Table 10
In-Sample Classification Table for Each Period

(Critical values are the in-sample ratios of downgrades, no changes or upgrades divided by the total in sample.)

A. Classification Table for Ordered Logit Model, 1988-1992
 

Spec. 1: Financial Acct. Variables (FA)

Spec. 2: Stock Market Variables (SM)

Specification 3: FA & SM Variables

BOPEC Change

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Downgrade

81.3

(243)

18.7

(56)

70.2

(210)

29.8

(89)

83.3

(249)

16.7

(50)

No Change

77.5

(682)

22.5

(198)

74.2

(653)

25.8

(277)

78.3

(689)

21.7

(191)

Upgrade

55.2

(64)

44.8

(52)

37.9

(44)

62.1

(72)

51.7

(60)

48.3

(56)

B. Classification Table for Ordered Logit Model, 19931995

 

Spec. 1: Financial Acct. Variables (FA)

Spec. 2: Stock Market Variables (SM)

Specification 3: FA & SM Variables

BOPEC Change

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Downgrade

56.3

(27)

43.8

(21)

45.8

(22)

54.2

(26)

62.5

(30)

37.5

(18)

No Change

77.3

(419)

22.7

(123)

74.7

(405)

25.3

(137)

77.1

(418)

22.9

(124)

Upgrade

71.6

(141)

28.4

(56)

66.0

(130)

34.0

(67)

72.1

(142)

27.9

(55)

C. Classification Table for Ordered Logit, 19962000

 

Spec. 1: Financial Acct. Variables (FA)

Spec. 2: Stock Market Variables (SM)

Specification 3: FA & SM Variables

BOPEC Change

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Downgrade

66.7

(74)

33.3

(37)

58.6

(65)

41.4

(46)

66.7

(74)

33.3

(37)

No Change

64.3

(767)

35.7

(426)

58.2

(694)

41.8

(499)

67.1

(801)

32.9

(392)

Upgrade

80.4

(119)

19.6

(129)

79.1

(117)

20.9

(31)

81.1

(120)

18.9

(28)


back