Table 11
Out-of-Sample Classification Table for Each Period

(Critical values are the in-sample ratios of downgrades, no changes, or upgrades divided by the total in sample.)

A. Out-of-Sample, 19931995
Classification Table for Ordered Logit Model, 19881992
 

Spec. 1: Financial Acct. Variables (FA)

Spec. 2: Stock Market Variables (SM)

Specification 3: FA & SM Variables

BOPEC Change

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Downgrade

45.8

(22)

54.2

(26)

81.3

(39)

18.8

(9)

43.8

(21)

56.3

(27)

No Change

61.8

(335)

38.2

(207)

41.1

(223)

58.9

(319)

66.2

(359)

33.8

(183)

Upgrade

79.2

(156)

20.8

(41)

62.9

(124)

37.1

(73)

72.6

(143)

27.4

(54)

B. Out-of-Sample, 19962000
Classification Table for Ordered Logit Model, 19881992
 

Spec. 1: Financial Acct. Variables (FA)

Spec. 2: Stock Market Variables (SM)

Specification 3: FA & SM Variables

BOPEC Change

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Downgrade

22.5

(25)

77.5

(86)

85.6

(95)

14.4

(16)

40.5

(45)

59.5

(66)

No Change

68.0

(811)

32.0

(382)

39.3

(469)

60.7

(724)

74.2

(885)

25.8

(308)

Upgrade

83.1

(123)

16.9

(25)

40.5

(60)

59.5

(88)

68.2

(101)

31.8

(47)

C. Out-of-Sample, 19962000
Classification Table for Ordered Logit, 19931995
 

Spec. 1: Financial Acct. Variables (FA)

Spec. 2: Stock Market Variables (SM)

Specification 3: FA & SM Variables

BOPEC Change

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Downgrade

54.1

(60)

45.9

(51)

83.8

(93)

16.2

(16)

48.6

(54)

51.4

(57)

No Change

79.3

(946)

20.7

(247)

38.4

(458)

61.6

(735)

75.9

(905)

24.1

(288)

Upgrade

43.2

(64)

56.8

(84)

64.2

(95)

35.8

(53)

64.9

(96)

35.1

(52)

D. Out-of-Sample, 2001
Classification Table for Ordered Logit Model, 19881992
 

Spec. 1: Financial Acct. Variables (FA)

Spec. 2: Stock Market Variables (SM)

Specification 3: FA & SM Variables

BOPEC Change

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Downgrade

17.6

(6)

82.4

(28)

70.6

(24)

29.4

(10)

26.5

(9)

73.5

(25)

No Change

70.0

(180)

30.0

(77)

45.1

(116)

54.9

(141)

74.3

(191)

25.7

(66)

Upgrade

68.2

(15)

31.8

(7)

68.2

(15)

31.8

(7)

68.2

(15)

31.8

(7)

E. Out-of-Sample, 2001
Classification Table for Ordered Logit Model, 19931995
 

Spec. 1: Financial Acct. Variables (FA)

Spec. 2: Stock Market Variables (SM)

Specification 3: FA & SM Variables

BOPEC Change

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Downgrade

61.8

(21)

38.2

(13)

97.1

(33)

2.9

(1)

64.7

(22)

35.3

(12)

No Change

77.8

(200)

22.2

(57)

50.6

(130)

49.4

(127)

76.3

(196)

23.7

(61)

Upgrade

45.5

(10)

54.5

(12)

45.5

(10)

54.5

(12)

45.5

(10)

54.5

(12)

F. Out-of-Sample, 2001
Classification Table for Ordered Logit Model, 19962000
 

Spec. 1: Financial Acct. Variables (FA)

Spec. 2: Stock Market Variables (SM)

Specification 3: FA & SM Variables

BOPEC Change

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Correct %

No.

Incorrect %

No.

Downgrade

88.2

(30)

11.8

(4)

73.5

(25)

26.5

(9)

47.1

(16)

52.9

(18)

No Change

65.4

(168)

34.6

(89)

28.4

(73)

71.6

(184)

66.1

(170)

33.9

(87)

Upgrade

68.2

(15)

31.8

(7)

95.5

(21)

4.5

(1)

72.7

(16)

27.3

(6)


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