Table 3 Definition of Variables, Means, and Standard Deviations 


CAMEL 3Rated 
CAMEL 4/5Rated 
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 loanloss 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 
Loanloss 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 bankstock 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 valueweighted 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 
