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Table 10
Logit Regression Results: 1 Quarter after Downgrade

This table extends the logit regressions performed in Table 8, using the sample of downgraded banks and thrifts, but performs the analysis 1 quarter after downgrade. T-statistics are shown in parentheses below their corresponding regression coefficients. A single, double, or triple "*" indicates significance at the 10%, 5%, and 1% levels, respectively.
Specification
    CAMEL 3-Rated Group
(Panel A)
1 quarter after Downgrade
Camel 4/5-Rated Group
(Panel B)
1 quarter after Downgrade
Independent
Variable
Anticipated
Sign
1 2 3 4 1 2 3 4
Intercept + 1.28
(1.17)
1.60
(1.14)
5.28
(2.31)**
3.06
(1.87)*
-1.58
(1.21)
-0.80
(0.51)
-1.49
(0.77)
-1.21
(1.02)
Charter
INSBIF

+ 0.79
(1.27)
0.80
(1.26)
0.82
(1.24)
-0.12
(0.23)
0.11
(0.17)
0.33
(0.45)
0.43
(0.58)
0.47
(0.81)
Call Report Variables
EQ_AS

- -0.35
(3.04)***
-0.37
(3.16)***
-0.44
(3.43)***
no data -0.24
(1.64)
-0.28
(1.77)*
-0.26
(1.63)
no data
NC_RES

+ 0.33
(2.08)**
0.35
(2.18)**
0.46
(2.57)**
no data 0.51
(3.75)***
0.39
(2.68)***
0.39
(2.70)***
no data
ROA

- -0.38
(1.71)*
-0.25
(1.00)
-0.24
(0.90)
no data
-0.27
(2.02)**
-0.04
(0.20)
-0.01
(0.07)
no data
SC_AS

- -0.04
(2.21)**
-0.04
(2.14)**
-0.04
(1.82)*
no data -0.05
(1.73)*
-0.05
(1.35)
-0.05
(1.31)
no data
VL_AS

+ 0.06
(2.21)**
0.05
(2.03)**
0.05
(1.86)*
no data 0.05
(1.55)
0.05
(1.46)
0.05
(1.48)
no data
Core Market Variables
LN_PR

- no data -0.14
(0.30)
-1.08
(1.66)*
-1.00
(1.86)*
no data -1.05
(1.98)**
-0.90
(1.57)
-1.46
(2.71)***
EXRET

- no data -1.60
(1.27)
-1.73
(1.30)
-2.26
(1.99)**
no data -4.65
(3.03)***
-4.31
(2.66)***
-4.68
(3.27)***
DIV

- no data no data no data 0.01
(0.01)
no data no data no data 0.24
(0.27)
Risk Variables
BE_ME

+ no data no data no data -0.16
(1.17)
no data no data no data -0.02
(0.23)
SDRET

+ no data no data -33.01
(2.16)**
-17.11
(1.44)
no data no data 6.05
(0.61)
7.55
(1.02)
TURN

+ no data no data no data 0.01
(0.70)
no data no data no data 0.03
(1.62)
AIC no data 109.72 112.00 108.76 131.11 104.29 93.71 95.33 107.20
R2 no data 0.27 0.29 0.33 0.10 0.37 0.45 0.45 0.36
X2 (relative to specification 1) NA 1.72 6.96* NA NA 14.58*** 14.96*** NA
degrees of freedom no data no data 2 3 no data no data 2 3 no data

Last Updated 03/01/2002 insurance-research@fdic.gov