| 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, 1996–2000 Classification Table for Ordered Logit Model, 1988–1992 |
||||||||||||
| 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, 1996–2000 Classification Table for Ordered Logit, 1993–1995 |
||||||||||||
| 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, 1988–1992 |
||||||||||||
| 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, 1993–1995 |
||||||||||||
| 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, 1996–2000 |
||||||||||||
| 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) |