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

19881992

19931995

19962000

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


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