 0.03

TURN

 Number of shares traded in a quarter divided by the number
of shares outstanding at the end of the quarter (%). 		14.28 13.67 12.82 13.15

BE_ME

 Book equity divided by market capitalization. 1.49 0.91 1.85 1.53

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

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