Table 12

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
	1988–1992		1993–1995		1996–2000
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

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

Table 14
Regression of Market Variables on Lagged BOPEC Changes and Financial Statement Ratios:
Market-to-Book Value (MKT_BKEQ)
This table presents regression results for a sample of 3,068 new bank holding company inspections with the dependent variable being the market-to-book value, MKT_BK. 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	0.38759	2.24**	0.85776	3.78***	–0.31539	–0.96
BPchgL1	0.0768	2.78***	–0.00625	–0.18	0.05583	0.97
LN_ASSET	0.03511	3.59***	0.02616	2.46***	0.12322	8.45***
EQ_ASSET	0.00591	0.67	–0.00837	–0.7	–0.09937	–7.26***
PD90_ASSET	0.02552	0.68	–0.03236	–0.38	–0.05468	–0.44
NA_ASSET	–0.07562	–5.09***	–0.10701	-4.64***	–0.21162	–3.07***
ROA	0.10967	5.37***	0.16143	5.21***	0.9841	16.37***
LIQ_ASSET	0.0026	0.74	–0.000675	–0.55	0.00976	4.00***
LLR_ASSET	–0.00677	–0.24	0.09568	2.70***	–0.12796	–1.59
LPROV_ASSET	–0.02428	–0.63	0.07458	1.13	0.96554	5.34***
CHARG_ASSET	0.04366	1.15	–0.01466	–0.27	–0.23604	–1.17
TD100_ASSET	–0.00208	–0.87	0.01254	3.13***	0.00205	0.46

F-Statistic		28.87***		13.66***		53.65***
Adj-R²		0.2088		0.1596		0.3305
N		1,162		733		1,173

Table 15
Regression of Market Variables on Lagged BOPEC Changes and Financial Statement Ratios:
Coefficient of Variation of Price, (COVAR_PRICE)
This table presents regression results for a sample of 3,068 new bank holding company inspections with the dependent variable being the coefficient of variation of price, COVAR_PRICE. 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	16.484	8.90***	9.55632	2.62***	4.62425	2.5**
BPchgL1	–0.27142	–0.92	0.00764	0.01	–0.63662	–1.95**
LN_ASSET	–0.45871	–4.38***	0.02685	0.16	0.14995	1.82*
EQ_ASSET	–0.6148	–6.53***	–0.00344	–0.02	–0.25496	–3.3***
PD90_ASSET	–1.04164	–2.60***	–0.72987	–0.54	–0.68278	-0.97
NA_ASSET	1.01713	6.40***	0.75989	2.05**	0.38168	0.98
ROA	0.00327	0.01	–4.62155	–9.29***	0.9876	2.91***
LIQ_ASSET	–0.07832	–2.07**	–0.04319	–2.19**	0.01167	0.84
LLR_ASSET	0.1319	0.43	0.27426	0.48	0.46569	1.02
LPROV_ASSET	1.23628	2.98***	–6.24534	5.88***	4.67117	4.57***
CHARG_ASSET	1.05346	2.58***	1.24567	1.44	–2.34185	–2.05**
TD100_ASSET	–0.00929	–0.36	0.13442	2.09**	0.03349	1.33
F-Statistic		47.54***		16.88***		6.67***
Adj-R²		0.3058		0.1924		0.0505
N		1162		733		1173

Table 16
Regression of Market Variables on Lagged BOPEC Changes and Financial Statement Ratios:
Average Quarterly Stock Volume Turnover, (TURNOVER)
This table presents regression results for a sample of 3,068 new bank holding company inspections with the dependent variable being the average quarterly stock volume turnover, TURNOVER. 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	–0.40781	-8.95***	–0.17473	–3.33	-0.16179	–2.81***
BPchgL1	0.01036	1.42	0.01437	1.76	0.00371	0.37
LN_ASSET	0.03225	12.51***	0.02231	9.1	0.01968	7.69***
EQ_ASSET	–0.00207	–0.89	–0.01089	–3.96	–0.00699	–2.91***
PD90_ASSET	0.01663	1.69*	–0.02803	–1.44	-0.03053	–1.4
NA_ASSET	0.006	1.53	0.01421	2.67	0.03512	2.9***
ROA	–0.00724	–1.34	–0.00596	–0.83	–0.00312	–0.3
LIQ_ASSET	0.00185	1.99**	0.000384	1.35	0.000333	0.78
LLR_ASSET	0.01726	2.29**	0.01826	2.23	–0.00118	–0.08
LPROV_ASSET	0.02695	2.64***	–0.03386	–2.22	–0.04233	–1.33
CHARG_ASSET	–0.0026	–0.26	0.03483	2.79	0.04364	1.23
TD100_ASSET	–0.00116	–1.84*	–0.00213	–2.31	0.00249	3.2***

F-Statistic		40.33***		23.31***		11.63***
Adj-R²		0.2713		0.2508		0.0907
N		1162		733		1173

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