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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