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


Table 13
Regression of Market Variables on Lagged BOPEC Changes and Financial Statement Ratios:

Quarterly Value-Weighted Excess Return, (EX_RETURN)

This table presents regression results for a sample of 3,068 new bank holding company inspections with the dependent variable being the value-weighted excess return, EX_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

0.1568

1.64*

0.10339

1.31

-0.11336

–1.85*

BPchgL1

0.03286

2.15**

0.02212

1.80*

0.00509

0.47

LN_ASSET

–0.01118

–2.07**

–0.00687

–1.86*

0.00416

1.53

EQ_ASSET

–0.00926

–1.91*

–0.00963

–2.32**

-0.01057

–4.13***

PD90_ASSET

–0.07069

–3.42***

–0.03233

–1.1

-0.03038

–1.31

NA_ASSET

–0.01563

–1.91*

0.00662

0.82

0.00365

0.28

ROA

0.06718

5.95***

0.06159

5.71***

0.0436

3.88***

LIQ_ASSET

–0.0028

–1.44

–0.000695

–1.63

0.00108

2.36**

LLR_ASSET

0.02657

1.68*

–0.01845

–1.49

0.03627

2.41**

LPROV_ASSET

0.00975

0.46

–0.02035

–0.88

-0.00638

–0.19

CHARG_ASSET

0.1188

5.66***

0.10983

5.84***

-0.03928

–1.04

TD100_ASSET

–0.00402

–3.04***

0.000243

0.17

0.00119

1.44

     

F-Statistic

11.55***

 

7.71***

5.23***

Adj-R2

0.0908

 

0.0915

0.0381

N

1,162

 

733

1,173


Table 14
Regression of Market Variables on Lagged BOPEC Changes and Financial Statement Ratios:

Market-to-Book Value (MKT_BKEQ)

This table presents regression results for a sample of 3,068 new bank holding company inspections with the dependent variable being the market-to-book value, MKT_BK.  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

0.38759

2.24**

0.85776

3.78***

–0.31539

–0.96

BPchgL1

0.0768

2.78***

–0.00625

–0.18

0.05583

0.97

LN_ASSET

0.03511

3.59***

0.02616

2.46***

0.12322

8.45***

EQ_ASSET

0.00591

0.67

–0.00837

–0.7

–0.09937

–7.26***

PD90_ASSET

0.02552

0.68

–0.03236

–0.38

–0.05468

–0.44

NA_ASSET

–0.07562

–5.09***

–0.10701

-4.64***

–0.21162

–3.07***

ROA

0.10967

5.37***

0.16143

5.21***

0.9841

16.37***

LIQ_ASSET

0.0026

0.74

–0.000675

–0.55

0.00976

4.00***

LLR_ASSET

–0.00677

–0.24

0.09568

2.70***

–0.12796

–1.59

LPROV_ASSET

–0.02428

–0.63

0.07458

1.13

0.96554

5.34***

CHARG_ASSET

0.04366

1.15

–0.01466

–0.27

–0.23604

–1.17

TD100_ASSET

–0.00208

–0.87

0.01254

3.13***

0.00205

0.46

    

F-Statistic

28.87***

 

13.66***

53.65***

Adj-R2

0.2088

 

0.1596

0.3305

N

1,162

 

733

1,173


Table 15
Regression of Market Variables on Lagged BOPEC Changes and Financial Statement Ratios:

Coefficient of Variation of Price, (COVAR_PRICE)

This table presents regression results for a sample of 3,068 new bank holding company inspections with the dependent variable being the coefficient of variation of price, COVAR_PRICE.  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

16.484

8.90***

9.55632

2.62***

4.62425

2.5**

BPchgL1

–0.27142

–0.92

0.00764

0.01

–0.63662

–1.95**

LN_ASSET

–0.45871

–4.38***

0.02685

0.16

0.14995

1.82*

EQ_ASSET

–0.6148

–6.53***

–0.00344

–0.02

–0.25496

–3.3***

PD90_ASSET

–1.04164

–2.60***

–0.72987

–0.54

–0.68278

-0.97

NA_ASSET

1.01713

6.40***

0.75989

2.05**

0.38168

0.98

ROA

0.00327

0.01

–4.62155

–9.29***

0.9876

2.91***

LIQ_ASSET

–0.07832

–2.07**

–0.04319

–2.19**

0.01167

0.84

LLR_ASSET

0.1319

0.43

0.27426

0.48

0.46569

1.02

LPROV_ASSET

1.23628

2.98***

–6.24534

5.88***

4.67117

4.57***

CHARG_ASSET

1.05346

2.58***

1.24567

1.44

–2.34185

–2.05**

TD100_ASSET

–0.00929

–0.36

0.13442

2.09**

0.03349

1.33

F-Statistic

 

47.54***

 

16.88***

6.67***

Adj-R2

0.3058

 

0.1924

0.0505

N

1162

 

733

1173


Table 16
Regression of Market Variables on Lagged BOPEC Changes and Financial Statement Ratios:

Average Quarterly Stock Volume Turnover, (TURNOVER)

This table presents regression results for a sample of 3,068 new bank holding company inspections with the dependent variable being the average quarterly stock volume turnover, TURNOVER.  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

–0.40781

-8.95***

–0.17473

–3.33

-0.16179

–2.81***

BPchgL1

0.01036

1.42

0.01437

1.76

0.00371

0.37

LN_ASSET

0.03225

12.51***

0.02231

9.1

0.01968

7.69***

EQ_ASSET

–0.00207

–0.89

–0.01089

–3.96

–0.00699

–2.91***

PD90_ASSET

0.01663

1.69*

–0.02803

–1.44

-0.03053

–1.4

NA_ASSET

0.006

1.53

0.01421

2.67

0.03512

2.9***

ROA

–0.00724

–1.34

–0.00596

–0.83

–0.00312

–0.3

LIQ_ASSET

0.00185

1.99**

0.000384

1.35

0.000333

0.78

LLR_ASSET

0.01726

2.29**

0.01826

2.23

–0.00118

–0.08

LPROV_ASSET

0.02695

2.64***

–0.03386

–2.22

–0.04233

–1.33

CHARG_ASSET

–0.0026

–0.26

0.03483

2.79

0.04364

1.23

TD100_ASSET

–0.00116

–1.84*

–0.00213

–2.31

0.00249

3.2***

     

F-Statistic

40.33***

 

23.31***

11.63***

Adj-R2

0.2713

 

0.2508

0.0907

N

1162

 

733

1173


back