Table 12
Regression of Market Variables on Lagged BOPEC Changes and Financial Statement Ratios:

Standard Deviation of Stock Returns (STD_RETURN)

This table presents regression results for a sample of 3,068 new bank holding company inspections with the dependent variable being the standard deviation of stock returns, STD_RETURN.  The ordering of BPchgL1 (the change in the BOPEC) is 1 for a downgrade, 2 for no change in ratings, and 3 for BOPEC upgrades.  A negative sign for the BPchgL1 coefficient means that a downgrade will increase the dependent variable compared to no change.  All variables are defined in Table 5 and explanatory variables are lagged one quarter from the event quarter (where the BOPEC ratings change occurred). A single, double, or triple "*" indicates significance at the 10%, 5%, or 1% level, respectively.

 

Periods

1988–1992

1993–1995

1996–2000

Variable

Estimate

t-statistic

Estimate

t-statistic

Estimate

t-statistic

Intercept

0.14514

19.21***

0.10199

15.45***

0.05491

14.64***

BPchgL1

–0.00264

–2.19**

0.000073

0.07

–0.00187

–2.83***

LN_ASSET

–0.00629

–14.7***

–0.00438

–14.18***

–0.00145

–8.66***

EQ_ASSET

–0.00304

–7.91***

–0.000825

–2.38***

–0.000554

–3.53***

PD90_ASSET

–0.00339

–2.07**

0.00642

2.61***

–0.000587

–0.41

NA_ASSET

0.00633

9.75***

0.00214

3.19***

0.000351

0.44

ROA

–0.00212

–2.38**

–0.00957

–10.61***

–0.0008

–1.16

LIQ_ASSET

–0.00027

–1.75*

–0.000039

–1.09

–0.000083

–2.96***

LLR_ASSET

–0.0021

–1.68*

0.000675

–0.65

–0.00103

–1.11

LPROV_ASSET

–0.00172

–1.01

–0.00115

–0.6

0.00839

4.05***

CHARG_ASSET

0.0079

4.75***

0.00237

1.51

0.000452

0.2

TD100_ASSET

–0.000294

–2.81***

0.000086

0.74

0.000122

2.41**

F-Statistic

 

86.40***

 

94.03***

 

22.49***

Adj-R2

 

0.447

 

0.5826

 

0.1677

N

 

1,162

 

733

 

1,173


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