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Table4
Stock Price and Return Characteristics by Week Preceding Downgrade in CAMEL Rating The data reported on each of the week-to-rating change lines (-36 to -10) are calculated as simple averages for all trading days in each week. If data required for any weekly calculation are missing, then they are omitted from the calculation. Excess returns are calculated as the difference between the cumulative weekly return of each stock and the cumulative weekly return of the various indexes. T-statistics testing the hypothesis that the mean equals zero are shown below many of the weekly average return and change in return statistics. A single, double, or triple "*" indicates significance at the 10%, 5%, and 1% levels, respectively.
A) Trends Preceding Downgrade to 3
Weeks
To
Rating
Change		 Change
Stock
Price
($)		 CRSP
Eq. Wt.
Excess
Return
(%)		 CRSP
Va. Wt.
Excess
Return
(%)		 Weeks
To
Rating
Change		 Change
Stock
Price
($)		 CRSP
Eq. Wt.
Excess
Return
(%)		 CRSP
Va. Wt.
Excess
Return
(%)		 Weeks
To
Rating
Change		 Change
Stock
Price ($)		 CRSP
Eq. Wt.
Excess
Return
(%)		 CRSP
Va. Wt.
Excess
Return
(%)
-36 0.00
0.04		 -0.50
-1.05		 -0.20
-0.39		 -27 0.00
-0.08		 0.44
0.68		 0.46
 -18 -0.10
0.71		 -0.17
-2.20 **		 0.10
-0.30
-35 -0.04
-0.60		 0.69
1.24		 0.70
1.26		 -26 -0.03
-0.58		 -0.28
-0.49		 -0.04
-0.06		 -17 -0.08
-1.47		 -1.13
-1.64		 -1.16
-1.64
-34 -0.01
-0.28		 -0.49
-1.01		 -0.46
-0.90		 -25 0.04
0.76		 -0.34
-0.48		 -0.31
-0.43		 -16 -0.03
-0.63		 -0.05
-0.09		 0.11
0.19
-33 -0.04
-0.58		 -0.13
-0.26		 -0.07
-0.14		 -24 -0.13
-2.45 **		 -2.00
-3.87 ***		 -1.82
-3.33 ***		 -15 -0.05
-0.80		 -0.87
-1.3		 -0.76
-1.15
-32 -0.07
-1.70 *		 -0.63
-1.42		 -0.49
-1.05		 -23 -0.16
-2.60 **		 -2.07
-4.26 ***		 -1.85
-3.72 ***		 -14 -0.09
-1.48		 0.04
0.09		 0.09
0.20
-31 -0.05
-0.79		 0.21
0.35		 0.39
0.63		 -22 -0.11
-2.01 **		 -0.77
-1.27		 -0.70
-1.12		 -13 -0.01
-0.37		 -1.35
-2.01 **		 -1.14
-1.72 *
-30 -0.01
-0.14		 -0.40
-0.72		 -0.14
-0.25		 -21 -0.04
-0.66		 -0.47
-0.98		 -0.19
-0.38		 -12 -0.05
-1.22		 0.19
0.34		 0.36
0.64
-29 -0.07
-1.69 *		 -0.39
-0.71		 -0.43
-0.78		 -20 -0.03
-0.50		 0.82
1.42		 1.02
1.74		 -11 -0.02
-0.37		 -0.67
-1.48		 -0.65
-1.36
-28 -0.04
-0.93		 -0.90
-1.87 *		 -0.65
-1.32		 -19 -0.08
-1.43		 -1.86
-3.49 ***		 -1.67
-3.04 ***		 -10 -0.11
-2.86 ***		 -1.59
-3.14 ***		 -1.49
-2.87 ***
B) Trends Preceding Downgrade to 4 or 5
Weeks
To
Rating
Change		 Change
Stock
Price
($)		 CRSP
Eq. Wt.
Excess
Return
(%)		 CRSP
Va. Wt.
Excess
Return
(%)		 Weeks
To
Rating
Change		 Change
Stock
Price
($)		 CRSP
Eq. Wt.
Excess
Return
(%)		 CRSP
Va. Wt.
Excess
Return
(%)		 Weeks
To
Rating
Change		 Change
Stock
Price ($)		 CRSP
Eq. Wt.
Excess Return (%)		 CRSP
Va. Wt.
Excess
Return
(%)
-36 -0.12
-2.96 ***		 -0.62
-1.13		 -0.39
-0.70		 -27 -0.24
-1.82		 -0.66
-1.01		 -0.60
-0.91		 -18 -0.13
-3.96 ***		 -1.22
-1.41		 -1.08
-1.23
-35 -0.07
-1.56		 -0.53
-0.75		 -0.51
-0.70		 -26 -0.07
-2.38 **		 -1.32
-2.40 **		 -1.24
-2.15 **		 -17 -0.06
-1.85 *		 -0.28
-0.36		 -0.06
-0.07
-34 0.03
0.60		 -0.14
-0.24		 0.06
0.11		 -25 -0.08
-2.80 ***		 -0.38
-0.62		 -0.05
-0.08		 -16 -0.06
-2.05 **		 -1.12
-1.59		 -0.90
-1.22
-33 -0.06
-1.30		 -0.76
-1.49		 -0.54
-1.05		 -24 -0.04
-1.19		 -0.97
-1.58		 -0.76
-1.21		 -15 -0.08
-2.78 ***		 -1.75
-2.33 **		 -1.80
-2.34 **
-32 -0.14
-2.50 **		 -0.84
-1.42		 -0.75
-1.25		 -23 -0.09
-3.49 ***		 -1.55
-2.73 ***		 -1.31
-2.22 **		 -14 -0.10
-2.23 **		 0.11
0.14		 0.32
0.39
-31 0.01
0.33		 0.29
0.49		 0.40
0.68		 -22 -0.10
-3.06 ***		 -1.41
-2.24 **		 -1.35
-2.14 **		 -13 0.00
-0.03		 0.21
0.26		 0.25
0.29
-30 -0.05
-1.01		 -0.81
-1.36		 -0.77
-1.25		 -21 -0.09
-2.89 ***		 -1.05
-1.62		 -0.84
-1.28		 -12 -0.08
-2.41 **		 -0.65
-0.88		 -0.33
-0.43
-29 -0.08
-2.53 **		 -0.28
-0.41		 -0.16
-0.24		 -20 -0.04
-1.53		 -0.74
-1.01		 -0.49
-0.67		 -11 -0.05
-1.43		 -1.52
-2.10 **		 -1.45
-1.97 *
-28 -0.07
-1.43		 -1.52
-2.36 **		 -1.49
-2.29 **		 -19 -0.12
-3.63 ***		 -1.81
-2.96 ***		 -1.69
-2.72 ***		 -10 -0.08
-2.29 ***		 -0.21
-0.27		 -0.01
-0.02

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