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


back